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Asymptotic and finite sample properties for multivariate rotated GARCH models
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; … - In: Econometrics : open access journal 9 (2021) 2, pp. 1-21
This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From the definition of RBEKK, the unconditional covariance matrix is estimated in the first step to rotate the observed variables in order to have the identity...
Persistent link: https://www.econbiz.de/10012547429
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Multivariate hyper-rotated GARCH-BEKK
Asai, Manabu; McAleer, Michael - In: Journal of time series econometrics 14 (2022) 2, pp. 175-198
Persistent link: https://www.econbiz.de/10013260190
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Spectrally-corrected estimation for high-dimensional Markowitz mean-variance optimization
Bai, Zhidong; Li, Hua; McAleer, Michael; Wong, Wing Keung - 2016
simulations, we compare the spectrally-corrected estimates with the traditional and bootstrap-corrected estimates, and show the …
Persistent link: https://www.econbiz.de/10011456708
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Spectrally-corrected estimation for high-dimensional Markowitz mean-variance optimization
Bai, Zhidong; Li, Hua; McAleer, Michael; Wong, Wing Keung - 2016
Persistent link: https://www.econbiz.de/10011477196
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Theory and application of an economic performance measure of risk
Niu, Cuizhen; Guo, Xu; McAleer, Michael; Wong, Wing Keung - 2017
Persistent link: https://www.econbiz.de/10011668139
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Forecasting realized volatility with linear and nonlinear models
McAleer, Michael; Medeiros, Marcelo C. - 2009
Persistent link: https://www.econbiz.de/10003910296
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Specification Testing of Production in a Stochastic Frontier Model
Guo, Xu - 2017
based on local smoothing and an empirical process, respectively. Residual-based wild bootstrap versions of these two test …
Persistent link: https://www.econbiz.de/10012944869
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Specification testing of production in a stochastic frontier model
Guo, Xu; Li, Gao-Rong; McAleer, Michael; Wong, Wing Keung - 2017
Persistent link: https://www.econbiz.de/10011734817
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Specification testing of production in a stochastic frontier model
Guo, Xu; Li, Gao-Rong; McAleer, Michael; Wong, Wing Keung - 2017
based on local smoothing and an empirical process, respectively. Residual-based wild bootstrap versions of these two test …
Persistent link: https://www.econbiz.de/10011739112
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Forecasting Realized Volatility with Linear and Nonlinear Models
McAleer, Michael - 2009
based on bagging (bootstrap aggregation) in order to specify the models analyzed in the paper …
Persistent link: https://www.econbiz.de/10013155198