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A note on the unbiasedness test of rationality using survey data

McAleer, Michael - In: Journal of macroeconomics 16 (1994) 2, pp. 369-374

Persistent link: https://www.econbiz.de/10001167828

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

A note on the unbiasedness test of rationality using survey data

McAleer, Michael; Smith, Jeremy - 1993

Persistent link: https://www.econbiz.de/10000871952

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

Do we need stochastic volatility and generalised autoregressive conditional heteroscedasticity? : Comparing squared end-of-day returns on ftse

Allen, David E.; McAleer, Michael - In: Risks : open access journal 8 (2020) 1/12, pp. 1-20

The paper examines the relative performance of Stochastic Volatility (SV) and Generalised Autoregressive Conditional Heteroscedasticity (GARCH) (1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we used the realized volatility (RV) of FTSE sampled at 5 min intervals taken...

Persistent link: https://www.econbiz.de/10012203997