Michael McAleer : Citation Profile


Are you Michael McAleer?

Asia University (99% share)
Erasmus Universiteit Rotterdam (1% share)

28

H index

103

i10 index

3730

Citations

RESEARCH PRODUCTION:

312

Articles

942

Papers

1

Books

EDITOR:

2

Books edited

3

Series edited

RESEARCH ACTIVITY:

   40 years (1978 - 2018). See details.
   Cites by year: 93
   Journals where Michael McAleer has often published
   Relations with other researchers
   Recent citing documents: 341.    Total self citations: 748 (16.7 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmc90
   Updated: 2018-08-18    RAS profile: 2018-08-18    
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Relations with other researchers


Works with:

Chang, Chia-Lin (226)

Allen, David (82)

Asai, Manabu (43)

Wong, Wing-Keung (41)

Powell, Robert (31)

Caporin, Massimiliano (17)

Jimenez-Martin, Juan (14)

Oxley, Les (12)

Hsu, Hui-Kuang (11)

perez-amaral, teodosio (11)

Hafner, Christian (8)

Franses, Philip Hans (7)

Maasoumi, Esfandiar (6)

Savva, Christos (6)

Chan, Felix (6)

Lean, Hooi Hooi (5)

Garcia-Hiernaux, Alfredo (5)

Hammoudeh, Shawkat (5)

Scharth, Marcel (4)

Tong, Howell (4)

Yue, Xiaoguang (4)

Guerrero, David (4)

Slottje, Daniel (3)

Zhu, Lixing (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Michael McAleer.

Is cited by:

Chang, Chia-Lin (147)

Jimenez-Martin, Juan (89)

Nguyen, Duc Khuong (88)

Caporin, Massimiliano (69)

Asongu, Simplice (58)

Hammoudeh, Shawkat (54)

Omori, Yasuhiro (53)

Wong, Wing-Keung (49)

AROURI, Mohamed (45)

Ruiz, Esther (42)

Asai, Manabu (41)

Cites to:

Wong, Wing-Keung (447)

Chang, Chia-Lin (375)

Bollerslev, Tim (268)

Engle, Robert (238)

Ling, Shiqing (236)

Caporin, Massimiliano (127)

Chan, Felix (119)

Hafner, Christian (112)

Oxley, Les (98)

Asai, Manabu (89)

Lean, Hooi Hooi (81)

Main data


Where Michael McAleer has published?


Journals with more than one article published# docs
Mathematics and Computers in Simulation (MATCOM)58
Journal of Economic Surveys38
Journal of Econometrics21
Econometric Reviews16
Applied Economics11
Journal of Risk and Financial Management10
Journal of Reviews on Global Economics9
Annals of Financial Economics (AFE)8
The North American Journal of Economics and Finance8
International Review of Economics & Finance7
Economics Letters7
Econometric Theory6
Journal of Applied Econometrics6
Energy Economics6
Applied Financial Economics6
International Journal of Forecasting5
Scientometrics5
Econometrics5
Statistica Neerlandica5
The Japanese Economic Review5
The Review of Economics and Statistics4
Sustainability4
Managerial Finance3
Journal of Forecasting3
Canadian Journal of Economics3
Energies2
Tourism Management2
Journal of Financial Econometrics2
Economic Journal2
Journal of Macroeconomics2
The Quarterly Review of Economics and Finance2
Economic Modelling2
Computational Statistics & Data Analysis2
Oxford Bulletin of Economics and Statistics2
The Economic Record2
Econometrics Journal2

Working Papers Series with more than one paper published# docs
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute213
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico180
Tinbergen Institute Discussion Papers / Tinbergen Institute139
KIER Working Papers / Kyoto University, Institute of Economic Research94
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo77
CARF F-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo33
ISER Discussion Paper / Institute of Social and Economic Research, Osaka University16
Working Papers / Queen's University, Department of Economics16
"Marco Fanno" Working Papers / Dipartimento di Scienze Economiche "Marco Fanno"4
DEA Working Papers / Universitat de les Illes Balears, Departament d'Economía Aplicada4
MPRA Paper / University Library of Munich, Germany4
Textos para discussăo / Department of Economics PUC-Rio (Brazil)3
Working Papers / Fondazione Eni Enrico Mattei2

Recent works citing Michael McAleer (2018 and 2017)


YearTitle of citing document
2017Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Delle Monache, Davide ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2017-16.

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2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). TerÀsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2018Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-13.

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2017Managing Energy Price Risk using Futures Contracts: A Comparative Analysis. (2017). Hanly, Jim . In: The Energy Journal. RePEc:aen:journl:ej38-3-hanly.

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2017Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil. (2017). Byun, Sung Je ; Je, Sung. In: The Energy Journal. RePEc:aen:journl:ej38-5-byun.

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2017Effects of globalization on peace and stability: Implications for governance and the knowledge economy of African countries. (2017). Asongu, Simplice ; ANDRES, ANTONIO ; Amavilah, Voxi Heinrich. In: Working Papers. RePEc:agd:wpaper:17/014.

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2017The Role of Openness in the Effect of ICT on Governance. (2017). Nwachukwu, Jacinta ; Asongu, Simplice. In: Working Papers. RePEc:agd:wpaper:17/050.

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2017“Regional tourism demand forecasting with machine learning models: Gaussian process regression vs. neural network models in a multiple-input multiple-output setting”. (2017). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: AQR Working Papers. RePEc:aqr:wpaper:201701.

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2017“Let the data do the talking: Empirical modelling of survey-based expectations by means of genetic programming”. (2017). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: AQR Working Papers. RePEc:aqr:wpaper:201706.

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2017“What really matters is the economic performance: Positioning tourist destinations by means of perceptual maps”. (2017). Claveria, Oscar. In: AQR Working Papers. RePEc:aqr:wpaper:201707.

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2018“Tracking economic growth by evolving expectations via genetic programming: A two-step approach”. (2018). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: AQR Working Papers. RePEc:aqr:wpaper:201801.

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2018“A regional perspective on the accuracy of machine learning forecasts of tourism demand based on data characteristics”. (2018). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: AQR Working Papers. RePEc:aqr:wpaper:201802.

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2017Day of the Week Effect in biotechnology stocks: An Application of the GARCH processes. (2017). Chatterjee, Swarnankur. In: Papers. RePEc:arx:papers:1701.07175.

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2017A New Class of Discrete-time Stochastic Volatility Model with Correlated Errors. (2017). Mukhoti, Sujay ; Ranjan, Pritam . In: Papers. RePEc:arx:papers:1703.06603.

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2017A note on the Nelson Cao inequality constraints in the GJR-GARCH model: Is there a leverage effect?. (2017). Stavroyiannis, Stavros. In: Papers. RePEc:arx:papers:1705.00535.

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2017Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Wang, Chao ; Gerlach, Richard ; Chen, Qian. In: Papers. RePEc:arx:papers:1707.03715.

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2017Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach. (2017). Barbaglia, Luca ; Wilms, Ines ; Croux, Christophe. In: Papers. RePEc:arx:papers:1708.02073.

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2018New HSIC-based tests for independence between two stationary multivariate time series. (2018). Wang, Guochang ; Zhu, KE ; Li, Wai Keung. In: Papers. RePEc:arx:papers:1804.09866.

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2018Total, asymmetric and frequency connectedness between oil and forex markets. (2018). Kočenda, EvĆŸen ; Baruník, Jozef ; Kovcenda, Evvzen. In: Papers. RePEc:arx:papers:1805.03980.

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2018Finite Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model. (2018). Kyriakopoulou, Dimitra ; Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:1802.

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2017Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns. (2017). Ravazzolo, Francesco ; Foroni, Claudia ; Sadaba, Barbara . In: Staff Working Papers. RePEc:bca:bocawp:17-19.

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2017Bilateral FDI from South Africa and Income Convergence in SADC. (2017). Dunne, John ; Masiyandima, Nicholas . In: African Development Review. RePEc:bla:afrdev:v:29:y:2017:i:3:p:403-415.

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2017Volatility Effects of Index Trading and Spillovers on US Agricultural Futures Markets: A Multivariate GARCH Approach. (2017). Sanjuan-Lopez, Ana I ; Dawson, Philip J. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:68:y:2017:i:3:p:822-838.

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2017Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage. (2017). Ishihara, Tsunehiro ; Omori, Yasuhiro. In: The Japanese Economic Review. RePEc:bla:jecrev:v:68:y:2017:i:1:p:63-94.

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2017Modeling economic growth with tourism for small open economies. (2017). Kumar, Ronald ; Stauvermann, Peter Josef. In: Metroeconomica. RePEc:bla:metroe:v:68:y:2017:i:4:p:1001-1018.

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2017Was it different the second time? An empirical analysis of contagion during the crises in Greece 2009–15. (2017). Pentecost, Eric ; Willett, Thomas ; Du, Wenti ; Bird, Graham. In: The World Economy. RePEc:bla:worlde:v:40:y:2017:i:12:p:2530-2542.

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2017Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach. (2017). Balaa, Dahiru A ; Takimotob, Taro . In: Borsa Istanbul Review. RePEc:bor:bistre:v:17:y:2017:i:1:p:25-48.

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2018Markov-switching quantile autoregression: a Gibbs sampling approach. (2018). Liu, Xiaochun ; Richard, LUGER ; Xiaochun, Liu. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:2:p:0:n:4.

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2018A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns. (2018). Markus, Haas ; Ji-Chun, Liu. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:3:p:27:n:3.

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2017Publication Performance vs. Influence: On the Questionable Value of Quality Weighted Publication Rankings. (2017). Wohlrabe, Klaus ; Thomas, Tobias ; Haucap, Justus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6818.

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2017Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data. (2017). Wilfling, Bernd ; Lau, Chi Keung ; GUPTA, RANGAN ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:6117.

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2017Bayesian semiparametric multivariate stochastic volatility with an application to international stock-market co-movements. (2017). Wilfling, Bernd ; Trede, Mark ; Zaharieva, Martina Danielova . In: CQE Working Papers. RePEc:cqe:wpaper:6217.

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2018Selective matching: gender gap and network formation in research. (2018). Combes, Stephanie ; Givord, Pauline . In: Working Papers. RePEc:crs:wpaper:2018-07.

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2017Modeling and forecasting the oil volatility index. (2017). Veiga, Helena ; Mariti, Massimo B ; Gonalves, Joao Henrique ; Lopes, Maria Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:25985.

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2017Modeling the spillovers between stock market and money market in Nigeria. (2017). Salisu, Afees ; Isah, Kazeem. In: Working Papers. RePEc:cui:wpaper:0023.

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2017US stocks in the presence of oil price risk: Large cap vs. Small cap. (2017). Salisu, Afees ; Oloko, Tirimisiyu ; Swaray, Raymond. In: Working Papers. RePEc:cui:wpaper:0037.

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2017Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis. (2017). LĂƒÂŒtkepohl, Helmut ; Schlaak, Thore ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1672.

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2017On Oil-US Exchange Rate Volatility Relationships: an Intradaily Analysis. (2017). JAWADI, Fredj ; ben ameur, hachmi ; Cheffou, Abdoulkarim Idi ; Louhichi, Wael. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-11.

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2017Testing for Extreme Volatility Transmission with Realized Volatility Measures. (2017). Tokpavi, Sessi ; Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles ; Boucher, Christophe . In: EconomiX Working Papers. RePEc:drm:wpaper:2017-20.

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2018Multivariate Periodic Stochastic Volatility Models: Applications to Algerian dinar exchange rates and oil prices modeling. (2018). Souam, Saïd ; Hamdi, Faycal ; Boussaha, Nadia. In: EconomiX Working Papers. RePEc:drm:wpaper:2018-14.

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2017Feasibility of Monetary Union in the SADC and EAC: Evidence from Business Cycle Synchronisation. (2017). Redda, Ephrem Habtemichael ; Muzindutsi, Paul-Francois. In: EuroEconomica. RePEc:dug:journl:y:2017:i:2:p:135-144.

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2018A note on the absolute moments of the bivariate normal distribution. (2018). Haas, Markus. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00492.

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2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models. (2017). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/248676.

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2017Exchange Rate Movements, Stock Prices and Volatility in the Caribbean and Latin America. (2017). Iglesias, Emma ; Haughton, Andre Yone . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-02-57.

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2017Forecasting Gold Price with Auto Regressive Integrated Moving Average Model. (2017). Tripathy, Nalini Prava . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-04-41.

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2017International Tourism Demand and Macroeconomic Factors. (2017). Khandaker, Sarod ; Islam, Silvia Zia . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-05-46.

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2017The Causality Relationships between Economic Confidence and Fundamental Macroeconomic Indicators: Empirical Evidence from Selected European Union Countries. (2017). Artan, Seyfettin ; Demirel, Selim Koray. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-05-50.

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2017Does Oil Prices Uncertainty Affect Stock Returns in Russia: A Bivariate Generalized Autoregressive Conditional Heteroskedasticity-in-Mean Approach. (2017). Bass, Alexander. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2017-04-27.

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2017Examining Energy Futures Market Efficiency Under Multiple Regime Shifts. (2017). Buberkoku, Onder. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2017-06-8.

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2017Urban-rural imbalance and Tourism-Led Growth in China. (2017). Liu, Jingjing ; Lin, Derong ; Nijkamp, Peter. In: Annals of Tourism Research. RePEc:eee:anture:v:64:y:2017:i:c:p:24-36.

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2017Modelling the interdependence of tourism demand: The global vector autoregressive approach. (2017). Cao, Zheng ; Li, Gang ; Song, Haiyan. In: Annals of Tourism Research. RePEc:eee:anture:v:67:y:2017:i:c:p:1-13.

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2017The contagion effect of international crude oil price fluctuations on Chinese stock market investor sentiment. (2017). Zhang, Yuejun ; Ding, Zhihua ; Long, Ruyin ; Liu, Zhenhua . In: Applied Energy. RePEc:eee:appene:v:187:y:2017:i:c:p:27-36.

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2017A mixed biomass-based energy supply chain for enhancing economic and environmental sustainability benefits: A multi-criteria decision making framework. (2017). Murthy, Ganti S ; Mirkouei, Amin ; Haapala, Karl R ; Sessions, John. In: Applied Energy. RePEc:eee:appene:v:206:y:2017:i:c:p:1088-1101.

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2018Financial risk network architecture of energy firms. (2018). Uribe, Jorge ; Manotas, Diego ; Restrepo, Natalia . In: Applied Energy. RePEc:eee:appene:v:215:y:2018:i:c:p:630-642.

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2018Oil price fluctuations and the small open economies of Southeast Asia: An analysis using vector autoregression with block exogeneity. (2018). Vu, Tuan Khai ; Nakata, Hayato. In: Journal of Asian Economics. RePEc:eee:asieco:v:54:y:2018:i:c:p:1-21.

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2018The Korean Air nut rage scandal: Domestic versus international responses to a viral incident. (2018). Kim, Rebecca Chunghee ; Uddin, Helal ; Yoo, Kate Inyoung. In: Business Horizons. RePEc:eee:bushor:v:61:y:2018:i:4:p:533-544.

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2018Convergence and transitional dynamics of Chinas industrial output: A county-level study using a new framework of distribution dynamics analysis. (2018). Se, Tsun ; Wu, Yanrui. In: China Economic Review. RePEc:eee:chieco:v:48:y:2018:i:c:p:125-138.

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2017Robust estimation in stochastic frontier models. (2017). Kang, Jiwon ; Oh, Dong-Hyun ; Song, Junmo. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:105:y:2017:i:c:p:243-267.

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2018Parameter change tests for ARMA–GARCH models. (2018). Song, Junmo ; Kang, Jiwon. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:121:y:2018:i:c:p:41-56.

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2017Asymmetric determinants of CDS spreads: U.S. industry-level evidence through the NARDL approach. (2017). Shahzad, Syed Jawad Hussain ; Ferrer, Roman ; Nor, Safwan Mohd ; Hussain, Syed Jawad ; Hammoudeh, Shawkat. In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:211-230.

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2017Effective timing of tourism policy: The case of Singapore. (2017). Agiomirgianakis, George ; Tsounis, Nicholas ; Serenis, Dimitrios . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:29-38.

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2017Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). , ; Wei, YU ; Liu, Jing ; Ma, Feng. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26.

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2017Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect. (2017). Ahmed, Abdullahi D ; Huo, Rui . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:260-272.

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2017US economic policy uncertainty and co-movements between Chinese and US stock markets. (2017). Li, Xiao-Ming ; Peng, LU. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:27-39.

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2017The relevance and relative robustness of sources of inflation bias in Pakistan. (2017). Balli, Faruk ; Rehman, Muhammad ; Hayat, Zafar. In: Economic Modelling. RePEc:eee:ecmode:v:63:y:2017:i:c:p:283-303.

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2017Equity market information and credit risk signaling: A quantile cointegrating regression approach. (2017). Gatfaoui, Hayette. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:48-59.

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2017Forecasting the oil futures price volatility: A new approach. (2017). Ma, Feng ; Chen, Wang ; Huang, Dengshi ; Liu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:560-566.

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2017Financial contagion and volatility spillover: An exploration into Indian commodity derivative market. (2017). Sinha Roy, Saikat. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:368-380.

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2018How efficient are Chinas macroeconomic forecasts? Evidences from a new forecasting evaluation approach. (2018). Sun, Yuying ; Zhang, Xun ; Wang, Shouyang. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:506-513.

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2018The macroeconomic determinants of commodity futures volatility: Evidence from Chinese and Indian markets. (2018). Gupta, Rakesh ; Singh, Tarlok ; Li, Bin ; Mo, DI. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:543-560.

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2018Time-varying efficiency in food and energy markets: Evidence and implications. (2018). Jebabli, Ikram ; Roubaud, David. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:97-114.

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2018Optimal hedge ratios for clean energy equities. (2018). Ahmad, Wasim ; Sharma, Amit ; Sadorsky, Perry. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:278-295.

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2017Informativeness of the market news sentiment in the Taiwan stock market. (2017). Hsu, Yen-Ju ; Chen, Jen-Nan ; Wei, Yu-Chen ; Lu, Yang-Cheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:158-181.

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2017Herding behavior, market sentiment and volatility: Will the bubble resume?. (2017). Uddin, Gazi ; Bekiros, Stelios ; Naoui, Kamel ; Lucey, Brian ; Jlassi, Mouna. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:107-131.

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2018Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Ma, Feng ; Zhang, Yaojie ; Liu, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108.

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2017Inference and testing on the boundary in extended constant conditional correlation GARCH models. (2017). Pedersen, Rasmus. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:23-36.

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2017Tests for conditional ellipticity in multivariate GARCH models. (2017). Francq, Christian ; Meintanis, S G ; Jimenez-Gamero, M D. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:305-319.

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2017Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367.

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2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading. (2017). Xiu, Dacheng ; Shephard, Neil. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:19-42.

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2017Generalized dynamic factor models and volatilities: estimation and forecasting. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:307-321.

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Darolles, Serge ; Laurent, Sebastien ; Francq, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:223-247.

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2017Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models. (2017). Gruber, Lutz F ; West, Mike . In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:3-22.

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2017Cholesky realized stochastic volatility model. (2017). Shirota, Shinichiro ; Piao, Haixiang ; Lopes, Hedibert F ; Omori, Yasuhiro. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59.

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2017Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency. (2017). Wong, Wing-Keung ; Xiao, Zhijie . In: European Journal of Operational Research. RePEc:eee:ejores:v:261:y:2017:i:2:p:666-678.

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2017Volatility spillover and hedging effectiveness among China and emerging Asian Islamic equity indexes. (2017). Majdoub, Jihed ; ben Sassi, Salim . In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:16-31.

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2017The kidnapping of Europe: High-order moments transmission between developed and emerging markets. (2017). Perote, Javier ; Mora-Valencia, Andrés ; del Brio, Esther B. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:96-115.

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2018A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets. (2018). Rizvi, Syed Aun R. ; Alam, Nafis ; Arshad, Shaista ; Aun, Syed . In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:143-161.

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2018Extreme dependence and risk spillovers between oil and Islamic stock markets. (2018). Hussain, Syed Jawad ; Al-Yahyaee, Khamis H ; Ur, Mobeen ; Hammoudeh, Shawkat ; Mensi, Walid. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:42-63.

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2017Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why?. (2017). Nonejad, Nima. In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:131-154.

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2017Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates. (2017). Fries, Christian P ; Seeger, Norman ; Nigbur, Tobias . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:175-198.

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2017The impact of crude oil prices on financial market indicators: copula approach. (2017). KÜÇÜKÖZMEN, CUMHUR ; Selcuk-Kestel, Sevtap A ; Kuukozmen, Cokun C ; Kayalar, Derya Ezgi . In: Energy Economics. RePEc:eee:eneeco:v:61:y:2017:i:c:p:162-173.

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2017Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets. (2017). Yoon, Seong-Min ; McIver, Ron ; Kang, Sang Hoon. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:19-32.

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2017Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model. (2017). Pino Saldías, Gabriel ; Herrera, Rodrigo ; Rodriguez, Alejandro. In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:129-143.

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2017Pure martingale and joint normality tests for energy futures contracts. (2017). Shrestha, Keshab ; Rassiah, Puspavathy ; Subramaniam, Ravichandran. In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:174-184.

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2017A wavelet analysis of mean and volatility spillovers between oil and BRICS stock markets. (2017). Raza, Syed ; Boubaker, Heni . In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:105-117.

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2017Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?. (2017). Baruník, Jozef ; Apergis, Nicholas ; Keung, Marco Chi. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:108-115.

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2017The dependence structure across oil, wheat, and corn: A wavelet-based copula approach using implied volatility indexes. (2017). Roubaud, David ; Mensi, walid ; Bouri, Elie ; Al-Yahyaee, Khamis ; Tiwari, Aviral. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:122-139.

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2017Modeling and predicting oil VIX: Internet search volume versus traditional mariables. (2017). Campos, I ; Reyes, T ; Cortazar, G. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:194-204.

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2017Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis. (2017). Andriosopoulos, Kostas ; Spyrou, Spyros ; Galariotis, Emilios. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:217-227.

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2017Hedging downside risk of oil refineries: A vine copula approach. (2017). Sukcharoen, Kunlapath ; Leatham, David. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:493-507.

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More than 100 citations found, this list is not complete...

Michael McAleer is editor of


Journal
Journal of Risk and Financial Management
Journal of Reviews on Global Economics
Annals of Financial Economics (AFE)

Michael McAleer has edited the books:


YearTitleTypeCited

Works by Michael McAleer:


YearTitleTypeCited
1985What Will Take the Con out of Econometrics? In: American Economic Review.
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article80
1985What Will Take the Con Out of Econometrics?.(1985) In: CEPR Discussion Papers.
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2015Structure and asymptotic theory for nonlinear models with GARCH erros In: Economia.
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article1
2010Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors.(2010) In: Working Papers in Economics.
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paper
2011Structure and Asymptotic theory for Nonlinear Models with GARCH Errors.(2011) In: Econometric Institute Research Papers.
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paper
2010Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors.(2010) In: KIER Working Papers.
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paper
1989A Monte Carlo Study of Some Tests of Model Adequacy in Time Series Analysis. In: Journal of Business & Economic Statistics.
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article15
2012It pays to violate: how effective are the Basel accord penalties in encouraging risk management? In: Accounting and Finance.
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article1
1982A Note on Identifiability in the Linear Expenditure Family. In: Australian Economic Papers.
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article0
1982A Note on Identifiability in the Linear Expenditure Family.(1982) In: Cahiers de recherche.
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paper
1992Efficient Estimation: The Rao-Zyskind Condition, Kruskals Theorem and Ordinary Least Squares. In: The Economic Record.
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article4
2001Efficient Estimation and Testing of Alternative Models of Currency Futures Contracts. In: The Economic Record.
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article2
2015Volatility smirk as an externality of agency conflict and growing debt In: International Journal of Economic Theory.
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article0
2013Volatility Smirk as an Externality of Agency Conflict and Growing Debt.(2013) In: Tinbergen Institute Discussion Papers.
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paper
2013Volatility Smirk as an Externality of Agency Conict and Growing Debt.(2013) In: Documentos de Trabajo del ICAE.
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paper
1997On Efficient Estimation and Correct Inference in Models with Generated Regressors: a General Approach In: The Japanese Economic Review.
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article42
1990On Efficient Estimation and Correct Inference in Models with Generated Regressions: A General Approach..(1990) In: Australian National University - Department of Economics.
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paper
1999Simple Procedures for Testing Autoregressive Versus Moving Average Errors in Regression Models In: The Japanese Economic Review.
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article1
1990SIMPLE PROCEDURES FOR TESTING AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS..(1990) In: Australian National University - Department of Economics.
[Citation analysis]
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paper
2003Asymptotic Properties Of The Estimator Of The Long-Run Coefficient In A Dynamic Model With Integrated Regressors And Serially Correlated Errors In: The Japanese Economic Review.
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article0
2001Asymptotic Properties of the Estimator of the Long-run Coefficient in a Dynamic Model with Integrated Regressors and Serially Correlated Errors,.(2001) In: ISER Discussion Paper.
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paper
2003Asymptotic Properties of the Estimator of the Long-run Coefficient in a Dynamic Model with Integrated Regressors and Serially Correlated Errors.(2003) In: CIRJE F-Series.
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paper
2012AGGREGATION, HETEROGENEOUS AUTOREGRESSION AND VOLATILITY OF DAILY INTERNATIONAL TOURIST ARRIVALS AND EXCHANGE RATES In: The Japanese Economic Review.
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article4
2010Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates.(2010) In: Working Papers in Economics.
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paper
2010Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates.(2010) In: Econometric Institute Research Papers.
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paper
2010Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates.(2010) In: KIER Working Papers.
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paper
2010Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates.(2010) In: CIRJE F-Series.
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paper
2011Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates.(2011) In: Documentos de Trabajo del ICAE.
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paper
2016Profiteering from the Dot-Com Bubble, Subprime Crisis and Asian Financial Crisis In: The Japanese Economic Review.
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2013Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis.(2013) In: Working Papers in Economics.
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paper
2013Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis.(2013) In: KIER Working Papers.
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2013Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis.(2013) In: Tinbergen Institute Discussion Papers.
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2013Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis.(2013) In: Documentos de Trabajo del ICAE.
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paper
1996 The 7th World Congress of the Econometric Society: Tokyo, Japan, 1995. In: Journal of Economic Surveys.
[Citation analysis]
article1
1996 The Osaka Econometrics Conference: Osaka, Japan, 1995. In: Journal of Economic Surveys.
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article0
1997 The Ten Commandments for Organizing a Conference. In: Journal of Economic Surveys.
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article0
1997 Pictures at an Exhibition: The Experiment in Applied Econometrics Conference, Tilburg, the Netherlands, 1996. In: Journal of Economic Surveys.
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1998 The Winter of My Content: The Econometric Society Australasian Meeting 1997, Melbourne, Australia. In: Journal of Economic Surveys.
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1998 The International Congress on Modelling and Simulation, Hobart, Tasmania, December 1997. In: Journal of Economic Surveys.
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article4
1998 Cointegration in Practice. In: Journal of Economic Surveys.
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article7
1998Cointegration in Practice.(1998) In: Journal of Economic Surveys.
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article
1998Cointegration Analysis of Seasonal Time Series In: Journal of Economic Surveys.
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article21
1998 Cointegration Analysis of Seasonal Time Series..(1998) In: Journal of Economic Surveys.
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article
1998Editorial In: Journal of Economic Surveys.
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article1
2000 Pricing of Forward and Futures Contracts. In: Journal of Economic Surveys.
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article11
2001 The Ten Commandments for Attending a Conference. In: Journal of Economic Surveys.
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article0
2002 The International Congress on Modelling and Simulation: Hamilton, New Zealand, December 1999. In: Journal of Economic Surveys.
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article2
2002 The Ten Commandments for Presenting a Conference Paper. In: Journal of Economic Surveys.
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article0
2002 The Econometrics of Financial Time Series. In: Journal of Economic Surveys.
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article1
2002 Recent Theoretical Results for Time Series Models with GARCH Errors. In: Journal of Economic Surveys.
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article66
2004An Empirical Assessment of Country Risk Ratings and Associated Models In: Journal of Economic Surveys.
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article23
2004Econometric modelling of non-ferrous metal prices In: Journal of Economic Surveys.
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article27
2005The ten commandments for ranking university quality In: Journal of Economic Surveys.
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article1
2005The Ten Commandments for Academics In: Journal of Economic Surveys.
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article1
2006INTELLECTUAL PROPERTY AND ECONOMIC INCENTIVES In: Journal of Economic Surveys.
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article0
2006HOW DOES COUNTRY RISK AFFECT INNOVATION? AN APPLICATION TO FOREIGN PATENTS REGISTERED IN THE USA In: Journal of Economic Surveys.
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article0
2006INTELLECTUAL PROPERTY LITIGATION ACTIVITY IN THE USA In: Journal of Economic Surveys.
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article9
2007MEASURING RISK IN ENVIRONMENTAL FINANCE In: Journal of Economic Surveys.
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article4
2009In Memoriam In: Journal of Economic Surveys.
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article0
2009THE TEN COMMANDMENTS FOR OPTIMIZING VALUE-AT-RISK AND DAILY CAPITAL CHARGES In: Journal of Economic Surveys.
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article12
2009The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges.(2009) In: CARF F-Series.
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paper
2008The ten commandments for optimizing value-at-risk and daily capital charges.(2008) In: Econometric Institute Research Papers.
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paper
2009The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges.(2009) In: CIRJE F-Series.
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paper
2009The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges.(2009) In: Documentos de Trabajo del ICAE.
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paper
2009THE TEN COMMANDMENTS FOR MANAGING VALUE AT RISK UNDER THE BASEL II ACCORD In: Journal of Economic Surveys.
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article5
2009The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord.(2009) In: Documentos de Trabajo del ICAE.
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paper
2010A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS In: Journal of Economic Surveys.
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article6
2009A Scientific Classification of Volatility Models..(2009) In: Documentos de Trabajo del ICAE.
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2010THE TEN COMMANDMENTS FOR MANAGING INVESTMENTS In: Journal of Economic Surveys.
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article3
2011TEN THINGS WE SHOULD KNOW ABOUT TIME SERIES In: Journal of Economic Surveys.
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article1
2010Ten Things We Should Know About Time Series.(2010) In: Working Papers in Economics.
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2010Ten Things We Should Know About Time Series.(2010) In: Econometric Institute Research Papers.
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2010Ten Things We Should Know About Time Series.(2010) In: KIER Working Papers.
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paper
2011FORECASTING REALIZED VOLATILITY WITH LINEAR AND NONLINEAR UNIVARIATE MODELS In: Journal of Economic Surveys.
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article5
2010Forecasting Realized Volatility with Linear and Nonlinear Univariate Models.(2010) In: Working Papers in Economics.
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paper
2011WHAT MAKES A GREAT JOURNAL GREAT IN ECONOMICS? THE SINGER NOT THE SONG In: Journal of Economic Surveys.
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article15
2010What Makes a Great Journal Great in Economics? The Singer Not the Song.(2010) In: Working Papers in Economics.
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paper
2010What Makes a Great Journal Great in Economics? The Singer Not the Song..(2010) In: Econometric Institute Research Papers.
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2010What Makes a Great Journal Great in Economics? The Singer Not the Song.(2010) In: KIER Working Papers.
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paper
2012Professor Halbert L. White, 1950–2012 In: Journal of Economic Surveys.
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article0
2012DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS In: Journal of Economic Surveys.
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article45
2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: Working Papers in Economics.
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2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: Econometric Institute Research Papers.
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paper
2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: KIER Working Papers.
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paper
2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: CIRJE F-Series.
[Full Text][Citation analysis]
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paper
2014EVALUATING MACROECONOMIC FORECASTS: A CONCISE REVIEW OF SOME RECENT DEVELOPMENTS In: Journal of Economic Surveys.
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article9
2012Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments.(2012) In: Working Papers in Economics.
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paper
2012Evaluating Macroeconomic Forecasts:A Concise Review of Some Recent Developments.(2012) In: KIER Working Papers.
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paper
2012Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments.(2012) In: Documentos de Trabajo del ICAE.
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paper
1993 Econometric Issues in Macroeconomic Models with Generated Regressors. In: Journal of Economic Surveys.
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article78
1994 Sherlock Holmes and the Search for Truth: A Diagnostic Tale. In: Journal of Economic Surveys.
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article24
1994ON THE EFFECTS OF MISSPECIFICATION ERRORS IN MODELS WITH GENERATED REGRESSORS In: Oxford Bulletin of Economics and Statistics.
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1994On the Effects of Misspecification Errors in Models with Generated Regressors..(1994) In: Oxford Bulletin of Economics and Statistics.
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2009Expert opinion versus expertise in forecasting In: Statistica Neerlandica.
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article3
2008Expert opinion versus expertise in forecasting.(2008) In: Econometric Institute Research Papers.
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2010A general asymptotic theory for time-series models In: Statistica Neerlandica.
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2009A General Asymptotic Theory for Time Series Models.(2009) In: CIRJE F-Series.
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2011Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH In: Statistica Neerlandica.
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2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: Working Papers in Economics.
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2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: Working Papers in Economics.
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2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: CARF F-Series.
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2010Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH.(2010) In: Econometric Institute Research Papers.
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2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: KIER Working Papers.
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2008Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2008) In: Marco Fanno Working Papers.
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2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: CIRJE F-Series.
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paper
2009Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2009) In: Documentos de Trabajo del ICAE.
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paper
2013Ranking journal quality by harmonic mean of ranks: an application to ISI statistics & probability In: Statistica Neerlandica.
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article3
2012Ranking Journal Quality by Harmonic Mean of Ranks: An Application to ISI Statistics & Probability.(2012) In: Working Papers in Economics.
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paper
2012Ranking Journal Quality by Harmonic Mean of Ranks: An Application to ISI Statistics & Probability.(2012) In: Econometric Institute Research Papers.
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paper
2012Ranking Journal Quality by Harmonic Mean of Ranks:An Application to ISI Statistics & Probability.(2012) In: KIER Working Papers.
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2012Ranking Journal Quality by Harmonic Mean of Ranks: An Application to ISI Statistics & Probability.(2012) In: Documentos de Trabajo del ICAE.
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2013Financial dependence analysis: applications of vine copulas In: Statistica Neerlandica.
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2013Financial Dependence Analysis: Applications of Vine Copulae.(2013) In: KIER Working Papers.
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2013Financial Dependence Analysis: Applications of Vine Copulae.(2013) In: Tinbergen Institute Discussion Papers.
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paper
2013Financial Dependence Analysis: Applications of Vine Copulae.(2013) In: Documentos de Trabajo del ICAE.
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paper
1990ALTERNATIVE APPROACHES TO TESTING NON-NESTED MODELS WITH AUTOCORRELATED DISTURBANCES: AN APPLICATION TO MODELS OF US UNEMPLOYMENT. In: Cambridge Working Papers in Economics.
[Citation analysis]
paper0
1990ALTERNATIVE APPROACHES TO TESTING NON-NESTED MODELS WITH AUTOCORRELATED DISTURBANCES: AN APPLICATION TO MODELS OF U.S. UNEMPLOYMENT..(1990) In: California Los Angeles - Applied Econometrics.
[Citation analysis]
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1990Alternative approaches to testing non-nested models with autocorrelated disturbances : an application to models of U.S. unemployment.(1990) In: Discussion Paper.
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paper
1993Cointegration and Direct Tests of the Rational Expectations Hypothesis. In: Cambridge Working Papers in Economics.
[Citation analysis]
paper7
2010Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH In: Working Papers in Economics.
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2011Crude oil hedging strategies using dynamic multivariate GARCH.(2011) In: Energy Economics.
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2010Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH.(2010) In: CIRJE F-Series.
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2010Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH.(2010) In: KIER Working Papers.
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2010Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH.(2010) In: Econometric Institute Research Papers.
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2010Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns In: Working Papers in Economics.
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paper85
2010Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns.(2010) In: CARF F-Series.
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2013Conditional correlations and volatility spillovers between crude oil and stock index returns.(2013) In: The North American Journal of Economics and Finance.
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2010Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns.(2010) In: Econometric Institute Research Papers.
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2010Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns.(2010) In: KIER Working Papers.
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