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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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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
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Automated inference and learning in modeling financial volatility
McAleer, Michael - In: Econometric theory 21 (2005) 1, pp. 232-261
Persistent link: https://www.econbiz.de/10002674705
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Sherlock Holmes and the search for truth : a diagnostic tale
McAleer, Michael - In: Journal of economic surveys 8 (1994) 4, pp. 317-370
Persistent link: https://www.econbiz.de/10001175918
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Efficient estimation : the Rao-Zyskind condition, Kruskal's theorem and ordinary least squares
McAleer, Michael - In: The economic record : er 68 (1992) 200, pp. 65-72
Persistent link: https://www.econbiz.de/10001125103
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The significance of testing empirical non-nested models
McAleer, Michael - In: Journal of econometrics 67 (1995) 1, pp. 149-171
Persistent link: https://www.econbiz.de/10001333013