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Testing separate time series models

McAleer, Michael; MacKenzie, Colin R.; Hall, Anthony D. - 1986 - Rev.

Persistent link: https://www.econbiz.de/10000715058

Cointegration and direct tests of the rational expectations hypothesis

McAleer, Michael; McKenzie, Colin; Pesaran, M. Hashem - 1993

Persistent link: https://www.econbiz.de/10000872012

Cointegration and direct tests of the rational expectations hypothesis

McAleer, Michael - In: Econometric reviews 13 (1994) 2, pp. 231-258

Persistent link: https://www.econbiz.de/10001163111

Cointegration and direct tests of the rational expectations hypothesis

McAleer, Michael; McKenzie, Colin; Pesaran, M. Hashem - 1993

Persistent link: https://www.econbiz.de/10000142719

Unit roots and cointegration analysis : the impact on empirical analysis in economics

McKenzie, Colin - In: The Japanese economic review : the journal of the … 48 (1997) 1, pp. 18-28

Persistent link: https://www.econbiz.de/10001216504

Testing the rationality of expectations in the Australian foreign exchange market using survey data with missing observations

Lim, Guay C.; McKenzie, Colin - 1992

Persistent link: https://www.econbiz.de/10000851327

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McKenzie, Colin; Takaoka, Sumiko - In: Journal of applied econometrics 27 (2012) 7, pp. 1205-1210

Persistent link: https://www.econbiz.de/10009677965

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

Asymmetry and leverage in conditional volatility models

McAleer, Michael - 2014

Persistent link: https://www.econbiz.de/10010405194

Asymmetry and leverage in conditional volatility models

McAleer, Michael - 2014

Persistent link: https://www.econbiz.de/10010410186