Michael McAleer : Citation Profile


Are you Michael McAleer?

National Tsing Hua University (99% share)
Erasmus Universiteit Rotterdam (1% share)

25

H index

88

i10 index

3059

Citations

RESEARCH PRODUCTION:

273

Articles

837

Papers

1

Books

EDITOR:

2

Books edited

3

Series edited

RESEARCH ACTIVITY:

   39 years (1978 - 2017). See details.
   Cites by year: 78
   Journals where Michael McAleer has often published
   Relations with other researchers
   Recent citing documents: 206.    Total self citations: 640 (17.3 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmc90
   Updated: 2017-03-18    RAS profile: 2017-03-17    
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Relations with other researchers


Works with:

Chang, Chia-Lin (192)

Allen, David (73)

Powell, Robert (35)

Asai, Manabu (32)

Caporin, Massimiliano (26)

Wong, Wing-Keung (26)

Jimenez-Martin, Juan (18)

perez-amaral, teodosio (16)

Oxley, Les (16)

Hsu, Hui-Kuang (13)

Hammoudeh, Shawkat (12)

Maasoumi, Esfandiar (11)

Franses, Philip Hans (11)

Hafner, Christian (8)

Chan, Felix (7)

Tansuchat, Roengchai (6)

Lean, Hooi Hooi (5)

Scharth, Marcel (4)

Tong, Howell (4)

Yue, Xiaoguang (4)

Guerrero, David (4)

Medeiros, Marcelo (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 (86)

Caporin, Massimiliano (64)

Hammoudeh, Shawkat (52)

Omori, Yasuhiro (51)

Asongu, Simplice (42)

Asai, Manabu (40)

Manera, Matteo (40)

Wong, Wing-Keung (37)

Lahiani, Amine (35)

Cites to:

Chang, Chia-Lin (299)

Bollerslev, Tim (234)

Ling, Shiqing (217)

Engle, Robert (208)

Wong, Wing-Keung (176)

Caporin, Massimiliano (116)

Chan, Felix (103)

Oxley, Les (88)

Jimenez-Martin, Juan (77)

Hafner, Christian (76)

perez-amaral, teodosio (70)

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 Econometrics20
Econometric Reviews13
Applied Economics8
The North American Journal of Economics and Finance7
Journal of Risk and Financial Management7
Applied Financial Economics6
Energy Economics6
Annals of Financial Economics (AFE)6
Econometric Theory6
Economics Letters6
Journal of Applied Econometrics6
International Review of Economics & Finance6
Statistica Neerlandica5
The Japanese Economic Review5
Journal of Reviews on Global Economics5
International Journal of Forecasting5
The Review of Economics and Statistics4
Econometrics4
Managerial Finance3
Journal of Forecasting3
Canadian Journal of Economics3
Economic Modelling2
Journal of Macroeconomics2
Journal of Financial Econometrics2
Econometrics Journal2
Economic Journal2
Computational Statistics & Data Analysis2
The Economic Record2
The Quarterly Review of Economics and Finance2
Oxford Bulletin of Economics and Statistics2

Working Papers Series with more than one paper published# docs
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute165
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico156
Tinbergen Institute Discussion Papers / Tinbergen Institute106
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 Papers / Queen's University, Department of Economics16
ISER Discussion Paper / Institute of Social and Economic Research, Osaka University16
"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 discussão / Department of Economics PUC-Rio (Brazil)3
Working Papers / Fondazione Eni Enrico Mattei2

Recent works citing Michael McAleer (2017 and 2016)


YearTitle of citing document
2016The Mobile Phone in the Diffusion of Knowledge for Institutional Quality in Sub-Saharan Africa. (2016). Asongu, Simplice ; Nwachukwu, Jacinta C. In: Working Papers. RePEc:agd:wpaper:16/010.

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2016Globalization and Governance: A Critical Contribution to the Empirics. (2016). Tchamyou, Vanessa ; Asongu, Simplice ; Efobi, Uchenna . In: Working Papers. RePEc:agd:wpaper:16/017.

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2016Fighting Capital Flight in Africa: Evidence from Bundling and Unbundling Governance. (2016). Asongu, Simplice ; Nwachukwu, Jacinta . In: Working Papers. RePEc:agd:wpaper:16/047.

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2016Asymmetric stochastic volatility in central and eastern European stock markets. (2016). Hepsag, Aycan . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiii:y:2016:i:2(607):p:135-144.

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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 ; Monte, Enric ; Torra, Salvador . In: AQR Working Papers. RePEc:aqr:wpaper:201701.

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2016On the stationarity of Dynamic Conditional Correlation models. (2016). Malongo, Hassan ; Fermanian, Jean-David . In: Papers. RePEc:arx:papers:1405.6905.

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2016Switching-GAS Copula Models With Application to Systemic Risk. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1504.03733.

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2016Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series. (2016). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1510.05118.

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2016The role of volume in order book dynamics: a multivariate Hawkes process analysis. (2016). Rambaldi, Marcello ; Lillo, Fabrizio ; Bacry, Emmanuel . In: Papers. RePEc:arx:papers:1602.07663.

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2016Regime switching vine copula models for global equity and volatility indices. (2016). Fink, Holger ; Stober, Jakob ; Czado, Claudia ; Klimova, Yulia . In: Papers. RePEc:arx:papers:1604.05598.

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2016Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models. (2016). Catania, Leopoldo ; Nonejad, Nima . In: Papers. RePEc:arx:papers:1605.00230.

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2016Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures. (2016). Wang, Chao ; Gerlach, Richard . In: Papers. RePEc:arx:papers:1612.08488.

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

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2016Taking the Temperature: A Meta-Ranking of Economics Journals. (2016). Wohlrabe, Klaus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5726.

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2016Do Consumers Really Follow a Rule of Thumb? Three Thousand Estimates from 130 Studies Say Probably Not. (2016). Sokolova, Anna ; Havranek, Tomas. In: Working Papers. RePEc:cnb:wpaper:2016/08.

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2016Taxonomia y Dinamica de las Expectativas Economicas de los Empresarios Industriales en Uruguay. Un Analisis de Conglomerados. (2016). Lanzilotta, Bibiana ; Mernies, Bibiana Lanzilotta . In: REVISTA DE ECONOMÍA DEL ROSARIO. RePEc:col:000151:014258.

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2016Modelling Oil Price Volatility with the Beta-Skew-t-EGARCH Framework. (2016). Salisu, Afees. In: Economics Bulletin. RePEc:ebl:ecbull:eb-15-00762.

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2016Dynamic relationship between tourism and economic growth in MERCOSUR countries: a nonlinear approach based on asymmetric time series models. (2016). Lanzilotta, Bibiana ; Brida, Juan ; Pizzolon, Fiorella . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00221.

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2016Disaggregating the correlation under bearish and bullish markets: A Quantile-quantile approach. (2016). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Ameer, Saba . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00683.

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2016Do Structural Breaks Affect Portfolio Designs and Hedging Strategies? International Evidence from Stock-Commodity Markets Linkages. (2016). Mongi, Arfaoui ; Dhouha, Hajali . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-01-34.

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2016Volatility Transmission in Crude Oil, Gold, Standard and Poor’s 500 and US Dollar Index Futures using Vector Autoregressive Multivariate Generalized Autoregressive Conditional Heteroskedasticity Mod. (2016). Bunnag, Tanattrin . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2016-01-07.

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2016The Effect of Crude Oil Price Moments on Socially Responsible Firms in Eurozone. (2016). GIANNARAKIS, Grigoris ; Billias, Ioannis ; Zafeiriou, Eleni . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2016-02-23.

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2016Nonlinear and time-varying growth-tourism causality. (2016). Liu, Shiao-Yen ; Wu, Po-Chin ; Huang, Tsai-Yuan ; Hsiao, Juei-Ming . In: Annals of Tourism Research. RePEc:eee:anture:v:59:y:2016:i:c:p:45-59.

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2016Forecasting city arrivals with Google Analytics. (2016). Gunter, Ulrich ; Onder, Irem . In: Annals of Tourism Research. RePEc:eee:anture:v:61:y:2016:i:c:p:199-212.

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2016Tourism and economic growth: Does democracy matter?. (2016). Filis, George ; Antonakakis, Nikolaos ; Eeckels, Bruno ; Dragouni, Mina . In: Annals of Tourism Research. RePEc:eee:anture:v:61:y:2016:i:c:p:258-264.

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2016Identifying the determinants of energy intensity in China: A Bayesian averaging approach. (2016). Zhang, Dayong ; Wei, Yi-Ming ; Cao, Hong. In: Applied Energy. RePEc:eee:appene:v:168:y:2016:i:c:p:672-682.

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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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2016Estimation and empirical performance of non-scalar dynamic conditional correlation models. (2016). Bauwens, Luc ; Grigoryeva, Lyudmila ; Ortega, Juan-Pablo . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:17-36.

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2016The uncertainty of conditional returns, volatilities and correlations in DCC models. (2016). Ruiz, Esther ; Fresoli, Diego E. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:170-185.

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2016Matrix exponential stochastic volatility with cross leverage. (2016). Omori, Yasuhiro ; Asai, Manabu ; Ishihara, Tsunehiro . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:331-350.

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2016Confidence intervals for ARMA–GARCH Value-at-Risk: The case of heavy tails and skewness. (2016). Spierdijk, Laura . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:545-559.

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2016Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown. (2016). Sucarrat, Genaro ; Escribano, Alvaro ; Gronneberg, Steffen . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:582-594.

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2016Dynamic equicorrelation stochastic volatility. (2016). Omori, Yasuhiro ; Kurose, Yuta . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:795-813.

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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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2016Nonlinear expectile regression with application to Value-at-Risk and expected shortfall estimation. (2016). Kim, Minjo ; Lee, Sangyeol . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:94:y:2016:i:c:p:1-19.

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2016Feasibility of a currency union in East Asia using the five-variable structural vector autoregressive model. (2016). Shafighi, Najla ; Gharleghi, Behrooz . In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:52:y:2016:i:c:p:45-54.

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2016Common dynamic factors in driving commodity prices: Implications of a generalized dynamic factor model. (2016). Kagraoka, Yusho . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:609-617.

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2016Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach. (2016). Hou, Yang ; Li, Steven . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:884-897.

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2016Portfolio diversification benefits of Islamic investors with their major trading partners: Evidence from Malaysia based on MGARCH-DCC and wavelet approaches. (2016). Masih, Abul ; Rahim, Adam Mohamed . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:425-438.

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2016Further application of Narayan and Liu (2015) unit root model for trending time series. (2016). Salisu, Afees ; ADELEKE, Adegoke. In: Economic Modelling. RePEc:eee:ecmode:v:55:y:2016:i:c:p:305-314.

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2016Causes and hazards of the euro area sovereign debt crisis: Pure and fundamentals-based contagion. (2016). Sosvilla-Rivero, Simon ; Gomez-Puig, Marta . In: Economic Modelling. RePEc:eee:ecmode:v:56:y:2016:i:c:p:133-147.

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2016Gold price and stock markets nexus under mixed-copulas. (2016). Nguyen, Cuong ; Komornik, Jozef ; Komornikova, Magda ; Bhatti, Ishaq M. In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:283-292.

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2017Asymmetric determinants of CDS spreads: U.S. industry-level evidence through the NARDL approach. (2017). 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 ; Serenis, Dimitrios ; Tsounis, Nicholas . 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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2016Volatility transmission across currencies and commodities with US uncertainty measures. (2016). , Ahmed ; Ramchander, Sanjay ; Hammoudeh, Shawkat ; Otranto, Edoardo . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:37:y:2016:i:c:p:63-83.

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2016Time-varying price shock transmission and volatility spillover in foreign exchange, bond, equity, and commodity markets: Evidence from the United States. (2016). Hamori, Shigeyuki ; Tian, Shuairu . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:38:y:2016:i:c:p:163-171.

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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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2016Ecotourism and fishing in a common ground of two interacting species. (2016). Paul, Prosenjit ; Ghorai, Abhijit ; Kar, T K. In: Ecological Modelling. RePEc:eee:ecomod:v:328:y:2016:i:c:p:1-13.

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2016ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors. (2016). Medeiros, Marcelo ; Mendes, Eduardo F. In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:255-271.

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2016Inference in VARs with conditional heteroskedasticity of unknown form. (2016). Trenkler, Carsten ; Jentsch, Carsten ; Bruggemann, Ralf . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:69-85.

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2016Exploiting the errors: A simple approach for improved volatility forecasting. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:1-18.

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2016Bayesian semiparametric modeling of realized covariance matrices. (2016). Maheu, John ; Jin, Xin . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:19-39.

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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). Meintanis, S G ; Francq, C ; Jimenez-Gamero, M D. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:305-319.

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2016Default probability estimation via pair copula constructions. (2016). Dalla Valle, Luciana ; Manelli, Claudio ; Tarantola, Claudia ; de Giuli, Maria Elena ; DeGiuli, Maria Elena . In: European Journal of Operational Research. RePEc:eee:ejores:v:249:y:2016:i:1:p:298-311.

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2016Take it to the limit: Innovative CVaR applications to extreme credit risk measurement. (2016). Powell, Robert ; Allen, David ; Singh, AK. In: European Journal of Operational Research. RePEc:eee:ejores:v:249:y:2016:i:2:p:465-475.

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2016Modeling and forecasting exchange rate volatility in time-frequency domain. (2016). Vacha, Lukas ; Baruník, Jozef ; Krehlik, Tomas ; Barunik, Jozef . In: European Journal of Operational Research. RePEc:eee:ejores:v:251:y:2016:i:1:p:329-340.

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2016On moment non-explosions for Wishart-based stochastic volatility models. (2016). DA FONSECA, José. In: European Journal of Operational Research. RePEc:eee:ejores:v:254:y:2016:i:3:p:889-894.

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2016Macro-economic determinants of European stock and government bond correlations: A tale of two regions. (2016). Perego, Erica R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:214-232.

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2016A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets. (2016). Nielsen, Morten ; Dolatabadi, Sepideh ; Xu, Ke. In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:623-639.

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2016Impact of the financial crisis on Indian commodity markets: Structural breaks and volatility dynamics. (2016). Prasanna, Krishna ; Shalini, Velappan . In: Energy Economics. RePEc:eee:eneeco:v:53:y:2016:i:c:p:40-57.

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2016Linking the gas and oil markets with the stock market: Investigating the U.S. relationship. (2016). Gatfaoui, Hayette. In: Energy Economics. RePEc:eee:eneeco:v:53:y:2016:i:c:p:5-16.

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2016Evolution of the world crude oil market integration: A graph theory analysis. (2016). Ji, Qiang ; Fan, Ying . In: Energy Economics. RePEc:eee:eneeco:v:53:y:2016:i:c:p:90-100.

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2016Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk. (2016). Nguyen, Duc Khuong ; Demirer, Riza ; Balcilar, Mehmet ; Hammoudeh, Shawkat . In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:159-172.

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2016Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH. (2016). Basher, Syed ; Sadorsky, Perry . In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:235-247.

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2016Forecasting realized volatility in electricity markets using logistic smooth transition heterogeneous autoregressive models. (2016). Qu, Hui ; Li, Xindan ; Niu, Mengyi ; Chen, Wei . In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:68-76.

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2016Crude oil prices and sectoral stock returns in Jordan around the Arab uprisings of 2010. (2016). Bouri, Elie ; Maghyereh, Aktham ; Awartani, Basel . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:205-214.

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2016Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market. (2016). DA FONSECA, José ; Ziveyi, Jonathan ; Ignatieva, Katja . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:215-228.

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2016The relationships between petroleum and stock returns: An asymmetric dynamic equi-correlation approach. (2016). Liu, LI ; Pan, Zhiyuan ; Wang, Yudong . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:453-463.

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2016Fossil fuel price uncertainty and feedstock edible oil prices: Evidence from MGARCH-M and VIRF analysis. (2016). Hasanov, Akram Shavkatovich ; Shaiban, Mohammed Sharaf ; Do, Hung Xuan . In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:16-27.

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2016Information spillover dynamics of the energy futures market sector: A novel common factor approach. (2016). Kuruppuarachchi, Duminda ; Premachandra, I M. In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:277-294.

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2016Impacts of OPECs political risk on the international crude oil prices: An empirical analysis based on the SVAR models. (2016). Wei, Yi-Ming ; Tang, Bao-Jun ; Chen, Hao ; Liao, Hua . In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:42-49.

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2016Hedging strategy for ethanol processing with copula distributions. (2016). Wilson, William ; Awudu, Iddrisu ; Dahl, Bruce . In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:59-65.

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2016How is volatility in commodity markets linked to oil price shocks?. (2016). Manera, Matteo ; Ahmadi, Maryam ; Behmiri, Niaz Bashiri . In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:11-23.

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2016Oil price uncertainty and the U.S. stock market analysis based on a GARCH-in-mean VAR model. (2016). Alsalman, Zeina . In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:251-260.

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2016Forecasting the volatility of crude oil futures using HAR-type models with structural breaks. (2016). Wen, Fenghua ; Cai, Shenghua ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:400-413.

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

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2016Another January effect—Evidence from stock split announcements. (2016). Beladi, Hamid ; Hu, May ; Chao, Chi Chur . In: International Review of Financial Analysis. RePEc:eee:finana:v:44:y:2016:i:c:p:123-138.

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2016Will the crisis “tear us apart”? Evidence from the EU. (2016). Pappas, Vasileios ; Steele, Gerry ; Izzeldin, Marwan . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:346-360.

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2016International stock market cointegration under the risk-neutral measure. (2016). Gagnon, Marie-Helene ; Toupin, Dominique ; Power, Gabriel J. In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:243-255.

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2016Asymmetries of the intraday return-volatility relation. (2016). Badshah, Ihsan ; Tourani-Rad, Alireza ; Knif, Johan ; Frijns, Bart . In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:182-192.

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2016Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries. (2016). Filis, George ; Degiannakis, Stavros ; Boldanov, Rustam . In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:209-220.

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2016Dynamic spillover effects in futures markets: UK and US evidence. (2016). Antonakakis, Nikolaos ; Kizys, Renatas ; Floros, Christos . In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:406-418.

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2016Almost stochastic dominance for risk averters and risk seeker. (2016). Wong, Wing-Keung ; Guo, XU ; Zhu, Lixing . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:15-21.

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2016Examining hardwood pulp and ethanol prices for improved poplar plantations in Canada. (2016). Luckert, Martin ; Qiu, F ; Work, J. In: Forest Policy and Economics. RePEc:eee:forpol:v:70:y:2016:i:c:p:9-15.

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2016Comparing the financial performance of timber REITs and other REITs. (2016). Piao, Xiaorui ; Xue, Yuan ; Mei, Bin . In: Forest Policy and Economics. RePEc:eee:forpol:v:72:y:2016:i:c:p:115-121.

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2016Human capital and international portfolio diversification: A reappraisal. (2016). Bretscher, Lorenzo ; Rosa, Carlo ; Julliard, Christian . In: Journal of International Economics. RePEc:eee:inecon:v:99:y:2016:i:s1:p:s78-s96.

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2016Expert-based versus citation-based ranking of scholarly and scientific publication channels. (2016). Saarela, Mirka ; Karkkainen, Tommi ; Rossi, Tuomo ; Lahtonen, Tommi . In: Journal of Informetrics. RePEc:eee:infome:v:10:y:2016:i:3:p:693-718.

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2016Dynamic spillovers between Nigerian, South African and international equity markets. (2016). Shuaibu, Mohammed ; Fowowe, Babajide . In: International Economics. RePEc:eee:inteco:v:148:y:2016:i:c:p:59-80.

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2016Financial crisis, liquidity and dynamic linkages between large and small stocks: Evidence from the Athens Stock Exchange. (2016). BABALOS, VASSILIOS ; Koulakiotis, Athanasios ; Papasyriopoulos, Nicholas . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:40:y:2016:i:c:p:46-62.

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2016A GARCH model for testing market efficiency. (2016). Narayan, Paresh ; Liu, Ruipeng ; Westerlund, Joakim . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:41:y:2016:i:c:p:121-138.

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2016Frontiers in VaR forecasting and backtesting. (2016). Ruiz, Esther ; Nieto, Maria Rosa . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501.

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2016Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay?. (2016). Fernandez-Rodriguez, Fernando ; Fuertes, Ana-Maria . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:695-715.

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2016Time varying biases and the state of the economy. (2016). Hsu, Shih-Hsun ; Xie, Zixiong . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:716-725.

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2016Modelling and trading the U.S. implied volatility indices. Evidence from the VIX, VXN and VXD indices. (2016). Sermpinis, Georgios ; Psaradellis, Ioannis . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1268-1283.

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2017Forecasting market returns: bagging or combining?. (2017). Wohar, Mark E ; Jordan, Steven J ; Vivian, Andrew . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:102-120.

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2017Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

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2016The impact of non-interest income on bank risk in Australia. (2016). Williams, Barry . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:73:y:2016:i:c:p:16-37.

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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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article73
1985What Will Take the Con Out of Econometrics?.(1985) In: CEPR Discussion Papers.
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paper
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.
[Citation analysis]
article15
2012It pays to violate: how effective are the Basel accord penalties in encouraging risk management? In: Accounting and Finance.
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article0
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]
This paper has another version. Agregated cites: 0
paper
1992Efficient Estimation: The Rao-Zyskind Condition, Kruskals Theorem and Ordinary Least Squares. In: The Economic Record.
[Citation analysis]
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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article35
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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article2
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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article0
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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paper
2013Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis.(2013) In: Tinbergen Institute Discussion Papers.
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paper
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.
[Citation analysis]
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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article0
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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article7
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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article60
2004An Empirical Assessment of Country Risk Ratings and Associated Models In: Journal of Economic Surveys.
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article18
2004Econometric modelling of non-ferrous metal prices In: Journal of Economic Surveys.
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article20
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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article7
2007MEASURING RISK IN ENVIRONMENTAL FINANCE In: Journal of Economic Surveys.
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article3
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
2010A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS In: Journal of Economic Surveys.
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article5
2009A Scientific Classification of Volatility Models..(2009) In: Documentos de Trabajo del ICAE.
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2009A Scientific Classification of Volatility Models.(2009) In: Documentos de Trabajo del ICAE.
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paper
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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article4
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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article10
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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article31
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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paper
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.
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paper
2014EVALUATING MACROECONOMIC FORECASTS: A CONCISE REVIEW OF SOME RECENT DEVELOPMENTS In: Journal of Economic Surveys.
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article7
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.
[Citation analysis]
article64
1994 Sherlock Holmes and the Search for Truth: A Diagnostic Tale. In: Journal of Economic Surveys.
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article22
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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article
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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article4
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.
[Full Text][Citation analysis]
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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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article1
2012Ranking Journal Quality by Harmonic Mean of Ranks: An Application to ISI Statistics & Probability.(2012) In: Working Papers in Economics.
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This paper has another version. Agregated cites: 1
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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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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paper
2010Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH.(2010) In: Econometric Institute Research Papers.
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2011Crude oil hedging strategies using dynamic multivariate GARCH.(2011) In: Energy Economics.
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