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Option pricing with non-Gaussian scaling and infinite-state switching volatility
Baldovin, Fulvio; Caporin, Massimiliano; Caraglio, Michele - In: Journal of econometrics 187 (2015) 2, pp. 486-497
Persistent link: https://www.econbiz.de/10011499748
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Chasing volatility : a persistent multiplicative error model with jumps
Caporin, Massimiliano; Rossi, Eduardo; Santucci de … - In: Journal of econometrics 198 (2017) 1, pp. 122-145
Persistent link: https://www.econbiz.de/10011818372
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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
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The econometrics of intellectual property : an overview
McAleer, Michael - In: Journal of econometrics 139 (2007) 2, pp. 237-241
Persistent link: https://www.econbiz.de/10003485352
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The significance of testing empirical non-nested models
McAleer, Michael - In: Journal of econometrics 67 (1995) 1, pp. 149-172
Persistent link: https://www.econbiz.de/10006798459
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Patent activity and technical change
Basmann, Robert L.; Mcaleer, Michael; Slottje, Daniel - In: Journal of econometrics 139 (2007) 2, pp. 355-375
Persistent link: https://www.econbiz.de/10007738990
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An econometric analysis of asymmetric volatility: Theory and application to patents
Mcaleer, Michael; Chan, Felix; Marinova, Dora - In: Journal of econometrics 139 (2007) 2, pp. 259-284
Persistent link: https://www.econbiz.de/10007738995
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The econometrics of intellectual property: An overview
Mcaleer, Michael - In: Journal of econometrics 139 (2007) 2, pp. 237-241
Persistent link: https://www.econbiz.de/10007738997
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Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks
Allen, David; Chan, Felix; Mcaleer, Michael; Peiris, Shelton - In: Journal of econometrics 147 (2008) 1, pp. 163-185
Persistent link: https://www.econbiz.de/10008143195
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A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
Mcaleer, Michael; Medeiros, Marcelo C. - In: Journal of econometrics 147 (2008) 1, pp. 104-119
Persistent link: https://www.econbiz.de/10008143200