Is this page useful for you? Then, help us to keep the service working. Please have a look to our donations page ... Thanks for your help!!

Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico


1.14

Impact Factor

0.68

5-Years IF

13

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.11000 (%)0.06
19910.1000 (%)0.04
19920.11000 (%)0.05
19930.134410.251001 (100%)10.250.06
19940.13444 (%)0.06
19950.17410.2544 (%)0.1
19960.22404 (%)0.09
19970.22404 (%)0.09
19980.24410.2504 (%)0.13
19990.3400 (%)0.15
20000.36400 (%)0.14
20010.36111510.07300 (%)0.16
20020.090.370.09284360.14131111114 (30.8%)30.110.18
20030.030.390.03115420.0410391391 (%)0.19
20040.050.410.04136730.043392502 (%)10.080.18
20050.040.430.03138020.0342416322 (50%)0.2
20060.454842676 (%)0.19
20070.38841769 (%)0.17
20080.390.028440.054411 (%)0.17
20090.360.0720104400.38100030212 (12%)231.150.17
20100.80.340.434108270.2516201637164 (25%)0.15
20110.710.40.6139147290.21162417281720 (17.2%)50.130.19
20120.190.440.2230177190.1172438631415 (20.8%)20.070.2
20130.510.490.5439216660.311146935935018 (15.8%)50.130.2
20140.640.520.4732248970.3910669441326225 (23.6%)240.750.23
20150.650.530.62202681200.455671461448915 (26.8%)50.250.24
20160.920.60.66232911410.4854524816010512 (22.2%)170.740.27
20170.420.640.4221312910.29314318144609 (29%)80.380.28
20181.140.670.68283401330.39134450135923 (23.1%)130.460.3
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
12014A One Line Derivation of EGARCH. (2014). McAleer, Michael ; Hafner, Christian. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1415.

Full description at Econpapers || Download paper

66
22013Ten Things You Should Know About the Dynamic Conditional Correlation Representation. (2013). McAleer, Michael ; Caporin, Massimiliano. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1321.

Full description at Econpapers || Download paper

47
32015Volatility 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

43
42011Risk Management of Precious Metals. (2011). McAleer, Michael ; Hammoudeh, Shawkat ; Malik, Farooq . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1104.

Full description at Econpapers || Download paper

36
5Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models. (2009). McAleer, Michael ; Caporin, Massimiliano. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:0904.

Full description at Econpapers || Download paper

34
62011Great Expectatrics: Great Papers, Great Journals, Great Econometrics. (2011). Oxley, Les ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1114.

Full description at Econpapers || Download paper

22
72013Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence. (2013). Oxley, Les ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1310.

Full description at Econpapers || Download paper

19
82009A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:0907.

Full description at Econpapers || Download paper

18
92009The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges. (2009). McAleer, Michael. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:0910.

Full description at Econpapers || Download paper

18
102014Quality Weighted Citations Versus Total Citations in the Sciences and Social Sciences. (2014). McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1406.

Full description at Econpapers || Download paper

15
11GFC-Robust Risk Management Strategies under the Basel Accord. (2010). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Juan Angel Jimenez Martin, ; JimenezMartin, Juanangel . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1001.

Full description at Econpapers || Download paper

14
122016Modelling 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

14
132011Risk 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. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1102.

Full description at Econpapers || Download paper

14
142016Modelling 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

13
152009Modelling International Tourist Arrivals and Volatility: An Application to Taiwan. (2009). Slottje, Daniel ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:0906.

Full description at Econpapers || Download paper

13
162012Ranking Journal Quality by Harmonic Mean of Ranks: An Application to ISI Statistics & Probability. (2012). McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1212.

Full description at Econpapers || Download paper

13
172017The 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.

Full description at Econpapers || Download paper

12
182009What Happened to Risk Management During the 2008-09 Financial Crisis?. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Juan Angel Jimenez Martin, ; JimenezMartin, Juanangel . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:0919.

Full description at Econpapers || Download paper

12
192012Costs for conventional and renewable fuels and electricity in the worldwide transport sector: a mean-variance portfolio approach. (2012). Puch, Luis ; Marrero, Gustavo ; Guerrero-Lemus, Ricardo . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1218.

Full description at Econpapers || Download paper

12
202012Asymmetric Adjustments in the Ethanol and Grains Markets. (2012). McAleer, Michael ; Hammoudeh, Shawkat ; Chang, Chia-Lin ; Chen, Li-Hsueh. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1211.

Full description at Econpapers || Download paper

11
212013What Do Experts Know About Forecasting Journal Quality? A Comparison with ISI Research Impact in Finance. (2013). McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1309.

Full description at Econpapers || Download paper

11
222016How 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

11
232009Modelling Sustainable International Tourism Demand to the Brazilian Amazon. (2009). McAleer, Michael ; Divino, Jose Angelo. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:0913.

Full description at Econpapers || Download paper

11
242016Management 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

9
252017Volatility 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.

Full description at Econpapers || Download paper

9
262011Risk 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. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1132.

Full description at Econpapers || Download paper

9
272018The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions. (2018). McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1808.

Full description at Econpapers || Download paper

8
282009Modelling the Growth and Volatility in Daily International Mass Tourism to Peru. (2009). McAleer, Michael ; Divino, Jose Angelo. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:0915.

Full description at Econpapers || Download paper

8
292003Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA). (2003). perez-amaral, teodosio ; Gallo, Giampiero ; White, Halbert . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:0309.

Full description at Econpapers || Download paper

8
302012Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. (2012). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1210.

Full description at Econpapers || Download paper

8
312016Realized 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

8
322013Financial Dependence Analysis: Applications of Vine Copulae. (2013). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K. ; Mohammad. A. Ashraf, . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1305.

Full description at Econpapers || Download paper

8
332013Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism. (2013). McAleer, Michael ; Hsu, Hui-Kuang ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1301.

Full description at Econpapers || Download paper

7
342013Modelling and Simulation: An Overview. (2013). Oxley, Les ; McAleer, Michael ; Chan, Felix. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1316.

Full description at Econpapers || Download paper

7
352014Ranking Economics and Econometrics ISI Journals by Quality Weighted Citations. (2014). McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1403.

Full description at Econpapers || Download paper

7
362011Currency Hedging Strategies Using Dynamic Multivariate GARCH. (2011). Jimenez-Martin, Juan ; Chang, Chia-Lin ; Gonzalez-Serrano, Lydia . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1133.

Full description at Econpapers || Download paper

7
372012Currency Hedging Strategies Using Dynamic Multivariate GARCH. (2012). Jimenez-Martin, Juan ; Chang, Chia-Lin ; Gonzalez-Serrano, Lydia . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1207.

Full description at Econpapers || Download paper

7
382009Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Juan Angel Jimenez Martin, ; JimenezMartin, Juanangel . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:0918.

Full description at Econpapers || Download paper

7
392012Robust Ranking of Journal Quality: An Application to Economics. (2012). McAleer, Michael ; Maasoumi, Esfandiar ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1205.

Full description at Econpapers || Download paper

6
402014Deliberation, Leadership and Information Aggregation. (2014). Rodriguez-Alvarez, Carmelo ; Rivas, Javier. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1404.

Full description at Econpapers || Download paper

6
412012Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments. (2012). McAleer, Michael ; Franses, Philip Hans ; Legerstee, Rianne . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1214.

Full description at Econpapers || Download paper

6
422015Daily Market News Sentiment and Stock Prices. (2015). McAleer, Michael ; Allen, David ; Singh, Abhay K. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1511.

Full description at Econpapers || Download paper

6
432013Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc. (2013). McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1334.

Full description at Econpapers || Download paper

6
442013Analyzing Fixed-event Forecast Revisions. (2013). McAleer, Michael ; Franses, Philip Hans ; Chang, Chia-Lin ; de Bruijn, Bert. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1314.

Full description at Econpapers || Download paper

6
452011Volatility Spillovers from the Chinese Stock Market to Economic Neighbours. (2011). McAleer, Michael ; Allen, David ; Amram, Ron . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1138.

Full description at Econpapers || Download paper

5
462011Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX. (2011). McAleer, Michael ; Ishida, Isao ; Oya, Kosuke. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1117.

Full description at Econpapers || Download paper

5
472011Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan. (2011). McAleer, Michael ; Lim, Christine ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1131.

Full description at Econpapers || Download paper

4
482011Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation. (2011). McAleer, Michael ; Caporin, Massimiliano. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1120.

Full description at Econpapers || Download paper

4
492016Are 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

4
502011International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1101.

Full description at Econpapers || Download paper

4

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: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1415.

Full description at Econpapers || Download paper

28
22013Ten Things You Should Know About the Dynamic Conditional Correlation Representation. (2013). McAleer, Michael ; Caporin, Massimiliano. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1321.

Full description at Econpapers || Download paper

19
32015Volatility 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

17
42016Modelling 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

13
52017The 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.

Full description at Econpapers || Download paper

12
62017Volatility 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.

Full description at Econpapers || Download paper

9
72016Management 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

9
82018The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions. (2018). McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1808.

Full description at Econpapers || Download paper

8
92011Great Expectatrics: Great Papers, Great Journals, Great Econometrics. (2011). Oxley, Les ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1114.

Full description at Econpapers || Download paper

7
102016Realized 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

5
112011Risk Management of Precious Metals. (2011). McAleer, Michael ; Hammoudeh, Shawkat ; Malik, Farooq . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1104.

Full description at Econpapers || Download paper

5
122009Modelling International Tourist Arrivals and Volatility: An Application to Taiwan. (2009). Slottje, Daniel ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:0906.

Full description at Econpapers || Download paper

4
132012Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. (2012). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1210.

Full description at Econpapers || Download paper

4
142013Financial Dependence Analysis: Applications of Vine Copulae. (2013). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K. ; Mohammad. A. Ashraf, . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1305.

Full description at Econpapers || Download paper

4
152018Big data, computational science, economics, finance, marketing, management, and psychology: connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1805.

Full description at Econpapers || Download paper

3
162017The Fiction of Full BEKK. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1706.

Full description at Econpapers || Download paper

3
172014Asymmetric Realized Volatility Risk. (2014). Scharth, Marcel ; McAleer, Michael ; Allen, David. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1416.

Full description at Econpapers || Download paper

3
182015Bibliometric 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

3
192017Theory and Application of an Economic Performance Measure of Risk. (2017). Wong, Wing-Keung ; McAleer, Michael ; Guo, Xu ; Niu, Cuizhen. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1718.

Full description at Econpapers || Download paper

3
202016Are 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

3
212011Risk 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. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1102.

Full description at Econpapers || Download paper

3
222011Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation. (2011). McAleer, Michael ; Caporin, Massimiliano. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1120.

Full description at Econpapers || Download paper

3
232017You’ve Got Email: A Workflow Management Extraction System. (2017). McAleer, Michael ; Prexawanprasut, Takorn ; Chaipornkaew, Piyanuch . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1714.

Full description at Econpapers || Download paper

3
242013Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence. (2013). Oxley, Les ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1310.

Full description at Econpapers || Download paper

3
252016Spectrally-corrected estimation for high-dimensional markowitz mean-variance optimization. (2016). Wong, Wing-Keung ; McAleer, Michael ; Li, Hua ; Bai, Zhidong . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1705.

Full description at Econpapers || Download paper

2
262016How 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

2
272011Risk 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. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1132.

Full description at Econpapers || Download paper

2
282011Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan. (2011). McAleer, Michael ; Lim, Christine ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1131.

Full description at Econpapers || Download paper

2
292012Asymmetric Adjustments in the Ethanol and Grains Markets. (2012). McAleer, Michael ; Hammoudeh, Shawkat ; Chang, Chia-Lin ; Chen, Li-Hsueh. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1211.

Full description at Econpapers || Download paper

2
302017Realized 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.

Full description at Econpapers || Download paper

2
312016An 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

2
322016Modelling 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

2
332014A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process. (2014). McAleer, Michael ; Hafner, Christian. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1429.

Full description at Econpapers || Download paper

2
342014Deliberation, Leadership and Information Aggregation. (2014). Rodriguez-Alvarez, Carmelo ; Rivas, Javier. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1404.

Full description at Econpapers || Download paper

2
352011Currency Hedging Strategies Using Dynamic Multivariate GARCH. (2011). Jimenez-Martin, Juan ; Chang, Chia-Lin ; Gonzalez-Serrano, Lydia . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1133.

Full description at Econpapers || Download paper

2
362013Analyzing Fixed-event Forecast Revisions. (2013). McAleer, Michael ; Franses, Philip Hans ; Chang, Chia-Lin ; de Bruijn, Bert. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1314.

Full description at Econpapers || Download paper

2

Citing documents used to compute impact factor 50:


YearTitle
2018Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180024.

Full description at Econpapers || Download paper

2018Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin ; Wong, W.-K., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:105878.

Full description at Econpapers || Download paper

2018Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1809.

Full description at Econpapers || Download paper

2018Risk Spillovers in Returns for Chinese and International Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, Shu-Han. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180031.

Full description at Econpapers || Download paper

2018Is stock market volatility asymmetric? A multi-period analysis for five countries. (2018). Bentes, Sonia R. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:499:y:2018:i:c:p:258-265.

Full description at Econpapers || Download paper

2018Risk Spillovers in Returns for Chinese and International Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, Shu-Han. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1811.

Full description at Econpapers || Download paper

2018Risk Spillovers in Returns for Chinese and International Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, S.-H., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:105884.

Full description at Econpapers || Download paper

2018Asymmetric Risk Impacts of Chinese Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, Shu-Han. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180047.

Full description at Econpapers || Download paper

2018Asymmetric Risk Impacts of Chinese Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, S.-H., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:107294.

Full description at Econpapers || Download paper

2018Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets. (2018). Toyoshima, Yuki. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:21-:d:143280.

Full description at Econpapers || Download paper

2018Asymmetric Risk Impacts of Chinese Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, Shu-Han. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1813.

Full description at Econpapers || Download paper

2018Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2018). McAleer, Michael ; Chang, Chia-Lin. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:6:p:1595-:d:153161.

Full description at Econpapers || Download paper

2018Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market. (2018). Zhang, Zhaoyong ; Djajadikerta, Hadrian Geri. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:10:p:3361-:d:170985.

Full description at Econpapers || Download paper

2018Pricing carbon emissions in China. (2018). McAleer, Michael ; Chang, Chia-Lin ; Mai, Te-Ke. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1803.

Full description at Econpapers || Download paper

2018Establishing National Carbon Emission Prices for China. (2018). McAleer, Michael ; Chang, Chia-Lin ; Mai, Te-Ke. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180028.

Full description at Econpapers || Download paper

2018Establishing National Carbon Emission Prices for China. (2018). McAleer, Michael ; Chang, Chia-Lin ; Mai, Te-Ke. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1810.

Full description at Econpapers || Download paper

2018Establishing National Carbon Emission Prices for China. (2018). McAleer, Michael ; Chang, Chia-Lin ; Mai, T K ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:105880.

Full description at Econpapers || Download paper

2018The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions. (2018). McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1808.

Full description at Econpapers || Download paper

2018Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1826.

Full description at Econpapers || Download paper

2018Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, T-L., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:111552.

Full description at Econpapers || Download paper

2018Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:58-:d:172906.

Full description at Econpapers || Download paper

2018Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices. (2018). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yu-Ann. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:81:y:2018:i:p1:p:1002-1018.

Full description at Econpapers || Download paper

2018Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management. (2018). McAleer, Michael ; Allen, David. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:7:p:1627-:d:153801.

Full description at Econpapers || Download paper

2018Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin ; Wong, W.-K., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:104260.

Full description at Econpapers || Download paper

2018Big data, computational science, economics, finance, marketing, management, and psychology: connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1805.

Full description at Econpapers || Download paper

2018Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180024.

Full description at Econpapers || Download paper

2018Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:1:p:15-:d:137130.

Full description at Econpapers || Download paper

2018Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin ; Wong, W.-K., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:105878.

Full description at Econpapers || Download paper

2018Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180011.

Full description at Econpapers || Download paper

2018Why Are Warrant Markets Sustained in Taiwan but Not in China?. (2018). Wong, Wing-Keung ; McAleer, Michael ; Tsai, Feng-Tse ; Lean, Hooi Hooi. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:10:p:3748-:d:176380.

Full description at Econpapers || Download paper

2018Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1809.

Full description at Econpapers || Download paper

2018Dynamic Equicorrelation between S&P500 Index and S&P GSCI. (2018). Derbali, Abdelkader ; Chebbi, Tarek. In: Working Papers. RePEc:hal:wpaper:hal-01695995.

Full description at Econpapers || Download paper

2018The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk. (2018). GUPTA, RANGAN ; Caporin, Massimiliano ; Bonaccolto, G. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:446-469.

Full description at Econpapers || Download paper

2018Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances. (2018). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yanghuiting . In: Energy. RePEc:eee:energy:v:151:y:2018:i:c:p:984-997.

Full description at Econpapers || Download paper

2018Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:58-:d:172906.

Full description at Econpapers || Download paper

2018Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs. (2018). McAleer, Michael ; Chang, Chia-Lin ; Wang, Y-A., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:107292.

Full description at Econpapers || Download paper

2018Bayesian analysis of realized matrix-exponential GARCH models. (2018). McAleer, Michael ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1804.

Full description at Econpapers || Download paper

2018Bayesian Analysis of Realized Matrix-Exponential GARCH Models. (2018). McAleer, Michael ; Asai, Manabu. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180005.

Full description at Econpapers || Download paper

2018Bayesian Analysis of Realized Matrix-Exponential GARCH Models. (2018). McAleer, Michael ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:104259.

Full description at Econpapers || Download paper

2018To trust or not to trust? A comparative study of conventional and clean energy exchange-traded funds. (2018). Alexopoulos, Thomas A. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:97-107.

Full description at Econpapers || Download paper

2018Management 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.

Full description at Econpapers || Download paper

2018An Event Study of Chinese Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, Shu-Han. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180003.

Full description at Econpapers || Download paper

2018An Event Study of Chinese Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, S.-H., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:104254.

Full description at Econpapers || Download paper

2018An event study of chinese tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, Shu-Han. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1801.

Full description at Econpapers || Download paper

2018Risk Spillovers in Returns for Chinese and International Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, S.-H., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:105884.

Full description at Econpapers || Download paper

2018Risk Spillovers in Returns for Chinese and International Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, Shu-Han. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1811.

Full description at Econpapers || Download paper

2018Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs. (2018). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yu-Ann. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180052.

Full description at Econpapers || Download paper

2018Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, T-L., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:111552.

Full description at Econpapers || Download paper

2018The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions. (2018). McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1808.

Full description at Econpapers || Download paper

2018Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs. (2018). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yu-Ann. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1815.

Full description at Econpapers || Download paper

Recent citations (cites in year: CiY)


Recent citations received in 2018

YearCiting document
2018Modeling extreme risks in commodities and commodity currencies. (2018). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:51:y:2018:i:c:p:108-120.

Full description at Econpapers || Download paper

2018Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin ; Wong, W.-K., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:105878.

Full description at Econpapers || Download paper

2018Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, T-L., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:111552.

Full description at Econpapers || Download paper

2018Asymptotic Theory for Rotated Multivariate GARCH Models. (2018). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu ; Pauwels, L ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:111553.

Full description at Econpapers || Download paper

2018Moving Average Market Timing in European Energy Markets: Production Versus Emissions. (2018). McAleer, Michael ; Chang, Chia-Lin ; Laurila, Hannu ; Ilomaki, Jukka. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:12:p:3281-:d:185360.

Full description at Econpapers || Download paper

2018Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2018). McAleer, Michael ; Chang, Chia-Lin. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:6:p:1595-:d:153161.

Full description at Econpapers || Download paper

2018Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:58-:d:172906.

Full description at Econpapers || Download paper

2018RMB Exchange Rates and Volatility Spillover across Financial Markets in China and Japan. (2018). Zhang, Zhaoyong ; Qin, Fengming. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:120-:d:175263.

Full description at Econpapers || Download paper

2018President Trump Tweets Supreme Leader Kim Jong-Un on Nuclear Weapons: A Comparison with Climate Change †. (2018). McAleer, Michael ; Allen, David. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:7:p:2310-:d:156124.

Full description at Econpapers || Download paper

2018Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180024.

Full description at Econpapers || Download paper

2018Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1809.

Full description at Econpapers || Download paper

2018Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1826.

Full description at Econpapers || Download paper

2018Asymptotic Theory for Rotated Multivariate GARCH Models. (2018). McAleer, Michael ; Chang, Chia-Lin ; Pauwels, Laurent ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1827.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017A Generalized Email Classification System for Workflow Analysis. (2017). McAleer, Michael ; Chang, Chia-Lin ; Prexawanprasut, Takorn ; Chaipornkaew, Piyanuch . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1721.

Full description at Econpapers || Download paper

2017Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management. (2017). McAleer, Michael ; Allen, David. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1722.

Full description at Econpapers || Download paper

Recent citations received in 2016

YearCiting document
2016On oil-US exchange rate volatility relationships: An intraday analysis. (2016). JAWADI, Fredj ; Louhichi, Wael ; ben Ameur, Hachmi ; Cheffou, Abdoulkarim Idi. In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:329-334.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2016Realized 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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2016Realized 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

2016Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity. (2016). Omori, Yasuhiro ; Kurose, Yuta. In: CIRJE F-Series. RePEc:tky:fseres:2016cf1024.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2016Realized 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

Recent citations received in 2015

YearCiting document
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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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 January, 3th 2019. Contact: CitEc Team