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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

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

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

Moment-bases estimation of smooth transition regression models with endogenous variables

Dutra Areosa, Waldyr; McAleer, Michael; Medeiros, Marcelo C. - 2008

Persistent link: https://www.econbiz.de/10003893429

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

Testing separate regression models subject to specification error

McAleer, Michael; Fisher, Gordon - 1981

Persistent link: https://www.econbiz.de/10003528795

Zero-inflated poisson regression models : aplications in the sciences and social sciences

Truong, Buu-chau; Pho, Kim-Hung; Dinh, Cong-chanh; … - In: Annals of financial economics 16 (2021) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10012656863

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-16

corresponding statistical properties of this model, discuss the spectral likelihood estimation and investigate the finite sample …

Persistent link: https://www.econbiz.de/10011854876

A Monte Carlo comparison of OLS, IV, FIML, and Bootstrap standard errors in linear models with generated regressors

McAleer, Michael - 1990

Persistent link: https://www.econbiz.de/10000129164

Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range

Chen, Cathy W. S.; Gerlach, Richard; Hwang, Bruce B. K.; … - In: International journal of forecasting 28 (2012) 3, pp. 557-574

Persistent link: https://www.econbiz.de/10009658352

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