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The geometry of specification error
Fisher, Gordon R.; Fisher, Gordon; McAleer, Michael - 1984 - (Rev.)
Persistent link: https://www.econbiz.de/10000012602
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Volatility smirk as an externality of agency conflict and growing debt
Jaskowski, Marcin; McAleer, Michael - In: International journal of economic theory 11 (2015) 4, pp. 389-404
Persistent link: https://www.econbiz.de/10011415577
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The econometrics of intellectual property : an overview
McAleer, Michael - In: Journal of econometrics 139 (2007) 2, pp. 237-241
Persistent link: https://www.econbiz.de/10003485352
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Discussion of "principal volatility component analysis" by Yu-Pin Hu and Ruey Tsay
McAleer, Michael - 2014
Persistent link: https://www.econbiz.de/10010359780
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Herding, information cascades and volatility spillovers in futures markets
McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009787937
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Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay
McAleer, Michael - 2014
Persistent link: https://www.econbiz.de/10010348324
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Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay
McAleer, Michael - 2014
This note discusses some aspects of the paper by Hu and Tsay (2014), "Principal Volatility Component Analysis". The key issues are considered, and are also related to existing conditional covariance and correlation models. Some caveats are given about multivariate models of time-varying...
Persistent link: https://www.econbiz.de/10010250536
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The Journal of Risk and Financial Management in open access
McAleer, Michael - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 1-3
Persistent link: https://www.econbiz.de/10011553413
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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