Narrow search
Showing 1 - 10 of 65
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments
Hoiti, Suhejla; Maasoumi, Esfandiar; McAleer, Michael; … - Departament d'Economia Aplicada, Facultat de Ciències … - 2005
assessment of the implications of modelling conditional volatility on forecasting performance. The estimated conditional …
Persistent link: https://www.econbiz.de/10005827745
Cover Image
Realized Volatility Risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - Tinbergen Instituut - 2013
forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …
Persistent link: https://www.econbiz.de/10011256164