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Estimating interest rate futures model in the Heath-Jarrow-Morton framework

Bhar, Ramaprasad - In: Advances in Pacific Basin financial markets 4 (1998), pp. 211-226

Persistent link: https://www.econbiz.de/10001250661

Econometric analysis of financial derivatives

Chang, Chia-Lin (ed.); McAleer, Michael (ed.) - 2015

Persistent link: https://www.econbiz.de/10011499675

Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing

Asai, Manabu; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 436-446

Persistent link: https://www.econbiz.de/10011499703

Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

Asai, Manabu; McAleer, Michael - In: Journal of econometrics 189 (2015) 2, pp. 251-262

Persistent link: https://www.econbiz.de/10011504522

The evaluation of multiple year gas sales agreement with regime switching

Chiarella, Carl; Clewlow, Les; Kang, Boda - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10011453874

On the invertibility of EGARCH(p, q)

Martinet, Guillaume Gaetan; McAleer, Michael - In: Econometric reviews 37 (2018) 6/10, pp. 824-849

Persistent link: https://www.econbiz.de/10012040413

Stochastic correlation and risk premia in term structure models

Chiarella, Carl; Hsiao, Chih-ying; Tô, Thuy-Duong - In: Journal of empirical finance 37 (2016), pp. 59-78

Persistent link: https://www.econbiz.de/10011662911

Learning, information processing and order submission in limit order markets

Chiarella, Carl; He, Xue-zhong; Wei, Lijian - In: Journal of economic dynamics & control 61 (2015), pp. 245-268

Persistent link: https://www.econbiz.de/10011589535

Asymmetry and leverage in conditional volatility models

McAleer, Michael - In: Econometrics : open access journal 2 (2014) 3, pp. 145-150

The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...

Persistent link: https://www.econbiz.de/10010417180

Heterogeneous expectations in asset pricing : empirical evidence from the S&P500

Chiarella, Carl; He, Xue-zhong; Zwinkels, Remco C. J. - In: Journal of economic behavior & organization : JEBO 105 (2014), pp. 1-16

Persistent link: https://www.econbiz.de/10010465070