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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

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

Multivariate stochastic volatility : a review

Asai, Manabu; McAleer, Michael; Yu, Jun - In: Econometric reviews 25 (2006) 2/3, pp. 145-175

Persistent link: https://www.econbiz.de/10003355704

A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries

McAleer, Michael (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003460319

Conditional correlations and volatility spillovers between crude oil and stock index returns

Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10008669344

Crude oil hedging strategies using dynamic multivariate GARCH

Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10008669351

How volatile is ENSO?

Lan Fen Chu; McAleer, Michael; Chen, Chi-chung - 2010

Persistent link: https://www.econbiz.de/10008689070

Asymmetry and long memory in volatility modelling

Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - 2010 - Rev.

Persistent link: https://www.econbiz.de/10008695596

A scientific classification of volatility models

Caporin, Massimiliano; McAleer, Michael - In: Journal of economic surveys 24 (2010) 1, pp. 192-195

Persistent link: https://www.econbiz.de/10003948949

Alternative asymmetric stochastic volatility models

Asai, Manabu; McAleer, Michael - 2010

The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between … the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model, based … between the innovations in returns and volatility. The new model is estimated by the efficient importance sampling method of …

Persistent link: https://www.econbiz.de/10008839880