Search Results

Drawbacks in the 3-factor approach of fama and French (2018)

Allen, David E.; McAleer, Michael - In: Annals of financial economics 18 (2023) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10014442370

Special Issue in Honour of Professor Michael McAleer

Allen, David (ed.); Alghalith, Moawia (ed.); … - 2023

Persistent link: https://www.econbiz.de/10014442457

Special issue : in memory of Michael McAleer

Maasoumi, Esfandiar; Taylor, Robert - 2023

Persistent link: https://www.econbiz.de/10014420400

Annals issue: Time series analysis of higher moments and distributions of financial data

Andersen, Torben (ed.); Chang, Chia-Lin (ed.); … - Association of Asia-Pacific Business School's Academic … - 2022

Persistent link: https://www.econbiz.de/10013440599

Bayesian analysis of realized matrix-exponential GARCH models

Asai, Manabu; McAleer, Michael - In: Computational economics 59 (2022) 1, pp. 103-123

Persistent link: https://www.econbiz.de/10013168928

Multivariate hyper-rotated GARCH-BEKK

Asai, Manabu; McAleer, Michael - In: Journal of time series econometrics 14 (2022) 2, pp. 175-198

Persistent link: https://www.econbiz.de/10013260190

Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 227 (2022) 1, pp. 285-304

Persistent link: https://www.econbiz.de/10013441658

A Nonlinear Autoregressive Distributed Lag (NARDL) analysis of the FTSE and S&P500 indexes

Allen, David E.; McAleer, Michael - In: Risks 9 (2021) 11, pp. 1-20

The paper features an examination of the link between the behaviour of the FTSE 100 and S&P500 Indexes in both an autoregressive distributed lag ARDL, plus a nonlinear autoregressive distributed lag NARDL framework. The attraction of NARDL is that it represents the simplest method available of...

Persistent link: https://www.econbiz.de/10013200858

Asset investment diversification, bankruptcy risk and the mediating role of business diversification

Vu Huu Thanh; Nguyen Minh Ha; McAleer, Michael - In: Annals of financial economics 16 (2021) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10012650173

Asymptotic and finite sample properties for multivariate rotated GARCH models

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; … - In: Econometrics : open access journal 9 (2021) 2, pp. 1-21

This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From the definition of RBEKK, the unconditional covariance matrix is estimated in the first step to rotate the observed variables in order to have the identity...

Persistent link: https://www.econbiz.de/10012547429