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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

Modelling intra-day seasonality and forecasting densities in financial duration data

Allen, David E. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003805629

A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries

McAleer, Michael (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003460319

Asymmetry and long memory in volatility modeling

Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 495-512

Persistent link: https://www.econbiz.de/10009571512

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

reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and …

Persistent link: https://www.econbiz.de/10012237439

The correct regularity condition and interpretation of asymmetry in EGARCH

Chang, Chia-Lin; McAleer, Michael - 2017

In the class of univariate conditional volatility models, the three most popular 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...

Persistent link: https://www.econbiz.de/10011688332