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A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily continuously compounded...
Persistent link: https://www.econbiz.de/10010326508
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A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500
Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 6-30
This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily return series and a similar...
Persistent link: https://www.econbiz.de/10011555743
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An alternative approach to estimating demand : neural network regression with conditional volatility for high frequency air passenger arrivals
Medeiros, Marcelo C.; McAleer, Michael; Slottje, Daniel … - In: Journal of econometrics 147 (2008) 2, pp. 372-383
Persistent link: https://www.econbiz.de/10003809387
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A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
Persistent link: https://www.econbiz.de/10009711717
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A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
Persistent link: https://www.econbiz.de/10009765843
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A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
Allen, David E. - 2012
This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily continuously compounded...
Persistent link: https://www.econbiz.de/10013101770
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Simple procedures for testing autoregressive versus moving average errors in regression models
MacKenzie, Colin R.; McAleer, Michael; Gill, Len - 1990
Persistent link: https://www.econbiz.de/10000129167
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Simple procedures for testing autoregressive versus moving average errors in regression models
McKenzie, Colin; McAleer, Michael; Gill, Len - 1990 - Rev
Persistent link: https://www.econbiz.de/10000799442
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Variable addition and Lagrange multiplier tests for linear and logarithmic regression models : theory and Monte Carlo evidence
Godfrey, L. G.; McAleer, Michael; MacKenzie, Colin R. - 1986 - Rev.
Persistent link: https://www.econbiz.de/10000709154
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Moment-based estimation of smooth transition regression models with endogenous variables
Areosa, Waldyr Dutra; McAleer, Michael; Medeiros, Marcelo C. - In: Journal of econometrics 165 (2011) 1, pp. 100-111
Persistent link: https://www.econbiz.de/10009374482