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A General Asymptotic Theory for Time Series Models

Ling, Shiqing - 2009

This paper develops a general asymptotic theory for the estimation of strictly stationary and ergodic time series models. Under simple conditions that are straightforward to check, we establish the strong consistency, the rate of strong convergence and the asymptotic normality of a general class...

Persistent link: https://www.econbiz.de/10013155180

Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc

Chang, Chia-Lin; McAleer, Michael - In: Econometrics 1 (2013) 3, pp. 217-235

econometrics journals taken from the Thomson Reuters ISI Web of Science (ISI) Category of Economics, using citations data from ISI …

Persistent link: https://www.econbiz.de/10010711829

Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc

Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2013

leading econometrics journals taken from the Thomson Reuters ISI Web of Science (ISI) Category of Economics, using citations …

Persistent link: https://www.econbiz.de/10011149271

Is one diagnostic test for COVID-19 enough?

McAleer, Michael - In: Journal of Risk and Financial Management 13 (2020) 4, pp. 1-3

There is no doubt about the importance of diagnostic testing in an emergency; specifically, which range of tests is … tests including experimental tests. This includes testing for the SARS-CoV-2 virus that causes the COVID-19 disease. Testing …

Persistent link: https://www.econbiz.de/10012611306

Is one diagnostic test for COVID-19 enough?

McAleer, Michael - In: Journal of risk and financial management : JRFM 13 (2020) 4/77, pp. 1-3

Persistent link: https://www.econbiz.de/10012302713

Frontiers in time series and financial econometrics : an overview

Ling, Shiqing; McAleer, Michael; Tong, Howell - 2015

Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial … econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics … Econometrics" is to highlight several areas of research by leading academics in which novel methods have contributed significantly …

Persistent link: https://www.econbiz.de/10010484894

A cointegration analysis of agricultural, energy and bio-fuel spot and futures prices

Allen, David E.; Chang, Chia-Lin; McAleer, Michael; … - 2016

This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing crude oil spot and futures prices. The use of grains for the creation of bio-fuels has sparked fears that these demands are inflating food prices. We analyse approximately 10...

Persistent link: https://www.econbiz.de/10011479769

Testing for a common volatility process and information spillovers in bivariate financial time series models

Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2016 - Revised: February 2016

The paper considers the problem as to whether financial returns have a common volatility process in the framework of stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH test proposed by Engle and Susmel (1993), who...

Persistent link: https://www.econbiz.de/10011441709

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

Frontiers in Time Series and Financial Econometrics: An Overview

Ling, Shiqing; McAleer, Michael; Tong, Howell - 2015

Persistent link: https://www.econbiz.de/10010491413

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