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The geometry of specification error

Fisher, Gordon R.; Fisher, Gordon; McAleer, Michael - 1984 - (Rev.)

Persistent link: https://www.econbiz.de/10000012602

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

Efficient estimation : the Rao-Zyskind condition, Kruskal's theorem and ordinary least squares

McAleer, Michael - In: The economic record : er 68 (1992) 200, pp. 65-72

Persistent link: https://www.econbiz.de/10001125103

Sherlock Holmes and the search for truth : a diagnostic tale

McAleer, Michael - In: Journal of economic surveys 8 (1994) 4, pp. 317-370

Persistent link: https://www.econbiz.de/10001175918

Simplicity : views of some Nobel laureates in economic science

McAleer, Michael - In: Simplicity, inference and modeling : keeping it …, (pp. 292-296). 2001

Persistent link: https://www.econbiz.de/10001651925

Automated inference and learning in modeling financial volatility

McAleer, Michael - In: Econometric theory 21 (2005) 1, pp. 232-261

Persistent link: https://www.econbiz.de/10002674705

Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay

McAleer, Michael - 2014

This note discusses some aspects of the paper by Hu and Tsay (2014), "Principal Volatility Component Analysis". The key issues are considered, and are also related to existing conditional covariance and correlation models. Some caveats are given about multivariate models of time-varying...

Persistent link: https://www.econbiz.de/10010250536

Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay

McAleer, Michael - 2014

Persistent link: https://www.econbiz.de/10010348324

Asymmetry and leverage in conditional volatility models

McAleer, Michael - In: Econometrics : open access journal 2 (2014) 3, pp. 145-150

The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...

Persistent link: https://www.econbiz.de/10010417180

Discussion of "principal volatility component analysis" by Yu-Pin Hu and Ruey Tsay

McAleer, Michael - 2014

Persistent link: https://www.econbiz.de/10010359780