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Combining non-replicable forecasts

Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - 2010 - Rev.

Persistent link: https://www.econbiz.de/10008689066

Ranking multivariate GARCH models by problem dimension

Caporin, Massimiliano; McAleer, Michael - 2010 - Rev.

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Ranking multivariate GARCH models by problem dimension : an empirical evaluation

Caporin, Massimiliano; McAleer, Michael - 2011

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Ten things we should know about time series

McAleer, Michael; Oxley, Les - 2010

Persistent link: https://www.econbiz.de/10008688841

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