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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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On the invertibility of EGARCH(p, q)
Martinet, Guillaume Gaetan; McAleer, Michael - In: Econometric reviews 37 (2018) 6/10, pp. 824-849
Persistent link: https://www.econbiz.de/10012040413
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The correct regularity condition and interpretation of asymmetry in EGARCH
Chang, Chia-Lin; McAleer, Michael - 2017
In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the...
Persistent link: https://www.econbiz.de/10011688332
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A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises
Guo, Xu; McAleer, Michael; Wong, Wing Keung; Zhu, Lixing - In: The North American journal of economics and finance : a … 42 (2017), pp. 346-358
Persistent link: https://www.econbiz.de/10011938136
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The correct regularity condition and interpretation of asymmetry in EGARCH
Chang, Chia-Lin; McAleer, Michael - In: Economics letters 161 (2017), pp. 52-55
Persistent link: https://www.econbiz.de/10011903867
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Asymmetry and long memory in volatility modeling
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 495-512
Persistent link: https://www.econbiz.de/10009571512
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Modelling intra-day seasonality and forecasting densities in financial duration data
Allen, David E. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003805629
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A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
McAleer, Michael (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003460319
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A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael; Medeiros, Marcelo C. - In: Journal of econometrics 147 (2008) 1, pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
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A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises
Guo, Xu; McAleer, Michael; Wong, Wing Keung; Zhu, Lixing - 2016
In this paper, we introduce a new Bayesian approach to explain some market anomalies during financial crises and subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to incorporate the impact of financial crises. We further assume...
Persistent link: https://www.econbiz.de/10011441491