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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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Editorial note: Introduction to the inaugural special issue
McAleer, Michael - In: Annals of financial economics 9 (2014) 2, pp. 1
Persistent link: https://www.econbiz.de/10010489128
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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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Exact tests of a model against non-nested alternatives
McAleer, Michael - 1982
Persistent link: https://www.econbiz.de/10002256957
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The minimum error variance rule for non-linear regression models
McAleer, Michael - In: Economics letters 6 (1980) 1, pp. 17-21
Persistent link: https://www.econbiz.de/10002256958
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A small sample test for non-nested regression models
McAleer, Michael - In: Economics letters 7 (1981) 4, pp. 335-338
Persistent link: https://www.econbiz.de/10002256964
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Specification tests for separate models : a survey
McAleer, Michael - 1984
Persistent link: https://www.econbiz.de/10002256965
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The ten commandments for ranking university quality
McAleer, Michael - In: Journal of economic surveys 19 (2005) 4, pp. 649-654
Persistent link: https://www.econbiz.de/10003065646