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Spurious relationships for nearly non-stationary series

Cheng, Yushan; Hui, Yongchang; McAleer, Michael; Wong, … - In: Journal of Risk and Financial Management 14 (2021) 8, pp. 1-24

Literature shows that the regression of independent and (nearly) nonstationary time series could result in spurious outcomes. In this paper, we conjecture that under some situations, the regression of two independent and nearly non-stationary series does not have any spurious problem at all. To...

Persistent link: https://www.econbiz.de/10013201050

Robust ranking of journal quality : an application to economics

Chang, Chia-Lin; Maasoumi, Esfandiar; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009767002

Spurious relationships for nearly non-stationary series

Cheng, Yushan; Hui, Yongchang; McAleer, Michael; Wong, … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-24

Persistent link: https://www.econbiz.de/10012626690

Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc

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

The paper focuses on the robustness of rankings of academic journal quality and research impact of 10 leading econometrics journals taken from the Thomson Reuters ISI Web of Science (ISI) Category of Economics, using citations data from ISI and the highly accessible Research Papers in Economics...

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

Asymmetry and Leverage in Conditional Volatility Models

McAleer, Michael - In: Econometrics 2 (2014) 3, pp. 145-150

heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and … Runkle (1992), and the exponential GARCH (or EGARCH) model of Nelson (1990, 1991). The underlying stochastic specification to … obtain GARCH was demonstrated by Tsay (1987), and that of EGARCH was shown recently in McAleer and Hafner (2014). These …

Persistent link: https://www.econbiz.de/10011031443

Ten Things You Should Know about the Dynamic Conditional Correlation Representation

Caporin, Massimiliano; McAleer, Michael - In: Econometrics 1 (2013) 1, pp. 115-126

The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the...

Persistent link: https://www.econbiz.de/10011031447

A One Line Derivation of EGARCH

McAleer, Michael; Hafner, Christian M. - In: Econometrics 2 (2014) 2, pp. 92-97

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH …

Persistent link: https://www.econbiz.de/10010785679

An Event Study of Chinese Tourists to Taiwan

Chang, Chia-Lin; Hsu, Shu-Han; McAleer, Michael - 2018

, namely, GARCH (1,1), GJR (1,1) and EGARCH (1,1), are used to estimate the abnormal rate of change in the number of tourists …

Persistent link: https://www.econbiz.de/10011819518

Bayesian Analysis of Realized Matrix-Exponential GARCH Models

Asai, Manabu; McAleer, Michael - 2018

The paper develops a new realized matrix-exponential GARCH (MEGARCH) model, which uses the information of returns and … three US financial assets, we compare the realized MEGARCH models with existing multivariate GARCH class models. The …

Persistent link: https://www.econbiz.de/10011819520

Structure and asymptotic theory for nonlinear models with GARCH errors

Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - In: EconomiA 16 (2015) 1, pp. 1-21

-Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …

Persistent link: https://www.econbiz.de/10011858424