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A Monte Carlo study of some tests of model adequacy in time series analysis
Hall, Anthony D.; McAleer, Michael - 1987 - Rev.
Persistent link: https://www.econbiz.de/10000724797
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Cointegration and direct tests of the rational expectations hypothesis
McAleer, Michael; McKenzie, Colin; Pesaran, M. Hashem - 1993
Persistent link: https://www.econbiz.de/10000872012
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Cointegration and direct tests of the rational expectations hypothesis
McAleer, Michael; McKenzie, Colin; Pesaran, M. Hashem - 1993
Persistent link: https://www.econbiz.de/10000142719
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Outlier robust GMM estimation of leverage determinants
Lucas, André; Dijk, Ronald van; Kloek, Teun - 1994
Persistent link: https://www.econbiz.de/10000151692
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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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A general framework for observation driven time-varying parameter models
Creal, Drew; Koopman, Siem Jan; Lucas, André - 2008
Persistent link: https://www.econbiz.de/10003787160
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A non-Gaussian panel time series model for estimatingand decomposing default risk
Koopman, Siem Jan; Lucas, André; Daniels, Robert J. - 2005
Persistent link: https://www.econbiz.de/10003321902
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Modelling intra-day seasonality and forecasting densities in financial duration data
Allen, David E. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003805629
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A general framework for observation driven time-varying parameter models
Creal, Drew; Koopman, Siem Jan; Lucas, André - 2009
Persistent link: https://www.econbiz.de/10003854422
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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