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Asymmetry and leverage in conditional volatility models
McAleer, Michael - 2014
The three most popular univariate conditional volatility models 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 exponential GARCH (or...
Persistent link: https://www.econbiz.de/10010405194
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Asymmetry and leverage in conditional volatility models
McAleer, Michael - In: Econometrics : open access journal 2 (2014) 3, pp. 145-150
The three most popular univariate conditional volatility models 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 exponential GARCH (or...
Persistent link: https://www.econbiz.de/10010417180
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Asymmetry and leverage in conditional volatility models
McAleer, Michael - 2015
Persistent link: https://www.econbiz.de/10010507684
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Asymmetry and leverage in conditional volatility models
McAleer, Michael - 2014
Persistent link: https://www.econbiz.de/10010410186
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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
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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
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Asymmetry and leverage in realized volatility
Asai, Manabu (contributor); McAleer, Michael (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003780794
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Multivariate stochastic volatility : an overview
Maasoumi, Esfandiar; McAleer, Michael - In: Econometric reviews 25 (2006) 2/3, pp. 139-144
Persistent link: https://www.econbiz.de/10003355701
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Multivariate stochastic volatility : a review
Asai, Manabu; McAleer, Michael; Yu, Jun - In: Econometric reviews 25 (2006) 2/3, pp. 145-175
Persistent link: https://www.econbiz.de/10003355704
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Asymmetric multivariate stochastic volatility
Asai, Manabu; McAleer, Michael - In: Econometric reviews 25 (2006) 2/3, pp. 453-473
Persistent link: https://www.econbiz.de/10003355815