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Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers

Chan, Felix (contributor); McAleer, Michael (contributor) - 2001 - [Elektronische Ressource]

This paper investigates several empirical issues regarding quasimaximum likelihood estimation of Smooth Transition Autoregressive (STAR) models with GARCH errors, specifically STAR-GARCH and STAR-STGARCH. Convergence, the choice of different algorithms for maximising the likelihood function, and...

Persistent link: https://www.econbiz.de/10001644307

Modelling the determinants of international tourism demand to Australia

Lim, Christine (contributor); McAleer, Michael (contributor) - 2001 - [Elektronische Ressource]

Prior to the recent Asian currency and economic crises, tourism from Asia had rapidly become Australia's major tourism export industry. Tourists from Singapore, which is Australia's fifth major market, represented 6% of international tourist arrivals to Australia in 1996. The average annual...

Persistent link: https://www.econbiz.de/10001644310

Efficient estimation and testing of oil futures contracts in a mutual offset system

McAleer, Michael; Sequeira, John M. - In: Applied financial economics 14 (2004) 13, pp. 953-962

Persistent link: https://www.econbiz.de/10002195488

Testing multiple non-nested factor demand systems

Manera, Matteo; McAleer, Michael - In: Bulletin of economic research 57 (2005) 1, pp. 37-66

Persistent link: https://www.econbiz.de/10002653756

Convergence and catching up in ASEAN : a comparative analysis

Lim, Lee K.; McAleer, Michael - In: Applied economics 36 (2004) 2, pp. 137-153

Persistent link: https://www.econbiz.de/10001898878

The econometrics of financial time series

McAleer, Michael; Oxley, Les - In: Contributions to financial econometrics : theoretical …, (pp. 1-7). 2003

Persistent link: https://www.econbiz.de/10001932648

Recent theoretical results for time series models with GARCH errors

Li, Wai Keung; Ling, Shiqing; McAleer, Michael - In: Contributions to financial econometrics : theoretical …, (pp. 9-33). 2003

Persistent link: https://www.econbiz.de/10001932650

Asymptotic properties of the estimator of the long-run coefficient in a dynamic model with integrated regressors and serially correlated errors

He, Zonglu; Maekawa, Koichi; McAleer, Michael - In: The Japanese economic review : the journal of the … 54 (2003) 4, pp. 420-438

Persistent link: https://www.econbiz.de/10001866933

Trends and volatilities in foreign patents registered in the USA

Chan, Felix; Marinova, Dora; McAleer, Michael - In: Applied economics 36 (2004) 6, pp. 585-592

Persistent link: https://www.econbiz.de/10002026414

Modelling the riskiness in country risk ratings

Hoti, Suhejla; McAleer, Michael - 2005 - 1. ed.

Persistent link: https://www.econbiz.de/10002524796