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Review on efficiency and anomalies in stock markets
Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51
The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...
Persistent link: https://www.econbiz.de/10012237439
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Modelling volatility spillovers for bio-ethanol, sugarcane and corn
Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016
prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …
Persistent link: https://www.econbiz.de/10011441704
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A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael; Medeiros, Marcelo C. - In: Journal of econometrics 147 (2008) 1, pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
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Shock and volatility spillovers among equity sectors of the gulf Arab stock markets
Hammoudeh, Shawkat M. (contributor); Yuan, Yuan (contributor) - 2008
Persistent link: https://www.econbiz.de/10003780792
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Modelling international tourist arrivals and volatility : an application to Taiwan
Chang, Chia-Lin; McAleer, Michael; Slottje, Daniel Jonathan - In: Quantifying consumer preferences, (pp. 299-315). 2009
Persistent link: https://www.econbiz.de/10003887985
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A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
McAleer, Michael (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003460319
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Non-trading day effects in asymmetric conditional and stochastic volatility models
Asai, Manabu; McAleer, Michael - In: The econometrics journal 10 (2007) 1, pp. 113-123
Persistent link: https://www.econbiz.de/10003451750
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VaR forecasts and dynamic conditional correlations for spot and futures returns on stocks and bonds
Hakim, Abdul; McAleer, Michael - 2009
Persistent link: https://www.econbiz.de/10003908707
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Modelling long memory volatility in agricultural commodity futures returns
Tansuchat, Roengchai; Chang, Chia-Lin; McAleer, Michael - 2009
Persistent link: https://www.econbiz.de/10003909568
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Interdependence of international tourism demand and volatility in leading ASEAN destinations
Chang, Chia-Ling; Khamkaew, Thanchanok; McAleer, Michael; … - 2009
Persistent link: https://www.econbiz.de/10003909585