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The structure of dynamic correlations in multivariate stochastic volatility models
Asai, Manabu; McAleer, Michael - In: Journal of econometrics 150 (2009) 2, pp. 182-192
Persistent link: https://www.econbiz.de/10003858519
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Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Asai, Manabu; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 436-446
Persistent link: https://www.econbiz.de/10011499703
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Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu; McAleer, Michael - In: Journal of econometrics 189 (2015) 2, pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
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Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 199 (2017) 2, pp. 202-213
Persistent link: https://www.econbiz.de/10011897674
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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
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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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Stationarity and the existence of moments of a family of GARCH processes
Ling, Shiqing; McAleer, Michael - In: Journal of econometrics 106 (2002) 1, pp. 109-117
Persistent link: https://www.econbiz.de/10001634306
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Moment-based estimation of smooth transition regression models with endogenous variables
Areosa, Waldyr Dutra; McAleer, Michael; Medeiros, Marcelo C. - In: Journal of econometrics 165 (2011) 1, pp. 100-111
Persistent link: https://www.econbiz.de/10009374482
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Moment restriction-based econometric methods : an overview
Kunitomo, Naoto; McAleer, Michael; Nishiyama, Yoshihiko - In: Journal of econometrics 165 (2011) 1, pp. 1-4
Persistent link: https://www.econbiz.de/10009374510