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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
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Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis
McAleer, Michael - 2016
This paper explores the characteristics associated with the formation of bubbles that occurred in the Hong Kong stock …
Persistent link: https://www.econbiz.de/10013007997
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Robust estimation and forecasting of the capital asset pricing model
Bian, Guorui; McAleer, Michael; Wong, Wing Keung - 2013
Persistent link: https://www.econbiz.de/10009724796
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Robust Estimation and Forecasting of the Capital Asset Pricing Model
Bian, Guorui - 2010
In this paper, we develop a modified maximum likelihood (MML) estimator for the multiple linear regression model with underlying student t distribution. We obtain the closed form of the estimators, derive the asymptotic properties, and demonstrate that the MML estimator is more appropriate for...
Persistent link: https://www.econbiz.de/10013139406
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Robust Estimation and Forecasting of the Capital Asset Pricing Model
Bian, Guorui; McAleer, Michael; Wong, Wing-Keung - 2013
In this paper, we develop a modified maximum likelihood (MML) estimator for the multiple linear regression model with underlying student t distribution. We obtain the closed form of the estimators, derive the asymptotic properties, and demonstrate that the MML estimator is more appropriate for...
Persistent link: https://www.econbiz.de/10010326459
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Profiteering from the dot-com bubble, sub-prime crisis and Asian financial crisis
McAleer, Michael; Suen, John; Wong, Wing Keung - 2013
Persistent link: https://www.econbiz.de/10009767005
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Profiteering from the dot-com bubble, sub-prime crisis and Asian financial crisis
McAleer, Michael; Suen, John; Wong, Wing Keung - 2013
Persistent link: https://www.econbiz.de/10009771105
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Profiteering from the dot-com bubble, sub-prime crisis and Asian financial crisis
McAleer, Michael; Suen, John; Wong, Wing Keung - 2013
Persistent link: https://www.econbiz.de/10009754991
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Profiteering from the dot-com bubble, subprime crisis and Asian financial crisis
McAleer, Michael; Suen, John; Wong, Wing Keung - In: The Japanese economic review : the journal of the … 67 (2016) 3, pp. 257-279
Persistent link: https://www.econbiz.de/10011720858
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Robust Estimation and Forecasting of the Capital Asset Pricing Model
Bian, Guorui; McAleer, Michael; Wong, Wing-Keung - Department of Economics and Finance, College of … - 2010
In this paper, we develop a modified maximum likelihood (MML) estimator for the multiple linear regression model with underlying student t distribution. We obtain the closed form of the estimators, derive the asymptotic properties, and demonstrate that the MML estimator is more appropriate for...
Persistent link: https://www.econbiz.de/10008692053