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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

Multivariate stochastic volatility, leverage and news impact surfaces

Asai, Manabu; McAleer, Michael - In: The econometrics journal 12 (2009) 2, pp. 292-309

Persistent link: https://www.econbiz.de/10003875671

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

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

Crude oil hedging strategies using dynamic multivariate GARCH

Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - In: Energy economics 33 (2011) 5, pp. 912-923

Persistent link: https://www.econbiz.de/10009382992

A survey of recent theoretical results for time series models with GARCH errors

Li, Wai Keung; Ling, Shiqing; McAleer, Michael - In: Papers in efficiency, effectiveness and international …, (pp. 128-153). 2000

Persistent link: https://www.econbiz.de/10001684387

Recent theoretical results for time series models with GARCH errors

Li, Wai Keung; Ling, Shiqing; McAleer, Michael - In: Journal of economic surveys 16 (2002) 3, pp. 245-269

Persistent link: https://www.econbiz.de/10001686256

Asymptotic properties of the estimator of the long-run coefficient in a dynamic model with integrated regressors and serially correlated errors

He, Zonglu; Maekawa, Koichi; McAleer, Michael - In: The Japanese economic review : the journal of the … 54 (2003) 4, pp. 420-438

Persistent link: https://www.econbiz.de/10001866933

The econometrics of financial time series

McAleer, Michael; Oxley, Les - In: Contributions to financial econometrics : theoretical …, (pp. 1-7). 2003

Persistent link: https://www.econbiz.de/10001932648

Recent theoretical results for time series models with GARCH errors

Li, Wai Keung; Ling, Shiqing; McAleer, Michael - In: Contributions to financial econometrics : theoretical …, (pp. 9-33). 2003

Persistent link: https://www.econbiz.de/10001932650