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


0.32

Impact Factor

0.37

5-Years IF

20

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.111104 (%)0.06
19910.134315 (%)0.04
19920.11446 (%)0.05
19930.1348234 (%)0.06
19940.14210148 (%)0.06
19950.171828246102 (8.3%)0.1
19960.150.220.11295760.114620327310 (21.7%)30.10.1
19970.30.220.262481190.2326471453145 (19.2%)50.210.09
19980.260.240.2131112180.1668531477162 (2.9%)10.030.13
19990.150.30.147159160.181558104103 (3.7%)40.090.15
20000.140.360.0928187180.188781114914 (%)30.110.14
20010.050.360.0836223190.0944754159124 (9.1%)20.060.16
20020.160.370.1748271420.151536410166287 (4.6%)40.080.18
20030.190.390.1753324490.151198416190338 (6.7%)30.060.19
20040.250.410.2249373690.1810910125212479 (8.3%)60.120.18
20050.270.430.2655428750.1890102282145522 (24.4%)60.110.2
20060.250.450.2150478840.1876104262415010 (13.2%)50.10.19
20070.170.380.1954532690.1376105182554912 (15.8%)40.070.16
20080.140.390.1337569810.1485104152613518 (21.2%)20.050.17
20090.320.360.246615970.1614791292455014 (9.5%)60.130.17
20100.360.340.1974689920.1317183302424734 (19.9%)40.050.15
20110.260.40.1745734980.1379120312614516 (20.3%)70.160.19
20120.310.440.27347681150.154611937256692 (4.3%)50.150.2
20130.420.490.4328001580.28979332369412 (13.5%)20.060.2
20140.50.530.39318311540.197666332319123 (30.3%)100.320.23
20150.570.540.37388691690.199463362168030 (31.9%)140.370.24
20160.90.630.51479161780.195169621809112 (23.5%)170.360.28
20170.320.660.37319471540.16328527182677 (21.9%)90.290.3
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:


#YearTitleCited
12002Reverse logistics. (2002). de Brito, Marisa ; Dekker, Rommert ; Flapper, S. D. P., . In: Econometric Institute Research Papers. RePEc:ems:eureir:561.

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66
22014A One Line Derivation of EGARCH. (2014). McAleer, Michael ; Hafner, Christian. In: Econometric Institute Research Papers. RePEc:ems:eureir:51742.

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61
32013Ten Things You Should Know About the Dynamic Conditional Correlation Representation. (2013). McAleer, Michael ; Caporin, Massimiliano. In: Econometric Institute Research Papers. RePEc:ems:eureir:40377.

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46
42015Volatility 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.

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40
51998Does the absence of cointegration explain the typical findings in long horizon regressions?. (1998). van Dijk, Dick ; Berben, Robert-Paul ; Berben, R-P., ; van Dijk, D. J. C., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1555.

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38
62010What 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.

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35
72011How 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.

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35
82005Operations 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.

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30
92004Quasi-random simulation of discrete choice models. (2004). Train, Kenneth ; Sandor, Z.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1829.

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29
102009Identifying 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.

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27
112010Model Selection and Testing of Conditional and Stochastic Volatility Models. (2010). McAleer, Michael ; Caporin, Massimiliano. In: Econometric Institute Research Papers. RePEc:ems:eureir:20940.

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24
122010Market 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.

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22
132009Modelling 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.

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22
142009Block Structure Multivariate Stochastic Volatility Models. (2009). Caporin, Massimiliano ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:17523.

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22
152008Bayesian 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.

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20
161999On 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.

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20
172006Optimal maintenance of multi-component systems: a review. (2006). Nicolai, Robin ; Dekker, Rommert. In: Econometric Institute Research Papers. RePEc:ems:eureir:7975.

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20
182016Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:79923.

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20
192003A 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.

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20
202015On the Invertibility of EGARCH(p,q). (2015). McAleer, Michael ; Martinet, G. G.. In: Econometric Institute Research Papers. RePEc:ems:eureir:78126.

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20
212000Smooth transition autoregressive models - A survey of recent developments. (2000). van Dijk, Dick ; Teräsvirta, 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.

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18
222013Coercive 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.

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18
232015The Fundamental Equation in Tourism Finance. (2015). McAleer, Michael. In: Econometric Institute Research Papers. RePEc:ems:eureir:79221.

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17
242003Selecting 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.

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17
252007Disruption 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.

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17
262002Changes 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.

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16
272003Forecasting 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.

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15
282006Bayesian 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.

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15
291996A 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.

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14
302000Asymmetric 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.

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14
312012Robust 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.

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14
322003Multiple-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.

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14
33Testing 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.

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14
342009Daily 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:17313.

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13
352011Risk 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.

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13
362008Column 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.

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13
372008A 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.

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13
382000Daily 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.

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12
39The 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.

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12
402012Modelling 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.

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12
412016Spectrally-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.

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12
42Delay 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.

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12
431995Flexible Seasonal Long Memory and Economic Time Series. (1995). Ooms, Marius. In: Econometric Institute Research Papers. RePEc:ems:eureir:1351.

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11
442005Dynamic 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.

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11
452017The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:100416.

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11
462015Informatics, 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.

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11
472004Rank reduction of correlation matrices by majorization. (2004). Pietersz, Raoul ; Groenen, Patrick ; Groenen, P. J. F., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1202.

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11
482009Real-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.

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11
491999Combined forecasts from linear and nonlinear time series models. (1999). van Dijk, Herman ; Terui, N.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1621.

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11
502009Daily 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.

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11

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


#YearTitleCited
12014A 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
22015Volatility 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

34
32013Ten 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

29
42016Modelling 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

20
52015The Fundamental Equation in Tourism Finance. (2015). McAleer, Michael. In: Econometric Institute Research Papers. RePEc:ems:eureir:79221.

Full description at Econpapers || Download paper

17
62015On 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
72016Spectrally-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

12
82010Market 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

11
92017The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:100416.

Full description at Econpapers || Download paper

11
102015Informatics, 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.

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11
112005Operations 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

9
122002Reverse 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

7
132018The fiction of full BEKK: Pricing fossil fuels and carbon emissions. (2018). McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:105431.

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7
142010Analyzing 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.

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7
152017Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, G ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:100331.

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6
162009Daily 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:17313.

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6
172018Management Information, Decision Sciences, and Financial Economics : a connection. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin ; Wong, W.-K., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:104258.

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6
182013Coercive 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

6
192009Modelling 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.

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6
202008Column 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

5
212009Identifying 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
222009Daily 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

5
232006Optimal maintenance of multi-component systems: a review. (2006). Nicolai, Robin ; Dekker, Rommert. In: Econometric Institute Research Papers. RePEc:ems:eureir:7975.

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5
242017Stationarity and Invertibility of a Dynamic Correlation Matrix. (2017). McAleer, Michael. In: Econometric Institute Research Papers. RePEc:ems:eureir:101761.

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5
252014Econometric Analysis of Financial Derivatives. (2014). McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:78064.

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5
262008Bayesian 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

5
272007Disruption 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
282016Realized 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.

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4
292009Interdependence 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.

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4
302010Delay 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.

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4
312017Realized 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.

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4
322012An 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.

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4
332012Modelling 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.

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4
342007Comprehensive review of the maritime safety regimes.. (2007). Franses, Philip Hans ; Franses, Ph. H. B. F., ; Knapp, S.. In: Econometric Institute Research Papers. RePEc:ems:eureir:10097.

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3
352004Quasi-random simulation of discrete choice models. (2004). Train, Kenneth ; Sandor, Z.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1829.

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3
362010IV 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.

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3
372017Theory and Application of an Economic Performance Measure of Risk. (2017). Wong, Wing-Keung ; McAleer, Michael ; Guo, Xu ; Niu, C. In: Econometric Institute Research Papers. RePEc:ems:eureir:100417.

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3
382014The 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.

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3
392011Risk 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.

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3
402017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, S. In: Econometric Institute Research Papers. RePEc:ems:eureir:102576.

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3
412003Multiple-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.

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3
422017The Fiction of Full BEKK. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:99514.

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3
432011Risk 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.

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3
442004Testing 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.

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3
452008The 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.

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2
462013Are we in a bubble? A simple time-series-based diagnostic. (2013). Franses, Philip Hans ; Franses, Ph. H. B. F., . In: Econometric Institute Research Papers. RePEc:ems:eureir:39598.

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2
472002An Empirical Comparison of Default Swap Pricing Models. (2002). Vorst, Ton ; Houweling, Patrick ; Vorst, A. C. F., . In: Econometric Institute Research Papers. RePEc:ems:eureir:172.

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2
482017You’ve Got Email: a Workflow Management Extraction System. (2017). McAleer, Michael ; Prexawanprasut, T ; Chaipornkaew, P. In: Econometric Institute Research Papers. RePEc:ems:eureir:100162.

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2
492013Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility. (2013). McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., ; Chen, P-Y., ; Chen, C-C., . In: Econometric Institute Research Papers. RePEc:ems:eureir:38697.

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2
502004Valuing 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.

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2

Citing documents used to compute impact factor 27:


YearTitle
2017The Impact of Money Supply on Nigeria Economy: A Comparison of Mixed Data Sampling (MIDAS) and ARDL Approach. (2017). Oluseyi, Adeniji Sesan ; Eweke, Gamaliel O ; Olasehinde, Timilehin John. In: EuroEconomica. RePEc:dug:journl:y:2017:i:2:p:123-134.

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2017Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, Guangdong . In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:10:p:1789-:d:113954.

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2017An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors. (2017). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2017:i:1:p:2-:d:124175.

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2017Impact of Psychological Needs on Luxury Consumption. (2017). McAleer, Michael ; Bai, Shuyu ; Mao, Ning. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170063.

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2017Impact of Psychological Needs on Luxury Consumption. (2017). McAleer, Michael ; Bai, S ; Mao, N. In: Econometric Institute Research Papers. RePEc:ems:eureir:100853.

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

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2017FORECASTING OF OIL AND AGRICULTURAL COMMODITY PRICES: VARMA VERSUS ARMA. (2017). Gulerce, Mustafa ; Unal, Gazanfer. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:12:y:2017:i:03:n:s2010495217500129.

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

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2017Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, Guangdong . In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:10:p:1789-:d:113954.

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2017Connecting VIX and Stock Index ETF. (2017). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160010.

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2017Connecting VIX and Stock Index ETF. (2017). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1708.

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2017Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, Guangdong . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170051.

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2017Connecting VIX and Stock Index ETF. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:99516.

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2017Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, Guangdong . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1715.

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2017An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors. (2017). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2017:i:1:p:2-:d:124175.

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2017Volatility spillover and multivariate volatility impulse response analysis of GFC news events. (2017). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:33:p:3246-3262.

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2017A Tourism Financial Conditions Index for Tourism Finance. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:101763.

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2017Tourism stocks in times of crises: An econometric investigation of non-macro factors. (2017). Savva, Christos ; McAleer, Michael ; Lambertides, Neophytos ; Zopiatis, Anastasios . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1716.

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2017Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic Factors. (2017). Savva, Christos ; McAleer, Michael ; Lambertides, N ; Zopiatis, A. In: Econometric Institute Research Papers. RePEc:ems:eureir:100332.

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2017Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic Factors. (2017). Savva, Christos ; McAleer, Michael ; Lambertides, Neophytos ; Zopiatis, Anastasios . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170052.

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2017A Tourism Financial Conditions Index for Tourism Finance. (2017). McAleer, Michael ; Chang, Chia-Lin ; Hsu, Hui-Kuang . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170071.

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2017Disruption Management for the Real-Time Home Caregiver Scheduling and Routing Problem. (2017). Yuan, Biao ; Jiang, Zhibin. In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:12:p:2178-:d:120386.

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2017The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:100416.

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2017GARCH Modelling of Cryptocurrencies. (2017). Chu, Jeffrey ; Osterrieder, Joerg ; Nadarajah, Saralees ; Chan, Stephen. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:4:p:17-:d:113895.

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2017Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices. (2017). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yu-Ann. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160014.

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2017The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1717.

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2017The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170056.

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Recent citations (cites in year: CiY)


Recent citations received in 2017

YearCiting document
2017A Generalized Email Classification System for Workflow Analysis. (2017). McAleer, Michael ; Chang, Chia-Lin ; Prexawanprasut, T ; Chaipornkaew, P. In: Econometric Institute Research Papers. RePEc:ems:eureir:101762.

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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, S. In: Econometric Institute Research Papers. RePEc:ems:eureir:102576.

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2017The Effects of Real Exchange Rates and Income on International Tourism Demand for the USA from Some European Union Countries. (2017). Ongan, Serdar ; Ozdemir, Dilek ; Iik, Cem. In: Economies. RePEc:gam:jecomi:v:5:y:2017:i:4:p:51-:d:123300.

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2017An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors. (2017). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2017:i:1:p:2-:d:124175.

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2017GARCH Modelling of Cryptocurrencies. (2017). Chu, Jeffrey ; Osterrieder, Joerg ; Nadarajah, Saralees ; Chan, Stephen. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:4:p:17-:d:113895.

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2017Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, Guangdong . In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:10:p:1789-:d:113954.

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2017A Generalized Email Classification System for Workflow Analysis. (2017). McAleer, Michael ; Chang, Chia-Lin ; Prexawanprasut, Takorn ; Chaipornkaew, Piyanuch . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170066.

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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170105.

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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1726.

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Recent citations received in 2016

YearCiting document
2016Management Science, Economics and Finance: A Connection. (2016). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:93113.

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2016Volatility 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.

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2016Testing 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.

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2016Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China. (2016). McAleer, Michael ; Chang, Chia-Lin ; Tian, J. In: Econometric Institute Research Papers. RePEc:ems:eureir:93117.

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2016An 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.

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2016Making Markowitzs Portfolio Optimization Theory Practically Useful. (2016). Wong, Wing-Keung ; Bai, Zhi Dong ; Liu, Huixia . In: MPRA Paper. RePEc:pra:mprapa:74360.

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2016Management Science, Economics and Finance: A Connection. (2016). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160040.

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2016Volatility 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.

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2016Testing 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.

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2016An 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.

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2016Modelling 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.

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2016Management 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.

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2016Modelling 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.

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2016Testing 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.

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2016Volatility 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.

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2016An 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.

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2016Modelling 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.

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Recent citations received in 2015

YearCiting document
2015Volatility 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.

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2015Multivariate 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.

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2015The Fundamental Equation in Tourism Finance. (2015). McAleer, Michael. In: Econometric Institute Research Papers. RePEc:ems:eureir:79221.

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2015Benchmarking judgmentally adjusted forecasts. (2015). Franses, Philip Hans ; de Bruijn, L P. In: Econometric Institute Research Papers. RePEc:ems:eureir:79222.

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2015Choosing 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.

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2015The 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.

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2015Bibliometric 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.

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2015A 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.

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2015Volatility 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.

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2015Multivariate 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.

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2015The Fundamental Equation in Tourism Finance. (2015). McAleer, Michael. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150129.

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2015Volatility 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.

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2015Multivariate 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.

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2015Bibliometric 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.

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Recent citations received in 2014

YearCiting document
2014On the Invertibility of EGARCH. (2014). McAleer, Michael ; Martinet, Guillaume Gaetan . In: Working Papers in Economics. RePEc:cbt:econwp:14/21.

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2014Asymmetry and Leverage in Conditional Volatility Models. (2014). McAleer, Michael. In: Working Papers in Economics. RePEc:cbt:econwp:14/24.

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2014The 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.

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2014Effects 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.

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2014On the Invertibility of EGARCH. (2014). McAleer, Michael ; Martinet, G. G.. In: Econometric Institute Research Papers. RePEc:ems:eureir:51750.

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2014A Multivariate Model for Multinomial Choices. (2014). Paap, Richard ; Bel, K.. In: Econometric Institute Research Papers. RePEc:ems:eureir:77168.

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2014Asymmetry 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.

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2014On the Invertibility of EGARCH. (2014). McAleer, Michael ; Martinet, Guillaume Gaetan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140096.

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2014Asymmetry and Leverage in Conditional Volatility Models. (2014). McAleer, Michael. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140125.

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2014On the Invertibility of EGARCH. (2014). McAleer, Michael ; Martinet, Guillaume Gaetan . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1428.

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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.

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 2th 2018. Contact: CitEc Team