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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

memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the …

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

Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies

Allen, David E.; McAleer, Michael; Shelton, Peiris; … - 2015

Persistent link: https://www.econbiz.de/10011432736

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016

, incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model …

Persistent link: https://www.econbiz.de/10011483824

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016

Persistent link: https://www.econbiz.de/10011500273

Nonlinear time series and neural-network models of exchange rates between the US Dollar and major currencies

Allen, David E.; McAleer, Michael; Peiris, Shelton; … - 2015

This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...

Persistent link: https://www.econbiz.de/10011378229

Nonlinear time series and neural-network models of echange rates between the US Dollar and major currencies

Allen, David E.; McAleer, Michael; Peiris, Shelton; … - In: Risks : open access journal 4 (2016) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10011443686

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

Persistent link: https://www.econbiz.de/10011432790

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

expected earnings shock and its volatility, and establish properties of investor behavior on the stock price and its volatility … during financial crises and subsequent recovery. Thereafter, we develop properties to explain excess volatility, short …

Persistent link: https://www.econbiz.de/10011441491

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

Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan

Chang, Chia-Lin; McAleer, Michael - In: The Korean economic review 50 (2009) 2, pp. 241-267

Persistent link: https://www.econbiz.de/10003926815

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