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Citation Profile [Updated: 2020-01-06 15:15:11]
5 Years H
14
Impact Factor
0.33
5 Years IF
0.21
Data available in this report

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

Main indicators
Raw Data

 

IF AIF CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1990 0 0.14 0 0 0 0 0 0 0 0 0 0 0.07
1991 0 0.11 0 0 0 0 0 0 0 0 0 0 0.06
1992 0 0.1 0 0 0 0 0 0 0 0 0 0 0.07
1993 0 0.13 0.1 0 10 10 0 1 1 0 0 1 100 1 0.1 0.07
1994 0 0.13 0 0 9 19 0 1 10 10 0 0 0.06
1995 0 0.18 0.05 0 0 19 0 2 19 19 0 0 0.09
1996 0 0.22 0 0 0 19 0 2 9 19 0 0 0.11
1997 0 0.23 0 0 0 19 0 2 0 19 0 0 0.12
1998 0 0.24 0.05 0 0 19 0 3 0 19 0 0 0.15
1999 0 0.32 0 0 0 19 0 3 0 9 0 0 0.21
2000 0 0.47 0 0 0 19 0 3 0 0 0 0 0.2
2001 0 0.39 0.03 0 11 30 3 4 0 0 0 0 0.22
2002 0.09 0.41 0.1 0.09 28 58 12 6 10 11 1 11 1 5 83.3 5 0.18 0.23
2003 0.03 0.41 0.03 0.03 11 69 10 1 12 39 1 39 1 0 0 0.24
2004 0.05 0.47 0.04 0.04 13 82 2 3 15 39 2 50 2 1 33.3 1 0.08 0.27
2005 0.04 0.49 0.02 0.03 13 95 3 2 17 24 1 63 2 0 0 0.29
2006 0 0.48 0 0 4 99 0 17 26 76 0 0 0.26
2007 0 0.4 0 0 0 99 0 17 17 69 0 0 0.22
2008 0 0.45 0.04 0.02 0 99 0 3 21 4 41 1 0 0 0.23
2009 0 0.43 0.34 0.07 19 118 101 39 61 0 30 2 5 12.8 36 1.89 0.23
2010 0.84 0.37 0.23 0.44 4 122 15 27 89 19 16 36 16 1 3.7 0 0.19
2011 0.7 0.47 0.18 0.59 39 161 134 28 118 23 16 27 16 16 57.1 6 0.15 0.25
2012 0.19 0.5 0.1 0.23 30 191 77 19 137 43 8 62 14 9 47.4 2 0.07 0.26
2013 0.46 0.52 0.29 0.45 39 230 120 66 203 69 32 92 41 14 21.2 5 0.13 0.24
2014 0.58 0.54 0.37 0.41 32 262 120 95 300 69 40 131 54 21 22.1 27 0.84 0.28
2015 0.54 0.54 0.43 0.47 20 282 56 122 422 71 38 144 67 18 14.8 5 0.25 0.27
2016 0.75 0.58 0.46 0.51 23 305 58 141 563 52 39 160 82 27 19.1 26 1.13 0.28
2017 0.35 0.6 0.28 0.33 21 326 42 91 654 43 15 144 48 9 9.9 8 0.38 0.29
2018 1.09 0.62 0.44 0.51 28 354 21 154 808 44 48 135 69 32 20.8 17 0.61 0.32
2019 0.33 0.19 0.21 35 389 8 74 882 49 16 124 26 2 2.7 14 0.4
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until 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: selft citations in y to articles published in y-1 plus y-2
%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.

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72
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.

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52
32011Risk Management of Precious Metals. (2011). McAleer, Michael ; Hammoudeh, Shawkat ; Malik, Farooq . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1104.

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49
42015Volatility 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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44
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.

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35
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.

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24
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.

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19
82009The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges. (2009). McAleer, Michael. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:0910.

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19
92009A 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.

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18
102016Modelling 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.

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16
112014Quality 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.

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15
122017The 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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15
132017Volatility 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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15
142011Risk 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.

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15
15GFC-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.

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14
162016Modelling 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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14
172012Asymmetric 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.

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13
182009Modelling 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.

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13
192012Ranking 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.

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13
202009What 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.

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12
212012Costs 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.

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12
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.

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11
232013What 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.

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11
242009Modelling Sustainable International Tourism Demand to the Brazilian Amazon. (2009). McAleer, Michael ; Divino, Jose Angelo. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:0913.

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11
2510
262016Management 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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10
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.

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10
282018The 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.

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10
292012Modelling 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.

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9
302003Flexible 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.

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9
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.

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9
322009Modelling 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.

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8
332013Financial 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.

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8
342011Currency 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.

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8
352014Deliberation, Leadership and Information Aggregation. (2014). Rodriguez-Alvarez, Carmelo ; Rivas, Javier. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1404.

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8
362013Is 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.

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7
372009Has 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.

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7
382013Modelling and Simulation: An Overview. (2013). Oxley, Les ; McAleer, Michael ; Chan, Felix. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1316.

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7
392012Currency 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.

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7
402014Ranking 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.

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7
412012Robust 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.

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6
422012Evaluating 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.

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6
432019What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model. (2019). McAleer, Michael. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1917.

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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.

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6
452015Daily Market News Sentiment and Stock Prices. (2015). McAleer, Michael ; Allen, David ; Singh, Abhay K. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1511.

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6
462013Ranking 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.

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6
472011Estimating 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.

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5
482011Modelling 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.

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5
492014Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series. (2014). McAleer, Michael ; Allen, David ; Singh, Abhay K.. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1402.

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5
502016Are 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.

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5
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

19
22011Risk 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

16
32017Volatility 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

15
42013Ten 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

14
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

13
62016Modelling 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

10
72018The 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

10
82015Volatility 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

9
92016Management 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
102011Great 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

6
112019What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model. (2019). McAleer, Michael. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1917.

Full description at Econpapers || Download paper

6
122016Realized 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
132017Theory 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.

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4
142019What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model. (2019). McAleer, Michael. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1918.

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4
152016Modelling 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.

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4
162014Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series. (2014). McAleer, Michael ; Allen, David ; Singh, Abhay K.. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1402.

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4
172014Asymmetric Realized Volatility Risk. (2014). Scharth, Marcel ; McAleer, Michael ; Allen, David. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1416.

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3
182017The Fiction of Full BEKK. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1706.

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3
192012Asymmetric 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.

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3
202018Big 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.

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3
212016Are 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
222011Currency 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.

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3
232013Coercive 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
242011Modelling 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.

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3
252015Bibliometric 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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3
262012Modelling 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.

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3
272009Modelling 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

3
282014Deliberation, Leadership and Information Aggregation. (2014). Rodriguez-Alvarez, Carmelo ; Rivas, Javier. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1404.

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2
292018Fake news and indifference to truth: Dissecting tweets and State of the Union Addresses by Presidents Obama and Trump. (2018). McAleer, Michael ; Allen, David ; Reid, David Mchardy ; David Mc Hardy Reid, . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1807.

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2
302011Risk 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.

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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.

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2
322018Fake News and Indifference to Scientific Fact: President Trumps Confused Tweets on Global Warming, Climate Change and Weather. (2018). McAleer, Michael ; Allen, David ; Reid, David Mchardy ; David Mc Hardy Reid, . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1817.

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2
332012Estimating Implied Recovery Rates from the Term Structure of CDS Spreads. (2012). McAleer, Michael ; Jaskowski, Marcin . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1228.

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2
342013Analyzing 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.

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2
352019The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures. (2019). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1912.

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2
362016Spectrally-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.

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2
372018Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates. (2018). McAleer, Michael ; Allen, David ; Peiris, Shelton ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1822.

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2
382014Learning and coordinating in a multilayer network. (2014). Lugo, Haydée ; san Miguel, Maxi . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1430.

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2
392018Long Run Returns Predictability and Volatility with Moving Averages. (2018). McAleer, Michael ; Chang, Chia-Lin ; Laurila, Hannu ; Ilomaki, Jukka. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1825.

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2
Citing documents used to compute impact factor: 16
YearTitle
2019Data cloning estimation for asymmetric stochastic volatility models. (2019). Veiga, Helena ; de Zea, Patricia ; Marin, Juan Miguel ; Lopes, Maria Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28214.

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2019Modelling UK House Prices with Structural Breaks and Conditional Variance Analysis. (2019). Begiazi, Kyriaki ; Katsiampa, Paraskevi. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:58:y:2019:i:2:d:10.1007_s11146-018-9652-5.

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2019Repurposing government expenditure for enhancing Indigenous well-being in Australia: A scenario analysis for a new paradigm. (2019). Russell-Smith, Jeremy ; Gerritsen, Rolf ; Sangha, Kamaljit K. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:63:y:2019:i:c:p:75-91.

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2019The fiction of full BEKK: Pricing fossil fuels and carbon emissions. (2019). McAleer, Michael ; Chang, Chia-Lin. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:11-19.

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2019Establishing national carbon emission prices for China. (2019). McAleer, Michael ; Chang, Chia-Lin ; Mai, Te-Ke. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:106:y:2019:i:c:p:1-16.

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2019Modeling and Testing Volatility Spillovers in Oil and Financial Markets for the USA, the UK, and China. (2019). McAleer, Michael ; Chang, Chia-Lin ; Tian, Jiarong . In: Energies. RePEc:gam:jeners:v:12:y:2019:i:8:p:1475-:d:224091.

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2019Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective. (2019). Athaley, Chaitaly ; Rastogi, Shailesh . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:98-:d:238426.

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2019OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration. (2019). Yoon, Seong-Min ; Lau, Chi Keung ; Gupta, Rangan. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:23:y:2019:i:4:p:1-23.

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2019Higher Moment Constraints for Predictive Density Combinations. (2019). Vasnev, Andrey ; Pauwels, Laurent ; Radchenko, Peter. In: Working Papers. RePEc:syb:wpbsba:2123/20175.

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2019Asymptotic Theory for Rotated Multivariate GARCH Models. (2019). Pauwels, Laurent ; McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Working Papers. RePEc:syb:wpbsba:2123/20178.

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2019Determining Distribution for the Quotients of Dependent and Independent Random Variables by Using Copulas. (2019). Wong, Wing-Keung ; Ly, Sal ; Pho, Kim-Hung. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:42-:d:213207.

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2019Fake News and Propaganda: Trump’s Democratic America and Hitler’s National Socialist (Nazi) Germany. (2019). McAleer, Michael ; Allen, David E. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:19:p:5181-:d:269414.

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2019Volatility co-movement between Bitcoin and Ether. (2019). Katsiampa, Paraskevi. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:221-227.

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2019Pre-Feasibility Study of Sarawak-West Kalimantan Cross-Border Value Chains. (2019). Lord, Montague ; Chang, Susan. In: MPRA Paper. RePEc:pra:mprapa:94732.

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2019Inference for likelihood-based estimators of generalized long-memory processes. (2019). Smallwood, Aaron ; Beaumont, Paul . In: MPRA Paper. RePEc:pra:mprapa:96313.

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2019Conditional Sum of Squares Estimation of Multiple Frequency Long Memory Models. (2019). Smallwood, Aaron ; Beaumont, Paul . In: MPRA Paper. RePEc:pra:mprapa:96314.

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Recent citations
Recent citations received in 2019

YearCiting document
2019The effect of global crises on stock market correlations: Evidence from scalar regressions via functional data analysis. (2019). GUPTA, RANGAN ; Demirer, Riza ; Mangisa, Siphumlile ; Das, Sonali. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:50:y:2019:i:c:p:132-147.

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2019What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model. (2019). McAleer, Michael. In: Econometric Institute Research Papers. RePEc:ems:eureir:115611.

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2019Modeling and Testing Volatility Spillovers in Oil and Financial Markets for the USA, the UK, and China. (2019). McAleer, Michael ; Chang, Chia-Lin ; Tian, Jiarong . In: Energies. RePEc:gam:jeners:v:12:y:2019:i:8:p:1475-:d:224091.

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2019What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity and (Non-) Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model. (2019). McAleer, Michael. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:66-:d:223231.

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2019Trade Uncertainties and the Hedging Abilities of Bitcoin. (2019). GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:201948.

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2019Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks. (2019). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu. In: Working Papers. RePEc:pre:wpaper:201951.

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2019Risk Aversion and the Predictability of Crude Oil Market Volatility: A Forecasting Experiment with Random Forests. (2019). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Gkillas, Konstantinos. In: Working Papers. RePEc:pre:wpaper:201972.

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2019A dominance approach for comparing the performance of VaR forecasting models. (2019). Novales, Alfonso ; Garcia-Jorcano, Laura. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1923.

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2019Market risk when hedging a global credit portfolio. (2019). Novales, Alfonso ; Chamizo, Alvaro. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1928.

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Recent citations received in 2018

YearCiting document
2018FAKE NEWS AND INDIFFERENCE TO TRUTH: DISSECTING TWEETS AND STATE OF THE UNION ADDRESSES BY PRESIDENTS OBAMA AND TRUMP. (2018). McAleer, Michael ; Allen, David ; Reid, David Mchardy ; David Mc Hardy Reid, . In: Advances in Decision Sciences. RePEc:aag:wpaper:v:22:y:2018:i:1:p:180-203.

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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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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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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.

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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.

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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.

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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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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.

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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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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.

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

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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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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.

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