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Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing

Asai, Manabu; McAleer, Michael - 2013

The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which accommodates leverage, feedback effects and multifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace transform...

Persistent link: https://www.econbiz.de/10010326219

A note on the unbiasedness test of rationality using survey data

McAleer, Michael - In: Journal of macroeconomics 16 (1994) 2, pp. 369-374

Persistent link: https://www.econbiz.de/10001167828

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

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

On the invertibility of EGARCH(p, q)

Martinet, Guillaume Gaetan; McAleer, Michael - In: Econometric reviews 37 (2018) 6/10, pp. 824-849

Persistent link: https://www.econbiz.de/10012040413

Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51

reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and … clearly define the concept of market efficiency and the EMH. We discuss some efforts that challenge the EMH. We review …

Persistent link: https://www.econbiz.de/10012237439