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Modeling the volatility of the FTSE100 index using high-frequency data sets
Allen, David E.; Scharth, Marcel - In: Stock market volatility, (pp. 419-437). 2009
Persistent link: https://www.econbiz.de/10003830648
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A semiparametric approach to a nonlinear ACD model
Wongsaart, Pipat; Gao, Jiti; Allen, David E. - 2009
Persistent link: https://www.econbiz.de/10003869607
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Modelling intra-day seasonality and forecasting densities in financial duration data
Allen, David E. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003805629
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Comparison of alternative ACD models via density and interval forecasts : evidence from the Australian stock market
Allen, David E.; Lazarov, Zdravetz N.; McAleer, Michael; … - 2007
Persistent link: https://www.econbiz.de/10003477122
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The third generation ACD model : a semiparametric approach
Wongsaart, Pipat (contributor); Gao, Jiti (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003760021
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Cointegrated dynamics for a generalized long memory process : application to interest rates
Asai, Manabu; Peiris, Shelton; McAleer, Michael; Allen, … - In: Journal of time series econometrics 12 (2020) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10012258310
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Theoretical and empirical differences between diagonal and full BEKK for risk management
Allen, David E.; McAleer, Michael - 2017
Persistent link: https://www.econbiz.de/10011734887
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Theoretical and empirical differences between diagonal and full Bekk for risk management
Allen, David E.; McAleer, Michael - 2017
The purpose of the paper is to explore the relative biases in the estimation of the Full BEKK model as compared with the Diagonal BEKK model, which is used as a theoretical and empirical benchmark. Chang and McAleer [4] show that univariate GARCH is not a special case of multivariate ARCH,...
Persistent link: https://www.econbiz.de/10011699474
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Yet another ACD model : the autoregressive conditional directional duration (ACDD) model
Jeyasreedharan, Nagaratnam; Allen, David E.; Yang, Wenling - In: Annals of financial economics 9 (2014) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10010489145
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Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management
Allen, David E. - 2017
The purpose of the paper is to explore the relative biases in the estimation of the Full BEKK model as compared with the Diagonal BEKK model, which is used as a theoretical and empirical benchmark. Chang and McAleer show that univariate GARCH is not a special case of multivariate GARCH,...
Persistent link: https://www.econbiz.de/10012951782