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A Monte Carlo study of some tests of model adequacy in time series analysis

Hall, Anthony D. - In: Journal of business & economic statistics : JBES ; a … 7 (1989) 1, pp. 95-106

Persistent link: https://www.econbiz.de/10001090237

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

On the consistency of joint and paired tests for non-nested regression models

Dastoor, Naorayex K. - In: Journal of quantitative economics : official journal of … 3 (1987) 1, pp. 65-84

Persistent link: https://www.econbiz.de/10001056561

Switching orthogonality

Morimune, Kimio - In: International economic review 39 (1998) 1, pp. 171-182

Persistent link: https://www.econbiz.de/10001236205

Special issue: Recent developments in financial time series econometrics

McAleer, Michael (contributor); Oxley, Les (contributor) - 2002

Persistent link: https://www.econbiz.de/10001686254

Ten things you should know about the dynamic conditional correlation representation

Caporin, Massimiliano; McAleer, Michael - In: Econometrics : open access journal 1 (2013) 1, pp. 115-126

The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the...

Persistent link: https://www.econbiz.de/10009776381