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Drawbacks in the 3-factor approach of fama and French (2018)

Allen, David E.; McAleer, Michael - In: Annals of financial economics 18 (2023) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10014442370

Modeling the volatility of the FTSE100 index using high-frequency data sets

Allen, David E.; Scharth, Marcel - In: Stock market volatility, (pp. 419-437). 2009

Persistent link: https://www.econbiz.de/10003830648

The geometry of specification error

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

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

Specification tests for separate models : A survey

McAleer, Michael; McAleer, Michael - 1984

Persistent link: https://www.econbiz.de/10000007938

A Nonlinear Autoregressive Distributed Lag (NARDL) analysis of the FTSE and S&P500 indexes

Allen, David E.; McAleer, Michael - In: Risks : open access journal 9 (2021) 11, pp. 1-20

The paper features an examination of the link between the behaviour of the FTSE 100 and S&P500 Indexes in both an autoregressive distributed lag ARDL, plus a nonlinear autoregressive distributed lag NARDL framework. The attraction of NARDL is that it represents the simplest method available of...

Persistent link: https://www.econbiz.de/10012704014