Michael McAleer : Citation Profile

Are you Michael McAleer?

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

32

H index

124

i10 index

5150

Citations

RESEARCH PRODUCTION:

387

Articles

1010

Papers

1

Books

EDITOR:

2

Books edited

3

Series edited

RESEARCH ACTIVITY:

   43 years (1978 - 2021). See details.
   Cites by year: 119
   Journals where Michael McAleer has often published
   Relations with other researchers
   Recent citing documents: 336.    Total self citations: 820 (13.74 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmc90
   Updated: 2021-03-01    RAS profile: 2021-02-24    
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Relations with other researchers

Works with:

Chang, Chia-Lin (145)

Wong, Wing-Keung (45)

Allen, David (45)

Asai, Manabu (40)

Vo, Duc (23)

Ilomäki, Jukka (14)

Guo, Xu (11)

Powell, Robert (8)

Nguyen, Minh (7)

Savva, Christos (6)

Kobayashi, Masahito (6)

VO, ANH (6)

GUPTA, RANGAN (6)

Vu, Tan (5)

Watkins, Clinton (5)

Caporin, Massimiliano (4)

Yue, Xiaoguang (4)

Guo, Xu (4)

Ngoc, Bui (4)

Pauwels, Laurent (3)

Lean, Hooi Hooi (3)

Slottje, Daniel (3)

Mai, Te-Ke (2)

Ho, Chi (2)

Maasoumi, Esfandiar (2)

Zhu, Lixing (2)

Mai, TeKe (2)

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

Is cited by:

Asongu, Simplice (177)

Chang, Chia-Lin (161)

Wong, Wing-Keung (144)

Jimenez-Martin, Juan (100)

Nguyen, Duc Khuong (89)

Omori, Yasuhiro (74)

Caporin, Massimiliano (72)

GUPTA, RANGAN (55)

Zhang, Zhaoyong (53)

Hammoudeh, Shawkat (51)

Ruiz, Esther (51)

Cites to:

Wong, Wing-Keung (584)

Chang, Chia-Lin (468)

Bollerslev, Tim (291)

Engle, Robert (260)

Ling, Shiqing (206)

Caporin, Massimiliano (131)

Chan, Felix (122)

Hafner, Christian (119)

Lean, Hooi Hooi (114)

Asai, Manabu (109)

Oxley, Les (99)

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 Surveys26
Journal of Econometrics21
Journal of Risk and Financial Management20
Econometric Reviews16
Advances in Decision Sciences16
Sustainability12
Annals of Financial Economics (AFE)12
Applied Economics12
Journal of Reviews on Global Economics12
International Association of Decision Sciences9
Energies9
International Review of Economics & Finance9
The North American Journal of Economics and Finance8
Energy Economics7
Economics Letters7
The Economic Record6
Scientometrics6
Risks6
Econometric Theory6
International Journal of Forecasting6
Applied Financial Economics6
Journal of Applied Econometrics6
The Japanese Economic Review5
Tourism Economics5
Statistica Neerlandica5
Econometrics5
The Review of Economics and Statistics4
Journal of Forecasting3
Renewable and Sustainable Energy Reviews3
Managerial Finance3
Canadian Journal of Economics3
The Quarterly Review of Economics and Finance2
Finance Research Letters2
Econometrics Journal2
Economic Modelling2
Journal of Financial Econometrics2
Economic Journal2
Journal of Time Series Analysis2
Journal of Macroeconomics2
Oxford Bulletin of Economics and Statistics2
Computational Statistics & Data Analysis2
Tourism Management2

Working Papers Series with more than one paper published# docs
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute236
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Econmicas y Empresariales, Instituto Complutense de Anlisis Econmico210
Tinbergen Institute Discussion Papers / Tinbergen Institute138
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
Working Paper / Economics Department, Queen's University16
ISER Discussion Paper / Institute of Social and Economic Research, Osaka University16
Queen's Institute for Economic Research Discussion Papers / Queen's University - Department of Economics5
"Marco Fanno" Working Papers / Dipartimento di Scienze Economiche "Marco Fanno"4
DEA Working Papers / Universitat de les Illes Balears, Departament d'Economa Aplicada4
MPRA Paper / University Library of Munich, Germany4
Textos para discusso / Department of Economics PUC-Rio (Brazil)3
Working Papers / Fondazione Eni Enrico Mattei2
Working Papers / University of Pretoria, Department of Economics2

Recent works citing Michael McAleer (2021 and 2020)

YearTitle of citing document
2020Review of Matrix Theory with Applications in Education and Decision Sciences. (2020). Wong, Wing-Keung ; Hau, Nguyen Huu ; Tuong, Hoa Anh ; Tinh, Tran Trung. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:1:p:28-69.

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2020Decision Sciences in Education: The STEMtech Model to Create Stem Products at High Schools in Vietnam. (2020). Huy, Lam Minh ; Hieu, Ngo Tung ; Wong, Wing-Keung ; Phuong, Nguyen Ngoc ; Phat, Huynh Manh. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:2:p:15-65.

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2020Time-Varying Spillovers between Currency and Stock Markets in the USA: Historical Evidence From More than Two Centuries. (2020). Hkiri, Besma ; Gupta, Rangan ; Coronado, Semei ; Rojas, Omar. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:4:p:44-76.

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2020Extension of Steins Lemmas to General Functions and Distributions*. (2020). Wong, Wing-Keung ; Alghalith, Moawia. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:4:p:77-88.

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2020Governance and the Capital Flight Trap in Africa. (2020). Asongu, Simplice ; Nnanna, Joseph. In: Research Africa Network Working Papers. RePEc:abh:wpaper:20/024.

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2020Governance and the Capital Flight Trap in Africa. (2020). Asongu, Simplice ; Nnanna, Joseph. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:20/024.

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2020Promoting Improved Agricultural Technologies to Increase Smallholder Farm Production Efficiency: Ghanaian Study of Cassava Farmers. (2020). Ndebugri, Joseph ; Ndzebah, Samuel Kwesi ; Inkoom, Emmanuel Wisgtos. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:305329.

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2020Review of Matrix Theory with Applications in Education and Decision Sciences. (2020). Wong, Wing-Keung ; Tuong, Hoa Anh ; Tinh, Tran Trung ; Hau, Nguyen Huu. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:1:p:28-69.

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2020Decision Sciences in Education: The STEMtech Model to Create Stem Products at High Schools in Vietnam. (2020). Wong, Wing-Keung ; Phuong, Nguyen Ngoc ; Phat, Huynh Manh ; Huy, Lam Minh ; Hieu, Ngo Tung. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:2:p:15-65.

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2020Extension of Steins Lemmas to General Functions and Distributions*. (2020). Wong, Wing-Keung ; Alghalith, Moawia. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:4:p:77-88.

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2020Volatility Transmission between Oil Prices and Stock Prices as a New Source of Instability: Lessons from the UK Experience. (2020). Of, Dundee University ; Robertson, John . In: Asian Journal of Economics and Empirical Research. RePEc:aoj:ajeaer:2020:p:217-223.

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2020Robust risk aggregation with neural networks. (2019). Pohl, Mathias ; Kupper, Michael ; Eckstein, Stephan. In: Papers. RePEc:arx:papers:1811.00304.

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2020Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

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2020Stochastic Price Dynamics Equations Via Supply and Demand; Implications for Volatility and Risk. (2019). Caginalp, Gunduz. In: Papers. RePEc:arx:papers:1908.01103.

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2020A study on the leverage effect on financial series using a TAR model: a Bayesian approach. (2020). Nieto, Fabio ; Espinosa, Oscar. In: Papers. RePEc:arx:papers:2002.05319.

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2021Cryptocurrency Trading: A Comprehensive Survey. (2020). Wu, Fan ; Martinez-Regoband, David ; Li, Lingbo ; Kanthan, Leslie ; Kong, Hoiliong ; Basios, Michail ; Ventre, Carmine ; Fang, Fan. In: Papers. RePEc:arx:papers:2003.11352.

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2020The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets. (2020). Ota, Yasushi ; Maki, Daiki. In: Papers. RePEc:arx:papers:2006.00158.

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2020Horseshoe Prior Bayesian Quantile Regression. (2020). Kohns, David ; Szendrei, Tibor. In: Papers. RePEc:arx:papers:2006.07655.

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2020Spectral Targeting Estimation of $\lambda$-GARCH models. (2020). Hetland, Simon. In: Papers. RePEc:arx:papers:2007.02588.

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2020Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361.

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2020A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets. (2020). Hao, Wenyan ; Chi, Yeguang. In: Papers. RePEc:arx:papers:2010.07402.

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2020Portfolio Risk Measurement Using a Mixture Simulation Approach. (2020). Sharifi, Azin ; Sina, Seyed Mohammad ; Arian, Hamidreza. In: Papers. RePEc:arx:papers:2011.07994.

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2020The short-run impact of COVID-19 on the activity in the insurance industry in the Republic of North Macedonia. (2020). Stojkoski, Viktor ; Jolakoski, Petar ; IVANOVSKI, Igor . In: Papers. RePEc:arx:papers:2011.10826.

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2020A New Parametrization of Correlation Matrices. (2020). Hansen, Peter Reinhard ; Archakov, Ilya . In: Papers. RePEc:arx:papers:2012.02395.

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2020A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2020Achieving Reliable Causal Inference with Data-Mined Variables: A Random Forest Approach to the Measurement Error Problem. (2020). Burtch, Gordon ; McFowland, Edward ; Yang, Mochen ; Adomavicius, Gediminas. In: Papers. RePEc:arx:papers:2012.10790.

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2021Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802.

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2020Quantile regression with generated dependent variable and covariates. (2020). Bhattacharya, Jayeeta. In: Papers. RePEc:arx:papers:2012.13614.

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2021Does external medical review reduce disability insurance inflow?. (2021). Liebert, Helge. In: Papers. RePEc:arx:papers:2101.03117.

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2021Evidence and Behaviour of Support and Resistance Levels in Financial Time Series. (2021). Chung, Ken ; Bellotti, Anthony. In: Papers. RePEc:arx:papers:2101.07410.

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2021Time-varying properties of asymmetric volatility and multifractality in Bitcoin. (2021). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2102.07425.

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2020Forecasting import demand of table grapes: Empirical evidence from Thailand. (2020). Thongkaew, Supat ; Suvanvihok, Vasu ; Tongchure, Siros ; Sukprasert, Patana ; Jatuporn, Chalermpon. In: Asian Journal of Agriculture and rural Development. RePEc:asi:ajosrd:2020:p:578-586.

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2020Regulatory Banking Leverage: what do you know?. (2020). Kimura, Herbert ; da Rosa, Douglas. In: Working Papers Series. RePEc:bcb:wpaper:540.

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2020News media analytics in finance: a survey. (2020). Hahn, Tobias ; Vanstone, Bruce ; Marty, Tom. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:2:p:1385-1434.

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2020The seasonality of gold prices in China does the risk‐aversion level matter?. (2020). Xiao, Bing ; Zhu, Zhenzhen ; van Hoang, Thi Hong ; Wong, Wing Keung. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2617-2664.

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2020Can sustainable investments outperform traditional benchmarks? Evidence from global stock markets. (2020). de Oliveira, Erick Meira ; Fogliano, Felipe Arias ; Gusmo, Rodrigo Goyannes ; Cyrino, Fernando Luiz ; Klotzle, Marcelo Cabus ; Orsato, Renato J. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:29:y:2020:i:2:p:682-697.

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2020Growth Shocks in the United States and China: Effects on Australias Growth. (2020). Kim, David ; Huh, Hyeonseung ; Fisher, Lance A. In: Economic Papers. RePEc:bla:econpa:v:39:y:2020:i:3:p:185-203.

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2020GRADING JOURNALS IN ECONOMICS: THE ABCS OF THE ABDC. (2020). Lye, Jeanette ; Hirschberg, Joseph. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:34:y:2020:i:4:p:876-921.

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2020Robust risk aggregation with neural networks. (2020). Pohl, Mathias ; Kupper, Michael ; Eckstein, Stephan. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1229-1272.

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2020Changing Grocery Shopping Behaviours Among Chinese Consumers At The Outset Of The COVID‐19 Outbreak. (2020). Hallsworth, Alan G ; Li, Junxiong ; Cocastefaniak, Andres J. In: Tijdschrift voor Economische en Sociale Geografie. RePEc:bla:tvecsg:v:111:y:2020:i:3:p:574-583.

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2020Sources of inequality in the Philippines: Insights from stochastic dominance tests for richness and poorness. (2020). Wong, Wing-Keung ; Valenzuela, Maria Rebecca ; Zhu, Zhenzhen. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:10:p:2650-2673.

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2020Electricity Market Integration, Decarbonisation and Security of Supply: Dynamic Volatility Connectedness in the Irish and Great Britain Markets. (2020). Nepal, Rabindra ; Jamasb, Tooraj ; Do, Hung. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2007.

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2020Quantifying Qualitative Survey Data: New Insights on the (Ir)Rationality of Firms Forecasts. (2020). Sakellaris, Plutarchos ; Görtz, Christoph ; Botsis, Alexandros ; Gortz, Christoph. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8148.

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2020Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions. (2020). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2020_2023.

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2020To Kill a Black Swan: The Credibility Revolution at CEDE, 2000-2018. (2020). Castilla, Juan Pablo. In: Documentos CEDE. RePEc:col:000089:018366.

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2021Integrated nested Laplace approximations for threshold stochastic volatility models. (2021). Rue, Havard ; Lopes, Maria Helena ; de Zea, P ; Marin, Juan Miguel . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:31804.

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2020An Indirect Proof for the Asymptotic Properties of VARMA Model Estimators. (2020). Melard, Guy. In: Working Papers ECARES. RePEc:eca:wpaper:2013/304272.

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2020Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach. (2020). Hallin, Marc ; Trucios, Carlos. In: Working Papers ECARES. RePEc:eca:wpaper:2013/315983.

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2020Volatility Modelling for Tourism Sector Stocks in Borsa Istanbul. (2020). Elik, Gulah Gener. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-03-20.

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2020Dynamic Linkages Between the Oil Spot, Oil Futures, and Stock Markets: Evidence from Dubai. (2020). Alawi, Suha Mahmoud ; Lamouchi, Rim Ammar. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-01-50.

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2020Relationship between Oil and Stock Markets: Evidence from Pakistan Stock Exchange. (2020). Hanif, Muhammad. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-05-19.

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2020Does the Choice of the Multivariate GARCH Model on Volatility Spillovers Matter? Evidence from Oil Prices and Stock Markets in G7 Countries. (2020). Dritsakis, Nikolaos ; Kartsonakis-Mademlis, Dimitrios. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-05-21.

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2020Identifying the Dynamic Connectedness between Propane and Oil Prices: Evidence from Wavelet Analysis. (2020). Hung, Ngo Thai. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-05-37.

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2020The Impact of COVID-19 on Price Volatility of Crude Oil and Natural Gas Listed on Multi Commodity Exchange of India. (2020). Sarea, Adel M ; Mohapatra, Latasha ; Hawaldar, Iqbal Thonse ; Meher, Bharat Kumar. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-05-49.

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2020Analysis of the Relationship between Energy Price Changes and Stock Market Indices in Developed Countries. (2020). Baibosynova, Gulzhan ; Nakhipbekova, Symbat ; Kulbayeva, Aigerim ; Batyrova, Nazygul. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-06-22.

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2020Daily tourism volume forecasting for tourist attractions. (2020). Li, Hui ; Liu, Yang ; Bi, Jian-Wu. In: Annals of Tourism Research. RePEc:eee:anture:v:83:y:2020:i:c:s0160738320300670.

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2020Forecasting tourist arrivals using denoising and potential factors. (2020). Zheng, Weimin ; Liu, Zhusheng ; Ge, Peng. In: Annals of Tourism Research. RePEc:eee:anture:v:83:y:2020:i:c:s0160738320300876.

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2020Comovement amongst the demand for New Zealand tourism. (2020). Vatsa, Puneet. In: Annals of Tourism Research. RePEc:eee:anture:v:83:y:2020:i:c:s0160738320301092.

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2020Threat of infectious disease during an outbreak: Influence on tourists emotional responses to disadvantaged price inequality. (2020). Li, Gang ; Hou, Yuansi ; Zhang, KE. In: Annals of Tourism Research. RePEc:eee:anture:v:84:y:2020:i:c:s0160738320301377.

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2021Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan. In: Applied Energy. RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

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2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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2020Dynamic frequency connectedness between oil and natural gas volatilities. (2020). Perez-Laborda, Alejandro ; Lovcha, Yuliya. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:181-189.

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2020Diversification and optimal hedges for socially responsible investment in Brazil. (2020). Penabad, Maria-Celia ; Lopez-Andion, Carmen ; Iglesias, Ana ; Maside-Sanfiz, Jose Manuel ; Lopez-Penabad, Maria-Celia ; Iglesias-Casal, Ana. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:106-118.

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2020Price connectedness between green bond and financial markets. (2020). Ugolini, Andrea ; Reboredo, Juan. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:25-38.

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2020Price volatility spillovers between supply chain and innovation of financial pledges in China. (2020). Wang, Yinyin ; Zhang, Lang ; Sui, BO ; Chen, DI ; Hu, Haiqing. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:397-413.

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2020Fiscal policy and stock market efficiency: An ARDL Bounds Testing approach. (2020). stoian, andreea ; Iorgulescu, Filip. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:406-416.

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2020Volatility transmission between oil prices and banks stock prices as a new source of instability: Lessons from the United States experience. (2020). Ehouman, Yao Axel. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:198-217.

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2021Mixed-frequency SV model for stock volatility and macroeconomics. (2021). Zheng, Tingguo ; Shang, Yuhuang. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:462-472.

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2020Size and value effects in high-tech industries: The role of R&D investment. (2020). Leung, Wai Kin ; Fung, Hung-Gay ; Liu, Xiaoquan ; Yu, Lin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081830189x.

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2020Asymmetric risk spillovers between Shanghai and Hong Kong stock markets under China’s capital account liberalization. (2020). He, Jianmin ; Li, Shouwei ; Wei, YU ; Yang, Kun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302384.

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2020The economic and financial properties of crude oil: A review. (2020). Auer, Benjamin R ; Lang, Korbinian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818302559.

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2020Impact of volatility jumps in a mean-reverting model: Derivative pricing and empirical evidence. (2020). Chen, Ting-Fu ; Chiu, Hsin-Yu . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819300026.

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2020Time-varying lead–lag structure between investor sentiment and stock market. (2020). Li, Hong-Yu ; Yao, Can-Zhong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819303973.

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2020Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models. (2020). Rodríguez, Gabriel ; Ataurima Arellano, Miguel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300607.

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2020Exchange rate regimes and market integration: evidence from the dynamic relations between renminbi onshore and offshore markets. (2020). Zeng, Zhixiong ; Yan, Yuruo ; Wan, Xiaoli. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s106294082030070x.

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2020Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA. (2020). Pérez-Rodríguez, Jorge ; Lopez-Valcarcel, Beatriz Gonzalez ; Perez-Rodriguez, Jorge V ; Qian, Huanhuan ; Zhou, Xinmiao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300723.

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2020News sentiment, credit spreads, and information asymmetry. (2020). Wang, Xinjie ; Liu, Zhechen ; Yang, Shanxiang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300760.

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2020Forecast on silver futures linked with structural breaks and day-of-the-week effect. (2020). Fang, Qiang ; Cheng, Yuxiang ; Li, Wenlan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300899.

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2020The empirical linkages among market returns, return volatility, and trading volume: Evidence from the S&P 500 VIX Futures. (2020). Ku, Yu-Cheng ; Chuang, Hwei-Lin ; Kao, Yu-Sheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818303358.

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2020Derivatives market and economic growth nexus: Policy implications for emerging markets. (2020). Nguyen, Minh ; Vo, Anh The ; van Nguyen, Phuc. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818303383.

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2020Leverage effect on stochastic volatility for option pricing in Hong Kong: A simulation and empirical study. (2020). Chen, Naiwei ; Bian, Zhicun ; Hong, Hui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818303565.

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2020Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models. (2020). Singh, Anuradha ; Powell, Robert ; Yong, J ; Do, A. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819301342.

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2020Spillover effects in oil-related CDS markets during and after the sub-prime crisis. (2020). Ozdemir, Zeynel ; Balcilar, Mehmet ; Wohar, Mark E. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301467.

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2020Happiness sentiments and the prediction of cross-border country exchange-traded fund returns. (2020). Lee, Chien-Chiang ; Chen, Mei-Ping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301510.

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2020Forecasting risk in the US Dollar exchange rate under volatility shifts. (2020). Malik, Farooq ; Anjum, Hassan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301546.

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2020Do alternative energy markets provide optimal alternative investment opportunities?. (2020). Vo, Xuan Vinh ; Ur, Mobeen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301674.

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2020A self-normalization test for correlation change. (2020). Shin, Dong Wan ; Choi, Ji-Eun. In: Economics Letters. RePEc:eee:ecolet:v:193:y:2020:i:c:s016517651930045x.

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2020Variance risk: A bird’s eye view. (2020). Simen, Chardin Wese ; Hollstein, Fabian. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:517-535.

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2020Dynamic conditional angular correlation. (2020). Chan, Kung-Sik ; Jarjour, Riad. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:137-150.

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2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals. (2020). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:4-34.

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2020Liquidity and volatility in the U.S. Treasury market. (2020). Fleming, Michael ; Engle, Robert ; Ghysels, Eric ; Nguyen, Giang. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:207-229.

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2020Multivariate leverage effects and realized semicovariance GARCH models. (2020). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:411-430.

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2020Incorporating overnight and intraday returns into multivariate GARCH volatility models. (2020). Wu, Jianbin ; Dhaene, Geert. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:471-495.

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2020Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity. (2020). Omori, Yasuhiro ; Kurose, Yuta. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:46-68.

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2020Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation. (2020). Veiga, Helena ; Ruiz, Esther ; Czellar, Veronika ; Mao, Xiuping. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:84-105.

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2020Statistical inferences for realized portfolio weights. (2020). Lazariv, Taras ; Seifert, Miriam Isabel ; Schmid, Wolfgang ; Golosnoy, Vasyl. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:49-62.

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2020Labour market mobility, knowledge diffusion and innovation. (2020). Thulin, Per ; Braunerhjelm, Pontus ; Ding, Ding. In: European Economic Review. RePEc:eee:eecrev:v:123:y:2020:i:c:s0014292120300180.

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2020Linear and nonlinear growth determinants: The case of Mongolia and its connection to China. (2020). Wong, Wing-Keung ; Wagner, Niklas ; Lv, Zhihui. In: Emerging Markets Review. RePEc:eee:ememar:v:43:y:2020:i:c:s156601411830428x.

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2020Factor state–space models for high-dimensional realized covariance matrices of asset returns. (2020). Gribisch, Bastian ; Liesenfeld, Roman ; Hartkopf, Jan Patrick. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:1-20.

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2020Do structural breaks in volatility cause spurious volatility transmission?. (2020). Caporin, Massimiliano ; Malik, Farooq. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:60-82.

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2020A comparison of non-Gaussian VaR estimation and portfolio construction techniques. (2020). Lizieri, Colin ; Satchell, Stephen ; Allen, David. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:356-368.

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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
201822ND ANNIVERSARY SPECIAL ISSUE OF ADVANCES IN DECISION SCIENCES (ADS), 1997-2018 In: Advances in Decision Sciences.
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201822ND ANNIVERSARY SPECIAL ISSUE OF ADVANCES IN DECISION SCIENCES (ADS), 1997-2018.(2018) In: International Association of Decision Sciences.
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2018Editorial Statement of Intent for Advances in Decision Sciences (ADS): 22nd Anniversary Special Issue in 2018 In: Advances in Decision Sciences.
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2018FAKE NEWS AND INDIFFERENCE TO TRUTH: DISSECTING TWEETS AND STATE OF THE UNION ADDRESSES BY PRESIDENTS OBAMA AND TRUMP In: Advances in Decision Sciences.
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2018Fake News and Indifference to Truth: Dissecting Tweets and State of the Union Addresses by Presidents Obama and Trump.(2018) In: Tinbergen Institute Discussion Papers.
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2018Fake news and indifference to truth: Dissecting tweets and State of the Union Addresses by Presidents Obama and Trump.(2018) In: Documentos de Trabajo del ICAE.
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2018RESEARCH IDEAS FOR ADVANCES IN DECISION SCIENCES (ADS): 22ND ANNIVERSARY SPECIAL ISSUE IN 2018 In: Advances in Decision Sciences.
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2018Research Ideas for Advances in Decision Sciences (ADS): 22nd Anniversary Special Issue in 2018.(2018) In: Econometric Institute Research Papers.
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2019Research Ideas for Advances in Decision Sciences (ADS): 22nd Anniversary Special Issue in 2018.(2019) In: Documentos de Trabajo del ICAE.
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2018DECISION SCIENCES, ECONOMICS, FINANCE, BUSINESS, COMPUTING, AND BIG DATA: CONNECTIONS In: Advances in Decision Sciences.
[Full Text][Citation analysis]		article0
2019A New Inequality Measure that is Sensitive to Extreme Values and Asymmetries In: Advances in Decision Sciences.
[Full Text][Citation analysis]		article1
2017A New Inequality Measure that is Sensitive to Extreme Values and Asymmetries.(2017) In: Econometric Institute Research Papers.
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2017A New Inequality Measure that is Sensitive to Extreme Values and Asymmetries.(2017) In: Tinbergen Institute Discussion Papers.
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2017A New Inequality Measure that is Sensitive to Extreme Values and Asymmetries.(2017) In: Documentos de Trabajo del ICAE.
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2019The Gender Wealth Gap by Household Head in Vietnam In: Advances in Decision Sciences.
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2019Applications of the Newton-Raphson Method in Decision Sciences and Education In: Advances in Decision Sciences.
[Full Text][Citation analysis]		article0
2019Summary of Advances in Decision Sciences (ADS) - 2019 In: Advances in Decision Sciences.
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2019Summary of Advances in Decision Sciences (ADS) - 2019.(2019) In: International Association of Decision Sciences.
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2020Net Interest Marginof Commercial Banks in Vietnam In: Advances in Decision Sciences.
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2020Net Interest Marginof Commercial Banks in Vietnam.(2020) In: International Association of Decision Sciences.
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2020Protecting Scientific Integrity and Public Policy Pronouncements on COVID-19 In: Advances in Decision Sciences.
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2020Protecting Scientific Integrity and Public Policy Pronouncements on COVID-19.(2020) In: International Association of Decision Sciences.
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2020The Future of Tourism in the COVID-19 Era In: Advances in Decision Sciences.
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2020The Future of Tourism in the COVID-19 Era.(2020) In: International Association of Decision Sciences.
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2020Comments on Recent COVID-19 Research in JAMA In: Advances in Decision Sciences.
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2020Comments on Recent COVID-19 Research in JAMA.(2020) In: International Association of Decision Sciences.
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2020Impact of Board Characteristics and State Ownership on Dividend Policy in Vietnam In: Advances in Decision Sciences.
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2020Impact of Board Characteristics and State Ownership on Dividend Policy in Vietnam.(2020) In: International Association of Decision Sciences.
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2020Seeking Clarity in a World Infected by COVID-19 and Fake News In: Advances in Decision Sciences.
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2020Seeking Clarity in a World Infected by COVID-19 and Fake News.(2020) In: International Association of Decision Sciences.
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2021A Critical Analysis of Some Recent Medical Research in Science on COVID-19 In: Advances in Decision Sciences.
[Full Text][Citation analysis]		article0
1985What Will Take the Con out of Econometrics? In: American Economic Review.
[Full Text][Citation analysis]		article94
1985What Will Take the Con Out of Econometrics?.(1985) In: CEPR Discussion Papers.
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2005Risk Management of Daily Tourist Tax Revenues for the Maldives In: Natural Resources Management Working Papers.
[Full Text][Citation analysis]		paper6
2005Risk Management of Daily Tourist Tax Revenues for the Maldives.(2005) In: Working Papers.
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1979A Note On Problems of Estimating the Linear Expenditure System and Its Related Forms In: Queen's Institute for Economic Research Discussion Papers.
[Full Text][Citation analysis]		paper0
1980Interest Rates and durability in the Linear Expenditure Family In: Queen's Institute for Economic Research Discussion Papers.
[Full Text][Citation analysis]		paper1
1981Interest Rates and Durability in the Linear Expenditure Family..(1981) In: Canadian Journal of Economics.
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1980Interest Rates and Durability in the Linear Expenditure Family.(1980) In: Working Paper.
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1980Principles and Methods in the Testing of Alternative Models In: Queen's Institute for Economic Research Discussion Papers.
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1980Principles and Methods in the Testing of Alternative Models.(1980) In: Working Paper.
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1980Two Papers on Linear Models In: Queen's Institute for Economic Research Discussion Papers.
[Full Text][Citation analysis]		paper0
1980Two Papers on Linear Models.(1980) In: Working Paper.
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1980Two Papers on Model Testing and Discrimination In: Queen's Institute for Economic Research Discussion Papers.
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1980Two Papers on Model Testing and Discrimination.(1980) In: Working Paper.
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2021A Critical Analysis of Some Recent Medical Research in Science on COVID-19 In: International Association of Decision Sciences.
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2014A One Line Derivation of EGARCH In: LIDAM Reprints ISBA.
[Citation analysis]		paper14
2014A One Line Derivation of EGARCH.(2014) In: Working Papers in Economics.
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2014A One Line Derivation of EGARCH.(2014) In: Econometric Institute Research Papers.
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2014A One Line Derivation of EGARCH.(2014) In: Econometrics.
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2014A One Line Derivation of EGARCH.(2014) In: Tinbergen Institute Discussion Papers.
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2014A One Line Derivation of EGARCH.(2014) In: Documentos de Trabajo del ICAE.
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2015Structure and asymptotic theory for nonlinear models with GARCH erros In: Economia.
[Full Text][Citation analysis]		article1
2010Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors.(2010) In: Working Papers in Economics.
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2011Structure and Asymptotic theory for Nonlinear Models with GARCH Errors.(2011) In: Econometric Institute Research Papers.
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2010Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors.(2010) In: KIER Working Papers.
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1989A Monte Carlo Study of Some Tests of Model Adequacy in Time Series Analysis. In: Journal of Business & Economic Statistics.
[Citation analysis]		article16
2012It pays to violate: how effective are the Basel accord penalties in encouraging risk management? In: Accounting and Finance.
[Full Text][Citation analysis]		article2
1982A Note on Identifiability in the Linear Expenditure Family. In: Australian Economic Papers.
[Citation analysis]		article0
1982A Note on Identifiability in the Linear Expenditure Family.(1982) In: Cahiers de recherche.
[Citation analysis]
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2005Testing Multiple Non‐Nested Factor Demand Systems In: Bulletin of Economic Research.
[Full Text][Citation analysis]		article3
2001Testing Multiple Non-nested Factor Demand Systems,.(2001) In: ISER Discussion Paper.
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1988Economics and Econometric Methodology: Proceedings from the 1988 Australian Economics Congress Editors Introduction In: The Economic Record.
[Full Text][Citation analysis]		article0
1989Microeconomics and Economic Theory: Proceedings from the 1988 Australian Economics Congress Editors Introduction In: The Economic Record.
[Full Text][Citation analysis]		article0
1989Macroeconomics: Proceedings from the 1988 Australian Economics Congress: Editors Introduction In: The Economic Record.
[Full Text][Citation analysis]		article0
1989Economic History and Policy: Proceedings from the 1988 Australian Economics Congress Editors Introduction In: The Economic Record.
[Full Text][Citation analysis]		article0
1992Efficient Estimation: The Rao‐Zyskind Condition, Kruskals Theorem and Ordinary Least Squares* In: The Economic Record.
[Full Text][Citation analysis]		article2
2001Efficient Estimation and Testing of Alternative Models of Currency Futures Contracts In: The Economic Record.
[Full Text][Citation analysis]		article0
2015Volatility smirk as an externality of agency conflict and growing debt In: International Journal of Economic Theory.
[Full Text][Citation analysis]		article0
2013Volatility Smirk as an Externality of Agency Conflict and Growing Debt.(2013) In: Tinbergen Institute Discussion Papers.
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2013Volatility Smirk as an Externality of Agency Conict and Growing Debt.(2013) In: Documentos de Trabajo del ICAE.
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1997On Efficient Estimation and Correct Inference in Models with Generated Regressors: a General Approach In: The Japanese Economic Review.
[Full Text][Citation analysis]		article100
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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1999Simple Procedures for Testing Autoregressive Versus Moving Average Errors in Regression Models In: The Japanese Economic Review.
[Full Text][Citation analysis]		article1
1990SIMPLE PROCEDURES FOR TESTING AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS..(1990) In: Australian National University - Department of Economics.
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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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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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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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2012AGGREGATION, HETEROGENEOUS AUTOREGRESSION AND VOLATILITY OF DAILY INTERNATIONAL TOURIST ARRIVALS AND EXCHANGE RATES In: The Japanese Economic Review.
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2010Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates.(2010) In: Working Papers in Economics.
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2010Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates.(2010) In: Econometric Institute Research Papers.
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2010Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates.(2010) In: KIER Working Papers.
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2010Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates.(2010) In: CIRJE F-Series.
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2011Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates.(2011) In: Documentos de Trabajo del ICAE.
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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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2013Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis.(2013) In: KIER Working Papers.
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2016Profiteering from the Dot-Com Bubble, Subprime Crisis and Asian Financial Crisis.(2016) In: The Japanese Economic Review.
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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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1996 The 7th World Congress of the Econometric Society: Tokyo, Japan, 1995. In: Journal of Economic Surveys.
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1996 The Osaka Econometrics Conference: Osaka, Japan, 1995. In: Journal of Economic Surveys.
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1998Cointegration in Practice In: Journal of Economic Surveys.
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1998Cointegration Analysis of Seasonal Time Series In: Journal of Economic Surveys.
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1998Editorial In: Journal of Economic Surveys.
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2004An Empirical Assessment of Country Risk Ratings and Associated Models In: Journal of Economic Surveys.
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2004Econometric modelling of non-ferrous metal prices In: Journal of Economic Surveys.
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2005The ten commandments for ranking university quality In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article1
2005The Ten Commandments for Academics In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article1
2006INTELLECTUAL PROPERTY AND ECONOMIC INCENTIVES In: Journal of Economic Surveys.
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2006HOW DOES COUNTRY RISK AFFECT INNOVATION? AN APPLICATION TO FOREIGN PATENTS REGISTERED IN THE USA In: Journal of Economic Surveys.
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2006INTELLECTUAL PROPERTY LITIGATION ACTIVITY IN THE USA In: Journal of Economic Surveys.
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2007MEASURING RISK IN ENVIRONMENTAL FINANCE In: Journal of Economic Surveys.
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2009In Memoriam In: Journal of Economic Surveys.
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2009THE TEN COMMANDMENTS FOR OPTIMIZING VALUE-AT-RISK AND DAILY CAPITAL CHARGES In: Journal of Economic Surveys.
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2009The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges.(2009) In: CARF F-Series.
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2008The ten commandments for optimizing value-at-risk and daily capital charges.(2008) In: Econometric Institute Research Papers.
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2009The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges.(2009) In: CIRJE F-Series.
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2009The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges.(2009) In: Documentos de Trabajo del ICAE.
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2009THE TEN COMMANDMENTS FOR MANAGING VALUE AT RISK UNDER THE BASEL II ACCORD In: Journal of Economic Surveys.
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2009The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord.(2009) In: Documentos de Trabajo del ICAE.
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2010A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS In: Journal of Economic Surveys.
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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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2011TEN THINGS WE SHOULD KNOW ABOUT TIME SERIES In: Journal of Economic Surveys.
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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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2011FORECASTING REALIZED VOLATILITY WITH LINEAR AND NONLINEAR UNIVARIATE MODELS In: Journal of Economic Surveys.
[Citation analysis]		article9
2010Forecasting Realized Volatility with Linear and Nonlinear Univariate Models.(2010) In: Working Papers in Economics.
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2011WHAT MAKES A GREAT JOURNAL GREAT IN ECONOMICS? THE SINGER NOT THE SONG In: Journal of Economic Surveys.
[Citation analysis]		article16
2010What Makes a Great Journal Great in Economics? The Singer Not the Song.(2010) In: Working Papers in Economics.
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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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2012Professor Halbert L. White, 1950–2012 In: Journal of Economic Surveys.
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2012DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS In: Journal of Economic Surveys.
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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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2011Great Expectatrics: Great Papers, Great Journals, Great Econometrics.(2011) In: Econometric Reviews.
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2011Great Expectatrics: Great Papers, Great Journals, Great Econometrics.(2011) In: Documentos de Trabajo del ICAE.
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2010Risk Management of Precious Metals In: Working Papers in Economics.
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2011Risk management of precious metals.(2011) In: The Quarterly Review of Economics and Finance.
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2010Risk management of precious metals.(2010) In: Econometric Institute Research Papers.
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2011Risk Management of Precious Metals.(2011) In: KIER Working Papers.
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2011Risk Management of Precious Metals.(2011) In: Documentos de Trabajo del ICAE.
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2010Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns In: Working Papers in Economics.
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2009Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns.(2009) In: CARF F-Series.
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2011Modelling conditional correlations in the volatility of Asian rubber spot and futures returns.(2011) In: Mathematics and Computers in Simulation (MATCOM).
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2009Modelling conditional correlations in the volatility of Asian rubber spot and futures returns.(2009) In: Econometric Institute Research Papers.
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2010Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns.(2010) In: KIER Working Papers.
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2009Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns.(2009) In: CIRJE F-Series.
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2010Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO In: Working Papers in Economics.
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2011Modelling the asymmetric volatility in hog prices in Taiwan: The impact of joining the WTO.(2011) In: Mathematics and Computers in Simulation (MATCOM).
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2009Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO.(2009) In: CIRJE F-Series.
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2009Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO.(2009) In: Documentos de Trabajo del ICAE.
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2010Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan In: Working Papers in Economics.
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2011Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan.(2011) In: Econometric Institute Research Papers.
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2011Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan.(2011) In: KIER Working Papers.
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2011Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan.(2011) In: Documentos de Trabajo del ICAE.
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2011Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan.(2011) In: Documentos de Trabajo del ICAE.
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2010Article Influence Score = 5YIF divided by 2 In: Working Papers in Economics.
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2010Article Influence Score = 5YIF divided by 2.(2010) In: Econometric Institute Research Papers.
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2010Modeling the Volatility in Global Fertilizer Prices In: Working Papers in Economics.
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2010Modeling the Volatility in Global Fertilizer Prices.(2010) In: Econometric Institute Research Papers.
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2010Modeling the Volatility in Global Fertilizer Prices.(2010) In: KIER Working Papers.
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2010How does Zinfluence Affect Article Influence? In: Working Papers in Economics.
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2010How does Zinfluence Affect Article Influence?.(2010) In: KIER Working Papers.
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2010Globalization and Knowledge Spillover: International Direct Investment, Exports and Patents In: Working Papers in Economics.
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2010Globalization and Knowledge Spillover: International Direct Investment, Exports and Patents.(2010) In: Econometric Institute Research Papers.
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2010Globalization and Knowledge Spillover: International Direct Investment, Exports and Patents.(2010) In: KIER Working Papers.
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2012Globalization and Knowledge Spillover: International Direct Investment, Exports and Patents.(2012) In: Documentos de Trabajo del ICAE.
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2010Modeling the Effect of Oil Price on Global Fertilizer Prices In: Working Papers in Economics.
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2010Modeling the Effect of Oil Price on Global Fertilizer Prices.(2010) In: Econometric Institute Research Papers.
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2010Modeling the Effect of Oil Price on Global Fertilizer Prices.(2010) In: KIER Working Papers.
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2010Model Selection and Testing of Conditional and Stochastic Volatility Models In: Working Papers in Economics.
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2010Model Selection and Testing of Conditional and Stochastic Volatility Models.(2010) In: Econometric Institute Research Papers.
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2010Model Selection and Testing of Conditional and Stochastic Volatility Models.(2010) In: KIER Working Papers.
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2010Asymmetry and Long Memory in Volatility Modelling In: Working Papers in Economics.
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2010Asymmetry and Long Memory in Volatility Modelling.(2010) In: Econometric Institute Research Papers.
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2010Asymmetry and Long Memory in Volatility Modelling.(2010) In: KIER Working Papers.
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2012Asymmetry and Long Memory in Volatility Modeling.(2012) In: Journal of Financial Econometrics.
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2011Asymmetry and Long Memory in Volatility Modelling.(2011) In: Documentos de Trabajo del ICAE.
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2010GFC-Robust Risk Management Strategies under the Basel Accord In: Working Papers in Economics.
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2010GFC-Robust Risk Management Strategies under the Basel Accord.(2010) In: Econometric Institute Research Papers.
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2010GFC-Robust Risk Management Strategies under the Basel Accord.(2010) In: KIER Working Papers.
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2010GFC-Robust Risk Management Strategies under the Basel Accord.(2010) In: Documentos de Trabajo del ICAE.
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2010Moment Restriction-based Econometric Methods: An Overview In: Working Papers in Economics.
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2010Moment Restriction-based Econometric Methods: An Overview.(2010) In: Econometric Institute Research Papers.
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2010Moment Restriction-based Econometric Methods: An Overview.(2010) In: KIER Working Papers.
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2010Robust Estimation and Forecasting of the Capital Asset Pricing Model In: Working Papers in Economics.
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2010Robust Estimation and Forecasting of the Capital Asset Pricing Model.(2010) In: Econometric Institute Research Papers.
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2010Robust Estimation and Forecasting of the Capital Asset Pricing Model.(2010) In: Econometric Institute Research Papers.
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2010Robust Estimation and Forecasting of the Capital Asset Pricing Model.(2010) In: KIER Working Papers.
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2013Robust Estimation and Forecasting of the Capital Asset Pricing Model.(2013) In: Tinbergen Institute Discussion Papers.
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2013ROBUST ESTIMATION AND FORECASTING OF THE CAPITAL ASSET PRICING MODEL.(2013) In: Annals of Financial Economics (AFE).
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2010Journal Impact Factor Versus Eigenfactor and Article Influence In: Working Papers in Economics.
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2010Journal Impact Factor Versus Eigenfactor and Article Influence.(2010) In: KIER Working Papers.
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2009Alternative Asymmetric Stochastic Volatility Models.(2009) In: CARF F-Series.
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2010Alternative Asymmetric Stochastic Volatility Models.(2010) In: Econometric Institute Research Papers.
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2010Alternative Asymmetric Stochastic Volatility Models.(2010) In: KIER Working Papers.
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2011Alternative Asymmetric Stochastic Volatility Models.(2011) In: Econometric Reviews.
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2009Alternative Asymmetric Stochastic Volatility Models.(2009) In: CIRJE F-Series.
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2010Evaluating Combined Non-Replicable Forecasts In: Working Papers in Economics.
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2010Evaluating Combined Non-Replicable Forecasts.(2010) In: KIER Working Papers.
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2010What Makes a Great Journal Great in the Sciences? Which Came First, the Chicken or the Egg? In: Working Papers in Economics.
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2010What Makes a Great Journal Great in the Sciences? Which Came First, the Chicken or the Egg?.(2010) In: Econometric Institute Research Papers.
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2010What Makes a Great Journal Great in the Sciences? Which Came First, the Chicken or the Egg?.(2010) In: KIER Working Papers.
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2010Dynamic Conditional Correlations for Asymmetric Processes In: Working Papers in Economics.
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2009Dynamic Conditional Correlations for Asymmetric Processes.(2009) In: CARF F-Series.
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2010Dynamic Conditional Correlations for Asymmetric Processes.(2010) In: Econometric Institute Research Papers.
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2010Dynamic Conditional Correlations for Asymmetric Processes.(2010) In: KIER Working Papers.
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2009Dynamic Conditional Correlations for Asymmetric Processes.(2009) In: CIRJE F-Series.
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2010Testing the Box-Cox Parameter for an Integrated Process.(2010) In: KIER Working Papers.
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2011Asymmetric Adjustment in the Ethanol and Grains Markets.(2011) In: Econometric Institute Research Papers.
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2010Asymmetric Adjustments in the Ethanol and Grains Markets.(2010) In: KIER Working Papers.
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2011How are Journal Impact, Prestige and Article Influence Related? An Application to Neuroscience.(2011) In: Econometric Institute Research Papers.
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2011How are Journal Impact, Prestige and Article Influence Related? An Application to Neuroscience.(2011) In: KIER Working Papers.
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2011Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX.(2011) In: KIER Working Papers.
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2011Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX.(2011) In: Documentos de Trabajo del ICAE.
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2011Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures In: Working Papers in Economics.
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2011Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range.(2011) In: Econometric Institute Research Papers.
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2011Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range.(2011) In: KIER Working Papers.
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2011Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range.(2011) In: Documentos de Trabajo del ICAE.
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2011Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation.(2011) In: Econometric Institute Research Papers.
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2011Ranking Multivariate GARCH Models by Problem Dimension:An Empirical Evaluation.(2011) In: KIER Working Papers.
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2011Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation.(2011) In: Documentos de Trabajo del ICAE.
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2011Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures.(2011) In: Econometric Institute Research Papers.
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2011Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures.(2011) In: KIER Working Papers.
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2011Citations and Impact of ISI Tourism and Hospitality Journals In: Working Papers in Economics.
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2011Citations and Impact of ISI Tourism and Hospitality Journals.(2011) In: Econometric Institute Research Papers.
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2014Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance.(2014) In: Tinbergen Institute Discussion Papers.
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