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Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - In: International review of economics & finance : IREF 59 (2019), pp. 50-70
Persistent link: https://www.econbiz.de/10012202481
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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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Testing the rational expectations hypothesis in macroeconometric models with unobserved variables
Oxley, Les; McAleer, Michael - 1993
Persistent link: https://www.econbiz.de/10000872014
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Cointegration and direct tests of the rational expectations hypothesis
McAleer, Michael - In: Econometric reviews 13 (1994) 2, pp. 231-258
Persistent link: https://www.econbiz.de/10001163111
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A note on the unbiasedness test of rationality using survey data
McAleer, Michael - In: Journal of macroeconomics 16 (1994) 2, pp. 369-374
Persistent link: https://www.econbiz.de/10001167828
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On efficient estimation and correct inference in models with generated regressors : a general approach
McKenzie, Colin - In: The Japanese economic review : the journal of the … 48 (1997) 4, pp. 368-389
Persistent link: https://www.econbiz.de/10001235670
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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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A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises
Guo, Xu; McAleer, Michael; Wong, Wing Keung; Zhu, Lixing - In: The North American journal of economics and finance : a … 42 (2017), pp. 346-358
Persistent link: https://www.econbiz.de/10011938136
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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
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Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2016
The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positivedefiniteness of the...
Persistent link: https://www.econbiz.de/10011536626