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Specification tests for separate models : A survey

McAleer, Michael; MacAleer, Michael - 1984

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

The geometry of specification error

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

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

Modeling and Simulation: An Overview

McAleer, Michael; Chan, Felix; Oxley, Les - Department of Economics and Finance, College of … - 2013

through the comparison of simultaneous and sequential estimation, modeling tail credit risk using transition matrices …

Persistent link: https://www.econbiz.de/10010907447

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