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Testing the Box-Cox parameter for an integrated process

Huang, Jian; Kobayashi, Masahito; McAleer, Michael - 2010 - Rev.

Persistent link: https://www.econbiz.de/10008760495

Alternative asymmetric stochastic volatility models

Asai, Manabu; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10008760507

Block structure multivariate stochastic volatility models

Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2009

Persistent link: https://www.econbiz.de/10003987296

Market efficiency of oil spot and futures : a stochastic dominance approach

Hooi Hooi Lean; McAleer, Michael; Wong, Wing Keung - 2010

Persistent link: https://www.econbiz.de/10003987327

Investor preferences for oil spot and futures based on mean-variance and stochastic dominance

Hooi Hooi Lean; McAleer, Michael; Wong, Wing Keung - 2010

Persistent link: https://www.econbiz.de/10003987669

Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX

Ishida, Isao; McAleer, Michael; Oya, Kosuke - 2011 - Rev.

This paper proposes a new method for estimating continuous-time stochastic volatility (SV) models for the S&P 500 stock index process using intraday high-frequency observations of both the S&P 500 index and the Chicago Board of Exchange (CBOE) implied (or expected) volatility index (VIX)....

Persistent link: https://www.econbiz.de/10008936795