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Frontiers in Time Series and Financial Econometrics: An Overview
Ling, Shiqing; McAleer, Michael; Tong, Howell - 2015
to time series and financial econometrics, including forecasting co-volatilities via factor models with asymmetry and … factors, endogeneity and nonlinearity, sign-based portmanteau test for ARCH-type models with heavy-tailed innovations, toward …
Persistent link: https://www.econbiz.de/10010491413
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Frontiers in Time Series and Financial Econometrics: An Overview
Ling, Shiqing; McAleer, Michael; Tong, Howell - Tinbergen Instituut - 2015
to time series and financial econometrics, including forecasting co-volatilities via factor models with asymmetry and … factors, endogeneity and nonlinearity, sign-based portmanteau test for ARCH-type models with heavy-tailed innovations, toward …
Persistent link: https://www.econbiz.de/10011257486
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Frontiers in Time Series and Financial Econometrics: An Overview
Ling, Shiqing; McAleer, Michael; Tong, Howell - Facultad de Ciencias Económicas y Empresariales, … - 2015
to time series and financial econometrics, including forecasting co-volatilities via factor models with asymmetry and … factors, endogeneity and nonlinearity, sign-based portmanteau test for ARCH-type models with heavy-tailed innovations, toward …
Persistent link: https://www.econbiz.de/10011272960
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Frontiers in Time Series and Financial Econometrics
McAleer, Michael; Ling, Ling, S.; Tong, Tong, H. - Faculteit der Economische Wetenschappen, Erasmus … - 2015
contributed significantly to time series and financial econometrics, including forecasting co-volatilities via factor models with … latent factors, endogeneity and nonlinearity, sign-based portmanteau test for ARCH-type models with heavy-tailed innovations …
Persistent link: https://www.econbiz.de/10011274351
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Frontiers in time series and financial econometrics : an overview
Ling, Shiqing; McAleer, Michael; Tong, Howell - 2015
to time series and financial econometrics, including forecasting co-volatilities via factor models with asymmetry and … factors, endogeneity and nonlinearity, sign-based portmanteau test for ARCH-type models with heavy-tailed innovations, toward …
Persistent link: https://www.econbiz.de/10010484894
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Frontiers in time series and financial econometrics: An overview
Ling, Shiqing; McAleer, Michael; Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 245-250
Persistent link: https://www.econbiz.de/10011503737
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Review on efficiency and anomalies in stock markets
Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies 8 (2020) 1, 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/10013199649
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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
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Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013
under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes … dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value …
Persistent link: https://www.econbiz.de/10010326135
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Modelling and Simulation: An Overview
McAleer, Michael; Chan, Felix; Oxley, Les - 2013
underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan …
Persistent link: https://www.econbiz.de/10010326266