Citation analysis for Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

0.87

Impact Factor

0.48

5-Years IF

5-Years H index

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data

	IF	AIF	IF5	DOC	CDO	CCU	CIF	CIT	D2Y	C2Y	D5Y	C5Y	%SC	CiY	II	AII
1990		0.1		1	1				0		4		(%)			0.06
1991		0.09		3	4			2	1		5		(%)			0.04
1992		0.1			4				4		6		(%)			0.05
1993		0.13		4	8			2	3		4		(%)			0.06
1994		0.14		2	10			1	4		8		(%)			0.06
1995		0.17		18	28			20	6		10		2 (10%)			0.11
1996	0.15	0.22	0.11	29	57	6	0.11	39	20	3	27	3	10 (25.6%)	3	0.1	0.1
1997	0.3	0.22	0.26	24	81	19	0.23	23	47	14	53	14	5 (21.7%)	5	0.21	0.09
1998	0.23	0.24	0.17	31	112	15	0.13	62	53	12	77	13	2 (3.2%)	1	0.03	0.13
1999	0.15	0.3	0.1	47	159	15	0.09	76	55	8	104	10	3 (3.9%)	4	0.09	0.16
2000	0.14	0.37	0.09	28	187	16	0.09	78	78	11	149	13	(%)	3	0.11	0.14
2001	0.05	0.37	0.07	36	223	16	0.07	40	75	4	159	11	4 (10%)	2	0.06	0.17
2002	0.14	0.37	0.15	48	271	38	0.14	138	64	9	166	25	7 (5.1%)	4	0.08	0.18
2003	0.19	0.4	0.15	53	324	43	0.13	110	84	16	190	29	7 (6.4%)	2	0.04	0.19
2004	0.24	0.41	0.21	49	373	64	0.17	98	101	24	212	45	9 (9.2%)	5	0.1	0.18
2005	0.27	0.43	0.25	55	428	73	0.17	80	102	28	214	53	21 (26.3%)	6	0.11	0.21
2006	0.25	0.44	0.2	50	478	78	0.16	62	104	26	241	47	9 (14.5%)	5	0.1	0.19
2007	0.17	0.37	0.18	54	532	65	0.12	66	105	18	255	47	12 (18.2%)	4	0.07	0.17
2008	0.13	0.39	0.13	37	569	78	0.14	79	104	14	261	33	16 (20.3%)	2	0.05	0.17
2009	0.3	0.36	0.18	46	615	87	0.14	130	91	27	245	45	12 (9.2%)	6	0.13	0.17
2010	0.35	0.34	0.19	74	689	88	0.13	150	83	29	242	45	32 (21.3%)	4	0.05	0.15
2011	0.26	0.41	0.17	45	734	95	0.13	75	120	31	261	45	16 (21.3%)	7	0.16	0.2
2012	0.31	0.45	0.26	34	768	110	0.14	40	119	37	256	67	2 (5%)	5	0.15	0.21
2013	0.42	0.5	0.4	32	800	153	0.19	73	79	33	236	94	11 (15.1%)	2	0.06	0.2
2014	0.48	0.55	0.39	31	831	151	0.18	62	66	32	231	89	20 (32.3%)	10	0.32	0.25
2015	0.56	0.57	0.35	38	869	156	0.18	68	63	35	216	75	23 (33.8%)	14	0.37	0.26
2016	0.87	0.66	0.48	47	916	158	0.17	21	69	60	180	86	6 (28.6%)	17	0.36	0.34

IF:	Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for series in RePEc in year y
IF5:	Impact Factor: C5Y / D5Y
DOC:	Number of documents published in year y
CDO:	Cumulative number of documents published until year y
CCU:	Cumulative number of citations to papers published until year y
CIF:	Cumulative impact factor
CIT:	Number of citations to papers published in year y
D2Y:	Number of articles published in y-1 plus y-2
C2Y:	Cites in y to articles published in y-1 plus y-2
D5Y:	Number of articles published in y-1 until y-5
C5Y:	Cites in y to articles published in y-1 until y-5
%SC:	Percentage of selft citations in y to articles published in y-1 plus y-2
CiY:	Cites in year y to documents published in year y
II:	Immediacy Index: CiY / Documents.
AII:	Average Immediacy Index for series in RePEc in year y

50 most cited documents in this series:

#	Year	Title	Cited
1	2002	Reverse logistics. (2002). de Brito, Marisa ; Dekker, Rommert ; Flapper, S. D. P., . In: Econometric Institute Research Papers. RePEc:ems:eureir:561. Full description at Econpapers \|\| Download paper	60
2	2014	A One Line Derivation of EGARCH. (2014). McAleer, Michael ; Hafner, Christian. In: Econometric Institute Research Papers. RePEc:ems:eureir:51742. Full description at Econpapers \|\| Download paper	48
3	2013	Ten Things You Should Know About the Dynamic Conditional Correlation Representation. (2013). McAleer, Michael ; Caporin, Massimiliano. In: Econometric Institute Research Papers. RePEc:ems:eureir:40377. Full description at Econpapers \|\| Download paper	37
4	1998	Does the absence of cointegration explain the typical findings in long horizon regressions?. (1998). van Dijk, Dick ; Berben, R-P., ; van Dijk, D. J. C., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1555. Full description at Econpapers \|\| Download paper	36
5	2010	What Makes a Great Journal Great in Economics? The Singer Not the Song.. (2010). Oxley, Les ; McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:20158. Full description at Econpapers \|\| Download paper	35
6	2011	How are Journal Impact, Prestige and Article Influence Related? An Application to Neuroscience. (2011). Oxley, Les ; McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:22236. Full description at Econpapers \|\| Download paper	35
7	2015	Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2015). McAleer, Michael ; Li, Yong ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:78349. Full description at Econpapers \|\| Download paper	33
8	2004	Quasi-random simulation of discrete choice models. (2004). Train, Kenneth ; Sandor, Z.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1829. Full description at Econpapers \|\| Download paper	29
9	2010	Model Selection and Testing of Conditional and Stochastic Volatility Models. (2010). McAleer, Michael ; Caporin, Massimiliano. In: Econometric Institute Research Papers. RePEc:ems:eureir:20940. Full description at Econpapers \|\| Download paper	24
10	2009	Identifying Shocks in Regionally Integrated East Asian Economies with Structural VaR and Block Exogeneity. (2009). Zhang, Zhaoyong ; McAleer, Michael ; Sato, K.. In: Econometric Institute Research Papers. RePEc:ems:eureir:17522. Full description at Econpapers \|\| Download paper	24
11	2009	Modelling conditional correlations for risk diversification in crude oil markets. (2009). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:16105. Full description at Econpapers \|\| Download paper	22
12	2005	Operations research in passenger railway transportation. (2005). Huisman, Dennis ; Vromans, M. J. C. M., ; Lentink, R. M. ; Kroon, L. G.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1941. Full description at Econpapers \|\| Download paper	22
13	2009	Block Structure Multivariate Stochastic Volatility Models. (2009). Caporin, Massimiliano ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:17523. Full description at Econpapers \|\| Download paper	22
14	1999	On SETAR non- linearity and forecasting. (1999). Smith, Jeremy ; Franses, Philip Hans ; Clements, Michael ; Franses, Ph. H. B. F., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1567. Full description at Econpapers \|\| Download paper	19
15	2008	Bayesian near-boundary analysis in basic macroeconomic time series models. (2008). van Dijk, Herman ; Segers, Rene ; Ravazzolo, Francesco ; De Pooter, Michiel. In: Econometric Institute Research Papers. RePEc:ems:eureir:13055. Full description at Econpapers \|\| Download paper	19
16	2003	A generalized dynamic conditional correlation model for many asset returns. (2003). Hafner, Christian ; Franses, Philip Hans ; Franses, Ph. H. B. F., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1718. Full description at Econpapers \|\| Download paper	18
17	2003	Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy. (2003). van Dijk, Dick ; Franses, Philip Hans ; Franses, Ph. H. B. F., ; van Dijk, D. J. C., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1703. Full description at Econpapers \|\| Download paper	17
18	2015	On the Invertibility of EGARCH(p,q). (2015). McAleer, Michael ; Martinet, G. G.. In: Econometric Institute Research Papers. RePEc:ems:eureir:78126. Full description at Econpapers \|\| Download paper	17
19	2002	Changes in variability of the business cycle in the G7 countries. (2002). van Dijk, Dick ; Osborn, Denise ; van Dijk, D. J. C., ; Sensier, M.. In: Econometric Institute Research Papers. RePEc:ems:eureir:551. Full description at Econpapers \|\| Download paper	16
20	2006	Optimal maintenance of multi-component systems: a review. (2006). Nicolai, Robin ; Dekker, Rommert. In: Econometric Institute Research Papers. RePEc:ems:eureir:7975. Full description at Econpapers \|\| Download paper	16
21	2007	Disruption management in passenger railway transportation.. (2007). Huisman, Dennis ; Nielsen, M. N. ; Kroon, L. G. ; Jespersen-Groth, J. ; Clausen, J. ; Maroti, G. ; Potthoff, D.. In: Econometric Institute Research Papers. RePEc:ems:eureir:8527. Full description at Econpapers \|\| Download paper	16
22	2003	Forecasting industrial production with linear, nonlinear, and structural change models. (2003). van Dijk, Dick ; Siliverstovs, Boriss ; van Dijk, D. J. C., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1716. Full description at Econpapers \|\| Download paper	15
23	2006	Bayesian Model Averaging in the Presence of Structural Breaks. (2006). van Dijk, Dick ; Ravazzolo, Francesco ; Paap, Richard ; Franses, Philip Hans ; van Dijk, D. J. C., ; Franses, Ph. H. B. F., . In: Econometric Institute Research Papers. RePEc:ems:eureir:7904. Full description at Econpapers \|\| Download paper	15
24	2013	Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence. (2013). Oxley, Les ; McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:39179. Full description at Econpapers \|\| Download paper	14
25	2000	Asymmetric and common absorption of shocks in nonlinear autoregressive models. (2000). van Dijk, Dick ; Franses, Philip Hans ; Franses, Ph. H. B. F., ; van Dijk, D. J. C., ; Boswijk, H. P.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1637. Full description at Econpapers \|\| Download paper	14
26	1996	A Review of Multi-Component Maintenance Models with Economic Dependence. (1996). Dekker, Rommert ; van der Duyn Schouten, F. A., ; Wildeman, R. E.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1372. Full description at Econpapers \|\| Download paper	14
27	2012	Robust Ranking of Journal Quality: An Application to Economics. (2012). McAleer, Michael ; Maasoumi, Esfandiar ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:32136. Full description at Econpapers \|\| Download paper	14
28	2008	A decision rule to minimize daily capital charges in forecasting value-at-risk. (2008). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Jimenez-Martin, J-A., . In: Econometric Institute Research Papers. RePEc:ems:eureir:13986. Full description at Econpapers \|\| Download paper	13
29	2011	Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Chang, C-L., ; Jimenez-Martin, J-A., . In: Econometric Institute Research Papers. RePEc:ems:eureir:22807. Full description at Econpapers \|\| Download paper	13
30		The new Dutch timetable: The OR revolution. (2008). Huisman, Dennis ; Schrijver, A. ; Ybema, R. ; Fischetti, M. ; Kroon, L. G. ; Maroti, G. ; Fioole, P-J., ; Abbink, E. J. W., ; Steenbeek, A.. In: Econometric Institute Research Papers. RePEc:ems:eureir:13767. Full description at Econpapers \|\| Download paper	12
31	2000	Smooth transition autoregressive models - A survey of recent developments. (2000). van Dijk, Dick ; TerÃÂ¤svirta, Timo ; Franses, Philip Hans ; Franses, Ph. H. B. F., ; van Dijk, D. J. C., ; TERaSVIRTA, T.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1656. Full description at Econpapers \|\| Download paper	12
32	2016	Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:79923. Full description at Econpapers \|\| Download paper	12
33	2010	Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach. (2010). Wong, Wing-Keung ; McAleer, Michael ; Lean, Hooi Hooi. In: Econometric Institute Research Papers. RePEc:ems:eureir:18038. Full description at Econpapers \|\| Download paper	12
34	2003	Multiple-Depot Integrated Vehicle and Crew Scheduling. (2003). Huisman, Dennis ; Wagelmans, A. P. M., ; Wagelmans,A. P. M., ; Freling, R.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1684. Full description at Econpapers \|\| Download paper	12
35	2000	Daily exchange rate behaviour and hedging of currency risk. (2000). van Dijk, Herman ; Mahieu, Ronald ; Bos, Charles. In: Econometric Institute Research Papers. RePEc:ems:eureir:1657. Full description at Econpapers \|\| Download paper	12
36	2005	Dynamic lot sizing with product returns. (2005). van den Heuvel, Wilco ; Teunter, R. H. ; Bayindir, Z. P.. In: Econometric Institute Research Papers. RePEc:ems:eureir:6557. Full description at Econpapers \|\| Download paper	11
37	1999	Combined forecasts from linear and nonlinear time series models. (1999). van Dijk, Herman ; Terui, N.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1621. Full description at Econpapers \|\| Download paper	11
38		Delay Management with Re-Routing of Passengers. (2010). Huisman, Dennis ; Schobel, A. ; Schmidt, M. ; Dollevoet, T. A. B., . In: Econometric Institute Research Papers. RePEc:ems:eureir:19445. Full description at Econpapers \|\| Download paper	11
39	2004	Testing for causality in variance using multivariate GARCH models. (2004). Hafner, Christian ; HERWARTZ, H.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1285. Full description at Econpapers \|\| Download paper	10
40	2009	Real-time inflation forecasting in a changing world. (2009). Paap, Richard ; Groen, Jan ; Groen, J. J. J., . In: Econometric Institute Research Papers. RePEc:ems:eureir:16709. Full description at Econpapers \|\| Download paper	10
41	1999	Inference and Forecasting for Fractional Autoregressive Integrated Moving Average Models, with an application to US and UK inflation. (1999). Ooms, Marius ; Doornik, Jurgen. In: Econometric Institute Research Papers. RePEc:ems:eureir:1619. Full description at Econpapers \|\| Download paper	10
42	2004	Rank reduction of correlation matrices by majorization. (2004). Pietersz, Raoul ; Groenen, Patrick ; Groenen, P. J. F., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1202. Full description at Econpapers \|\| Download paper	10
43		Testing for changes in volatility in heteroskedastic time series - a further examination. (2004). van Dijk, Dick ; De Pooter, Michiel ; van Dijk, D. J. C., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1627. Full description at Econpapers \|\| Download paper	10
44	1996	Testing for Smooth Transition Nonlinearity in the Presence of Outliers. (1996). van Dijk, Dick ; Lucas, Andre ; Franses, Philip Hans ; van Dijk, D. J. C., ; Franses, Ph. H. B. F., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1382. Full description at Econpapers \|\| Download paper	10
45	2012	Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. (2012). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:32528. Full description at Econpapers \|\| Download paper	10
46	2002	How to organise return handling; an exploratory study with nine retailer warehouses. (2002). de Brito, Marisa ; de Koster, M. B. M., ; van de Vendel, M. A.. In: Econometric Institute Research Papers. RePEc:ems:eureir:576. Full description at Econpapers \|\| Download paper	9
47	2011	Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Casarin, Roberto ; Chang, C-L., ; Jimenez-Martin, J-A., . In: Econometric Institute Research Papers. RePEc:ems:eureir:25614. Full description at Econpapers \|\| Download paper	9
48	1995	Flexible Seasonal Long Memory and Economic Time Series. (1995). Ooms, Marius. In: Econometric Institute Research Papers. RePEc:ems:eureir:1351. Full description at Econpapers \|\| Download paper	9
49	2007	Predictive gains from forecast combinations using time-varying model weights. (2007). Verbeek, Marno ; van Dijk, Herman ; Ravazzolo, Francesco ; Verbeek, M. J. C. M., . In: Econometric Institute Research Papers. RePEc:ems:eureir:10451. Full description at Econpapers \|\| Download paper	9
50	2008	Column generation with dynamic duty selection for railway crew rescheduling. (2008). Huisman, Dennis ; Desaulniers, G. ; Potthoff, D.. In: Econometric Institute Research Papers. RePEc:ems:eureir:14423. Full description at Econpapers \|\| Download paper	9

50 most relevant documents in this series (papers most cited in the last two years)

#	Year	Title	Cited
1	2014	A One Line Derivation of EGARCH. (2014). McAleer, Michael ; Hafner, Christian. In: Econometric Institute Research Papers. RePEc:ems:eureir:51742. Full description at Econpapers \|\| Download paper	40
2	2015	Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2015). McAleer, Michael ; Li, Yong ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:78349. Full description at Econpapers \|\| Download paper	33
3	2013	Ten Things You Should Know About the Dynamic Conditional Correlation Representation. (2013). McAleer, Michael ; Caporin, Massimiliano. In: Econometric Institute Research Papers. RePEc:ems:eureir:40377. Full description at Econpapers \|\| Download paper	26
4	2015	On the Invertibility of EGARCH(p,q). (2015). McAleer, Michael ; Martinet, G. G.. In: Econometric Institute Research Papers. RePEc:ems:eureir:78126. Full description at Econpapers \|\| Download paper	17
5	2016	Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:79923. Full description at Econpapers \|\| Download paper	12
6	2006	Optimal maintenance of multi-component systems: a review. (2006). Nicolai, Robin ; Dekker, Rommert. In: Econometric Institute Research Papers. RePEc:ems:eureir:7975. Full description at Econpapers \|\| Download paper	8
7	2011	Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Chang, C-L., ; Jimenez-Martin, J-A., . In: Econometric Institute Research Papers. RePEc:ems:eureir:22807. Full description at Econpapers \|\| Download paper	8
8	2013	Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence. (2013). Oxley, Les ; McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:39179. Full description at Econpapers \|\| Download paper	8
9	2011	Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Casarin, Roberto ; Chang, C-L., ; Jimenez-Martin, J-A., . In: Econometric Institute Research Papers. RePEc:ems:eureir:25614. Full description at Econpapers \|\| Download paper	8
10	2015	The Fundamental Equation in Tourism Finance. (2015). McAleer, Michael. In: Econometric Institute Research Papers. RePEc:ems:eureir:79221. Full description at Econpapers \|\| Download paper	8
11	2011	How are Journal Impact, Prestige and Article Influence Related? An Application to Neuroscience. (2011). Oxley, Les ; McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:22236. Full description at Econpapers \|\| Download paper	7
12	2010	Model Selection and Testing of Conditional and Stochastic Volatility Models. (2010). McAleer, Michael ; Caporin, Massimiliano. In: Econometric Institute Research Papers. RePEc:ems:eureir:20940. Full description at Econpapers \|\| Download paper	7
13	2010	Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach. (2010). Wong, Wing-Keung ; McAleer, Michael ; Lean, Hooi Hooi. In: Econometric Institute Research Papers. RePEc:ems:eureir:18038. Full description at Econpapers \|\| Download paper	6
14	2009	Modelling conditional correlations for risk diversification in crude oil markets. (2009). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:16105. Full description at Econpapers \|\| Download paper	6
15	2012	An Iterative Optimization Framework for Delay Management and Train Scheduling. (2012). Huisman, Dennis ; D'Ariano, A. ; Corman, F. ; Dollevoet, T. A. B., . In: Econometric Institute Research Papers. RePEc:ems:eureir:32416. Full description at Econpapers \|\| Download paper	5
16	2002	Reverse logistics. (2002). de Brito, Marisa ; Dekker, Rommert ; Flapper, S. D. P., . In: Econometric Institute Research Papers. RePEc:ems:eureir:561. Full description at Econpapers \|\| Download paper	5
17	2014	Econometric Analysis of Financial Derivatives. (2014). McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:78064. Full description at Econpapers \|\| Download paper	5
18	2009	Identifying Shocks in Regionally Integrated East Asian Economies with Structural VaR and Block Exogeneity. (2009). Zhang, Zhaoyong ; McAleer, Michael ; Sato, K.. In: Econometric Institute Research Papers. RePEc:ems:eureir:17522. Full description at Econpapers \|\| Download paper	5
19	2009	Block Structure Multivariate Stochastic Volatility Models. (2009). Caporin, Massimiliano ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:17523. Full description at Econpapers \|\| Download paper	5
20	2005	Operations research in passenger railway transportation. (2005). Huisman, Dennis ; Vromans, M. J. C. M., ; Lentink, R. M. ; Kroon, L. G.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1941. Full description at Econpapers \|\| Download paper	5
21	2012	Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. (2012). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:32528. Full description at Econpapers \|\| Download paper	4
22	2008	Bayesian near-boundary analysis in basic macroeconomic time series models. (2008). van Dijk, Herman ; Segers, Rene ; Ravazzolo, Francesco ; De Pooter, Michiel. In: Econometric Institute Research Papers. RePEc:ems:eureir:13055. Full description at Econpapers \|\| Download paper	4
23	2010	Delay Management with Re-Routing of Passengers. (2010). Huisman, Dennis ; Schobel, A. ; Schmidt, M. ; Dollevoet, T. A. B., . In: Econometric Institute Research Papers. RePEc:ems:eureir:19445. Full description at Econpapers \|\| Download paper	4
24	2009	Interdependence of international tourism demand and volatility in leading ASEAN destinations. (2009). Tansuchat, Roengchai ; McAleer, Michael ; Khamkaew, Thanchanok ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:17299. Full description at Econpapers \|\| Download paper	4
25	2003	Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy. (2003). van Dijk, Dick ; Franses, Philip Hans ; Franses, Ph. H. B. F., ; van Dijk, D. J. C., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1703. Full description at Econpapers \|\| Download paper	4
26	2007	Disruption management in passenger railway transportation.. (2007). Huisman, Dennis ; Nielsen, M. N. ; Kroon, L. G. ; Jespersen-Groth, J. ; Clausen, J. ; Maroti, G. ; Potthoff, D.. In: Econometric Institute Research Papers. RePEc:ems:eureir:8527. Full description at Econpapers \|\| Download paper	4
27	2016	Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization. (2016). Wong, Wing-Keung ; McAleer, Michael ; Bai, Z ; Li, H. In: Econometric Institute Research Papers. RePEc:ems:eureir:80106. Full description at Econpapers \|\| Download paper	4
28	2014	The Roadside Healthcare Facility Location Problem. (2014). de Vries, H. ; Wagelmans, A. P. M., ; Wagelmans,A. P. M., ; Klundert, J. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:51315. Full description at Econpapers \|\| Download paper	4
29	2004	Quasi-random simulation of discrete choice models. (2004). Train, Kenneth ; Sandor, Z.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1829. Full description at Econpapers \|\| Download paper	4
30	1999	Combined forecasts from linear and nonlinear time series models. (1999). van Dijk, Herman ; Terui, N.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1621. Full description at Econpapers \|\| Download paper	4
31	2003	Multiple-Depot Integrated Vehicle and Crew Scheduling. (2003). Huisman, Dennis ; Wagelmans, A. P. M., ; Wagelmans,A. P. M., ; Freling, R.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1684. Full description at Econpapers \|\| Download paper	3
32	2010	Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets. (2010). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chun-Ping. In: Econometric Institute Research Papers. RePEc:ems:eureir:18329. Full description at Econpapers \|\| Download paper	3
33	2010	Improved Algorithms for a Lot-Sizing Problem with Inventory Bounds and Backlogging. (2010). van den Heuvel, Wilco ; Hwang, H. C.. In: Econometric Institute Research Papers. RePEc:ems:eureir:18591. Full description at Econpapers \|\| Download paper	3
34	2015	Informatics, Data Mining, Econometrics and Financial Economics: A Connection. (2015). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:79219. Full description at Econpapers \|\| Download paper	3
35	2017	Realized Stochastic Volatility with General Asymmetry and Long Memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:100161. Full description at Econpapers \|\| Download paper	3
36	2012	Robust Ranking of Journal Quality: An Application to Economics. (2012). McAleer, Michael ; Maasoumi, Esfandiar ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:32136. Full description at Econpapers \|\| Download paper	3
37	1996	Testing for Smooth Transition Nonlinearity in the Presence of Outliers. (1996). van Dijk, Dick ; Lucas, Andre ; Franses, Philip Hans ; van Dijk, D. J. C., ; Franses, Ph. H. B. F., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1382. Full description at Econpapers \|\| Download paper	3
38	2010	What Makes a Great Journal Great in Economics? The Singer Not the Song.. (2010). Oxley, Les ; McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:20158. Full description at Econpapers \|\| Download paper	3
39	1997	Self-Organization in Communication Networks. (1997). Goyal, Sanjeev ; Bala, V.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1415. Full description at Econpapers \|\| Download paper	3
40	2017	Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, S. In: Econometric Institute Research Papers. RePEc:ems:eureir:102576. Full description at Econpapers \|\| Download paper	2
41	2009	Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan. (2009). McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:17312. Full description at Econpapers \|\| Download paper	2
42	2010	IV Estimation of a Panel Threshold Model of Tourism Specialization and Economic Development. (2010). McAleer, Michael ; Khamkaew, Thanchanok ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:19363. Full description at Econpapers \|\| Download paper	2
43	2008	Column generation with dynamic duty selection for railway crew rescheduling. (2008). Huisman, Dennis ; Desaulniers, G. ; Potthoff, D.. In: Econometric Institute Research Papers. RePEc:ems:eureir:14423. Full description at Econpapers \|\| Download paper	2
44	2004	Valuing structure, model uncertainty and model averaging in vector autoregressive processes. (2004). van Dijk, Herman ; Strachan, Rodney. In: Econometric Institute Research Papers. RePEc:ems:eureir:1288. Full description at Econpapers \|\| Download paper	2
45	2015	Quality Weighted Citations Versus Total Citations in the Sciences and Social Sciences, with an Application to Finance and Accounting. (2015). McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:78067. Full description at Econpapers \|\| Download paper	2
46	2001	Short-term volatility versus long-term growth: evidence in US macroeconomic time series. (2001). van Dijk, Dick ; Sensier, M. ; van Dijk, D. J. C., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1674. Full description at Econpapers \|\| Download paper	2
47	2006	Estimation of income elasticities and their use in a CGE model in Palestine. (2006). Missaglia, Marco ; De Boer, P. M. C., . In: Econometric Institute Research Papers. RePEc:ems:eureir:7753. Full description at Econpapers \|\| Download paper	2
48	2011	Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation. (2011). McAleer, Michael ; Caporin, Massimiliano. In: Econometric Institute Research Papers. RePEc:ems:eureir:23582. Full description at Econpapers \|\| Download paper	2
49	1991	Probabilistic analysis of algorithms for dual bin packing problems. (1991). Frenk, J. B. G., ; Rinnooy Kan, A. H. G., ; Csirik, J. ; Galambos, G.. In: Econometric Institute Research Papers. RePEc:ems:eureir:11733. Full description at Econpapers \|\| Download paper	2
50	2005	Performance of Seasonal Adjustment Procedures: Simulation and Empirical Results. (2005). Paap, Richard ; Franses, Philip Hans ; Fok, Dennis ; Franses, Ph. H. B. F., . In: Econometric Institute Research Papers. RePEc:ems:eureir:6917. Full description at Econpapers \|\| Download paper	2

Citing documents used to compute impact factor 60:

Year	Title
2016	Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China. (2016). McAleer, Michael ; Chang, Chia-Lin ; Tian, Jiarong . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160053. Full description at Econpapers \|\| Download paper
2016	Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Y. In: Econometric Institute Research Papers. RePEc:ems:eureir:93116. Full description at Econpapers \|\| Download paper
2016	Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:93117. Full description at Econpapers \|\| Download paper
2016	An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:93118. Full description at Econpapers \|\| Download paper
2016	Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yanghuiting . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1610. Full description at Econpapers \|\| Download paper
2016	An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1612. Full description at Econpapers \|\| Download paper
2016	Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China. (2016). McAleer, Michael ; Chang, Chia-Lin ; Tian, Jiarong . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1609. Full description at Econpapers \|\| Download paper
2016	Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yanghuiting . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160047. Full description at Econpapers \|\| Download paper
2016	Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?. (2016). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1601. Full description at Econpapers \|\| Download paper
2016	Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?. (2016). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano. In: Econometric Institute Research Papers. RePEc:ems:eureir:79731. Full description at Econpapers \|\| Download paper
2016	Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?. (2016). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160006. Full description at Econpapers \|\| Download paper
2016	How are VIX and Stock Index ETF Related?. (2016). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1602. Full description at Econpapers \|\| Download paper
2016	How are VIX and Stock Index ETF Related?. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:79913. Full description at Econpapers \|\| Download paper
2016	A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices. (2016). McAleer, Michael ; Chang, Chia-Lin ; Allen, David ; Singh, Abhay K. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160038. Full description at Econpapers \|\| Download paper
2016	Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160046. Full description at Econpapers \|\| Download paper
2016	Volatility spillovers for spot, futures, and ETF prices in energy and agriculture. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1611. Full description at Econpapers \|\| Download paper
2016	A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices. (2016). McAleer, Michael ; Chang, Chia-Lin ; Allen, David ; Singh, AK. In: Econometric Institute Research Papers. RePEc:ems:eureir:93112. Full description at Econpapers \|\| Download paper
2016	Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:93115. Full description at Econpapers \|\| Download paper
2016	Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events. (2016). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160084. Full description at Econpapers \|\| Download paper
2016	Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events. (2016). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1616. Full description at Econpapers \|\| Download paper
2016	An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160052. Full description at Econpapers \|\| Download paper
2016	Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events. (2016). McAleer, Michael ; Allen, David ; Singh, A K ; Powell, R J. In: Econometric Institute Research Papers. RePEc:ems:eureir:98037. Full description at Econpapers \|\| Download paper
2016	Management Science, Economics and Finance: A Connection. (2016). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:93113. Full description at Econpapers \|\| Download paper
2016	Management science, economics and finance: A connection. (2016). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1607. Full description at Econpapers \|\| Download paper
2016	Management Science, Economics and Finance: A Connection. (2016). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160040. Full description at Econpapers \|\| Download paper
2016	Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors. (2016). Savva, Christos ; McAleer, Michael ; Lambertides, Neophytos ; Zopiatis, Anastasios . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160104. Full description at Econpapers \|\| Download paper
2016	Tourism stocks in times of crises: An econometric investigation of non-macro factors. (2016). Savva, Christos ; McAleer, Michael ; Zopiatis, Anastasios ; Lambertides, Neophytos . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1618. Full description at Econpapers \|\| Download paper
2016	Tourism Stocks in Times of Crises: an Econometric Investigation of Non-macro Factors. (2016). Savva, Christos ; McAleer, Michael ; Lambertides, N ; Zopiatis, A. In: Econometric Institute Research Papers. RePEc:ems:eureir:99512. Full description at Econpapers \|\| Download paper
2016	Using the sustainable modified TAM and TPB to analyze the effects of perceived green value on loyalty to a public bike system. (2016). Chen, Shang-Yu . In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:88:y:2016:i:c:p:58-72. Full description at Econpapers \|\| Download paper
2016	Stock marketsâ bubbles burst and volatility spillovers in agricultural commodity markets. (2016). Baldi, Lucia ; Peri, Massimo ; Vandone, Daniela . In: Research in International Business and Finance. RePEc:eee:riibaf:v:38:y:2016:i:c:p:277-285. Full description at Econpapers \|\| Download paper
2016	Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers. (2016). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1615. Full description at Econpapers \|\| Download paper
2016	Modelling volatility spillovers for bio-ethanol, sugarcane and corn. (2016). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin ; Wang, Yu-Ann . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1603. Full description at Econpapers \|\| Download paper
2016	Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:79923. Full description at Econpapers \|\| Download paper
2016	Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes. (2016). McAleer, Michael ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1614. Full description at Econpapers \|\| Download paper
2016	Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes. (2016). McAleer, Michael ; Asai, Manabu. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160071. Full description at Econpapers \|\| Download paper
2016	Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers. (2016). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160076. Full description at Econpapers \|\| Download paper
2016	Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes. (2016). McAleer, Michael ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:93334. Full description at Econpapers \|\| Download paper
2016	Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yu-Ann . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1704. Full description at Econpapers \|\| Download paper
2016	Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers. (2016). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:98648. Full description at Econpapers \|\| Download paper
2016	Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:98657. Full description at Econpapers \|\| Download paper
2016	Incorporating Driving Range Variability in Network Design for Refueling Facilities. (2016). de Vries, H ; Duijzer, E. In: Econometric Institute Research Papers. RePEc:ems:eureir:80105. Full description at Econpapers \|\| Download paper
2016	A column generation approach for locating roadside clinics in Africa based on effectiveness and equity. (2016). Ares, Jose Nuez ; Huisman, Dennis ; de Vries, Harwin . In: European Journal of Operational Research. RePEc:eee:ejores:v:254:y:2016:i:3:p:1002-1016. Full description at Econpapers \|\| Download paper
2016	Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?. (2016). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1601. Full description at Econpapers \|\| Download paper
2016	Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?. (2016). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano. In: Econometric Institute Research Papers. RePEc:ems:eureir:79731. Full description at Econpapers \|\| Download paper
2016	Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?. (2016). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160006. Full description at Econpapers \|\| Download paper
2016	Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China. (2016). McAleer, Michael ; Chang, Chia-Lin ; Tian, Jiarong . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1609. Full description at Econpapers \|\| Download paper
2016	An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1612. Full description at Econpapers \|\| Download paper
2016	Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:93117. Full description at Econpapers \|\| Download paper
2016	An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:93118. Full description at Econpapers \|\| Download paper
2016	Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China. (2016). McAleer, Michael ; Chang, Chia-Lin ; Tian, Jiarong . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160053. Full description at Econpapers \|\| Download paper
2016	Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes. (2016). McAleer, Michael ; Asai, Manabu. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160071. Full description at Econpapers \|\| Download paper
2016	Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers. (2016). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160076. Full description at Econpapers \|\| Download paper
2016	Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes. (2016). McAleer, Michael ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:93334. Full description at Econpapers \|\| Download paper
2016	Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors. (2016). Savva, Christos ; McAleer, Michael ; Lambertides, Neophytos ; Zopiatis, Anastasios . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160104. Full description at Econpapers \|\| Download paper
2016	An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160052. Full description at Econpapers \|\| Download paper
2016	Tourism stocks in times of crises: An econometric investigation of non-macro factors. (2016). Savva, Christos ; McAleer, Michael ; Zopiatis, Anastasios ; Lambertides, Neophytos . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1618. Full description at Econpapers \|\| Download paper
2016	Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers. (2016). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:98648. Full description at Econpapers \|\| Download paper
2016	Tourism Stocks in Times of Crises: an Econometric Investigation of Non-macro Factors. (2016). Savva, Christos ; McAleer, Michael ; Lambertides, N ; Zopiatis, A. In: Econometric Institute Research Papers. RePEc:ems:eureir:99512. Full description at Econpapers \|\| Download paper
2016	How are VIX and Stock Index ETF Related?. (2016). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1602. Full description at Econpapers \|\| Download paper
2016	How are VIX and Stock Index ETF Related?. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:79913. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

Recent citations received in 2016

Year	Citing document
2016	Management Science, Economics and Finance: A Connection. (2016). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:93113. Full description at Econpapers \|\| Download paper
2016	Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:93115. Full description at Econpapers \|\| Download paper
2016	Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Y. In: Econometric Institute Research Papers. RePEc:ems:eureir:93116. Full description at Econpapers \|\| Download paper
2016	Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:93117. Full description at Econpapers \|\| Download paper
2016	An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:93118. Full description at Econpapers \|\| Download paper
2016	Making Markowitzs Portfolio Optimization Theory Practically Useful. (2016). Wong, Wing-Keung ; Bai, Zhi Dong ; Liu, Huixia . In: MPRA Paper. RePEc:pra:mprapa:74360. Full description at Econpapers \|\| Download paper
2016	Management Science, Economics and Finance: A Connection. (2016). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160040. Full description at Econpapers \|\| Download paper
2016	Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160046. Full description at Econpapers \|\| Download paper
2016	Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yanghuiting . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160047. Full description at Econpapers \|\| Download paper
2016	An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160052. Full description at Econpapers \|\| Download paper
2016	Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China. (2016). McAleer, Michael ; Chang, Chia-Lin ; Tian, Jiarong . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160053. Full description at Econpapers \|\| Download paper
2016	Management science, economics and finance: A connection. (2016). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1607. Full description at Econpapers \|\| Download paper
2016	Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China. (2016). McAleer, Michael ; Chang, Chia-Lin ; Tian, Jiarong . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1609. Full description at Econpapers \|\| Download paper
2016	Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yanghuiting . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1610. Full description at Econpapers \|\| Download paper
2016	Volatility spillovers for spot, futures, and ETF prices in energy and agriculture. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1611. Full description at Econpapers \|\| Download paper
2016	An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1612. Full description at Econpapers \|\| Download paper
2016	Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yu-Ann . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1704. Full description at Econpapers \|\| Download paper

Recent citations received in 2015

Year	Citing document
2015	Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2015). McAleer, Michael ; Li, Yong ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:78349. Full description at Econpapers \|\| Download paper
2015	Multivariate Volatility Impulse Response Analysis of GFC News Events. (2015). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, A K. In: Econometric Institute Research Papers. RePEc:ems:eureir:78711. Full description at Econpapers \|\| Download paper
2015	The Fundamental Equation in Tourism Finance. (2015). McAleer, Michael. In: Econometric Institute Research Papers. RePEc:ems:eureir:79221. Full description at Econpapers \|\| Download paper
2015	Benchmarking judgmentally adjusted forecasts. (2015). Franses, Philip Hans ; de Bruijn, L P. In: Econometric Institute Research Papers. RePEc:ems:eureir:79222. Full description at Econpapers \|\| Download paper
2015	Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance. (2015). McAleer, Michael ; Maasoumi, Esfandiar ; Jimenez-Martin, Juan ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:79539. Full description at Econpapers \|\| Download paper
2015	The Fundamental Equation in Tourism Finance. (2015). McAleer, Michael. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:8:y:2015:i:4:p:369-374:d:61108. Full description at Econpapers \|\| Download paper
2015	Bibliometric Rankings of Journals based on the Thomson Reuters Citations Database. (2015). McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150044. Full description at Econpapers \|\| Download paper
2015	A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?. (2015). McAleer, Michael ; Maasoumi, Esfandiar ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Perez-Amaral, Teodosio. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150056. Full description at Econpapers \|\| Download paper
2015	Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2015). McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150077. Full description at Econpapers \|\| Download paper
2015	Multivariate Volatility Impulse Response Analysis of GFC News Events. (2015). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150089. Full description at Econpapers \|\| Download paper
2015	The Fundamental Equation in Tourism Finance. (2015). McAleer, Michael. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150129. Full description at Econpapers \|\| Download paper
2015	Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2015). McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1508. Full description at Econpapers \|\| Download paper
2015	Multivariate Volatility Impulse Response Analysis of GFC News Events. (2015). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1510. Full description at Econpapers \|\| Download paper
2015	Bibliometric Rankings of Journals Based on the Thomson Reuters Citations Database. (2015). McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1515. Full description at Econpapers \|\| Download paper

Recent citations received in 2014

Year	Citing document
2014	On the Invertibility of EGARCH. (2014). McAleer, Michael ; Martinet, Guillaume Gaetan . In: Working Papers in Economics. RePEc:cbt:econwp:14/21. Full description at Econpapers \|\| Download paper
2014	Asymmetry and Leverage in Conditional Volatility Models. (2014). McAleer, Michael. In: Working Papers in Economics. RePEc:cbt:econwp:14/24. Full description at Econpapers \|\| Download paper
2014	The impact of China on stock returns and volatility in the Taiwan tourism industry. (2014). McAleer, Michael ; Chang, Chia-Lin ; Hsu, Hui-Kuang . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:29:y:2014:i:c:p:381-401. Full description at Econpapers \|\| Download paper
2014	Effects of wind strength and wave height on ship incident risk: regional trends and seasonality. (2014). Heij, C. ; Knapp, S.. In: Econometric Institute Research Papers. RePEc:ems:eureir:51747. Full description at Econpapers \|\| Download paper
2014	On the Invertibility of EGARCH. (2014). McAleer, Michael ; Martinet, G. G.. In: Econometric Institute Research Papers. RePEc:ems:eureir:51750. Full description at Econpapers \|\| Download paper
2014	A Multivariate Model for Multinomial Choices. (2014). Paap, Richard ; Bel, K.. In: Econometric Institute Research Papers. RePEc:ems:eureir:77168. Full description at Econpapers \|\| Download paper
2014	Asymmetry and Leverage in Conditional Volatility Models. (2014). McAleer, Michael. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:3:p:145-150:d:40585. Full description at Econpapers \|\| Download paper
2014	On the Invertibility of EGARCH. (2014). McAleer, Michael ; Martinet, Guillaume Gaetan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140096. Full description at Econpapers \|\| Download paper
2014	Asymmetry and Leverage in Conditional Volatility Models. (2014). McAleer, Michael. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140125. Full description at Econpapers \|\| Download paper
2014	On the Invertibility of EGARCH. (2014). McAleer, Michael ; Martinet, Guillaume Gaetan . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1428. Full description at Econpapers \|\| Download paper

Recent citations received in 2013

Year	Citing document
2013	On the Stationarity of Dynamic Conditional Correlation Models. (2013). Malongo, Hassan ; Fermanian, Jean-David . In: Working Papers. RePEc:crs:wpaper:2013-26. Full description at Econpapers \|\| Download paper
2013	Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc. (2013). McAleer, Michael ; Chang, Chia-Lin. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:3:p:217-235:d:30522. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	Cites
1	Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute	88
2	Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias EconÃ³micas y Empresariales, Instituto Complutense de AnÃ¡lisis EconÃ³mico	51
3	Tinbergen Institute Discussion Papers / Tinbergen Institute	48
4	Working Papers in Economics / University of Canterbury, Department of Economics and Finance	16
5	Energy Economics / Elsevier	11
6	European Journal of Operational Research / Elsevier	10
7	CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo	10
8		10
9	MPRA Paper / University Library of Munich, Germany	9
10	ERIM Report Series Research in Management / Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam	9
11	CARF F-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo	8

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.