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A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael
;
Medeiros, Marcelo C.
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Journal of econometrics
147
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2008
)
1
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pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
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Shock and volatility spillovers among equity sectors of the gulf Arab stock markets
Hammoudeh, Shawkat M.
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contributor
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Yuan, Yuan
(
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2008
Persistent link: https://www.econbiz.de/10003780792
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Modelling intra-day seasonality and forecasting densities in financial duration data
Allen, David E.
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contributor
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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
); …
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2007
Persistent link: https://www.econbiz.de/10003460319
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Non-trading day effects in asymmetric conditional and stochastic volatility models
Asai, Manabu
;
McAleer, Michael
- In:
The econometrics journal
10
(
2007
)
1
,
pp. 113-123
Persistent link: https://www.econbiz.de/10003451750
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Comparison of alternative ACD models via density and interval forecasts : evidence from the Australian stock market
Allen, David E.
;
Lazarov, Zdravetz N.
;
McAleer, Michael
; …
-
2007
Persistent link: https://www.econbiz.de/10003477122
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Forecasting realized volatility with linear and nonlinear models
McAleer, Michael
;
Medeiros, Marcelo C.
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2009
Persistent link: https://www.econbiz.de/10003910296
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8
Asymmetry and long memory in volatility modelling
Asai, Manabu
;
McAleer, Michael
;
Medeiros, Marcelo C.
-
2010
Persistent link: https://www.econbiz.de/10008664039
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9
Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets
Hammoudeh, Shawkat M.
;
Yuan, Yuan
;
McAleer, Michael
- In:
The quarterly review of economics and finance : journal …
49
(
2009
)
3
,
pp. 829-842
Persistent link: https://www.econbiz.de/10003873635
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10
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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