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Estimation and testing for unit root processes with GARCH (1, 1) errors : theory and Monte Carlo evidence
Ling, Shiqing; Li, Wai Keung; McAleer, Michael - In: Econometric reviews 22 (2003) 2, pp. 179-202
Persistent link: https://www.econbiz.de/10001761653
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Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
Ling, Shiqing; Li, W.; Mcaleer, Michael - In: Econometric reviews 22 (2003) 2, pp. 179-202
Persistent link: https://www.econbiz.de/10006889426
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Inference for the VEC(1) model with a heavy-tailed linear process errors
Guo, Feifei; Ling, Shiqing - In: Econometric reviews 42 (2023) 9/10, pp. 806-833
Persistent link: https://www.econbiz.de/10014420347
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Dynamic Asymmetric Leverage in Stochastic Volatility Models
Asai, Manabu; Mcaleer, Michael - In: Econometric reviews 24 (2005) 3, pp. 317
Persistent link: https://www.econbiz.de/10006874792
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Cointegration and direct tests of the rational expectations hypothesis
McAleer, Michael - In: Econometric reviews 13 (1994) 2, pp. 231-258
Persistent link: https://www.econbiz.de/10001163111
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When are two step estimators efficient?
McAleer, Michael - In: Econometric reviews 10 (1991) 2, pp. 235-252
Persistent link: https://www.econbiz.de/10001107009
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Size characteristics of tests for sample selection bias : a Monte Carlo comparison and empirical example
Nawata, Kazumitsu; McAleer, Michael - In: Econometric reviews 20 (2001) 1, pp. 105-112
Persistent link: https://www.econbiz.de/10001582464
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A sequential testing procedure for outliers and structural change
McAleer, Michael - In: Econometric reviews 7 (1988) 1, pp. 103-111
Persistent link: https://www.econbiz.de/10001054258
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Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
Mcaleer, Michael; Hoti, Suhejla; Chan, Felix - In: Econometric reviews 28 (2009) 5, pp. 422-440
Persistent link: https://www.econbiz.de/10008212743
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Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments
Hoti, Suhejla; Maasoumi, Esfandiar; Mcaleer, Michael; … - In: Econometric reviews 28 (2009) 6, pp. 522-554
Persistent link: https://www.econbiz.de/10008251768