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Citation Profile [Updated: 2021-02-02 17:32:57]
5 Years H
15
Impact Factor
0.48
5 Years IF
0.35
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 0.14 0 0 9 19 0 1 10 10 0 0 0.07
1995 0 0.19 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 0.12
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 0.46 0 0 0 19 0 3 0 0 0 0 0.2
2001 0 0.4 0.03 0 11 30 7 4 0 0 0 0 0.22
2002 0 0.42 0.09 0 28 58 13 5 9 11 11 5 100 5 0.18 0.23
2003 0.03 0.42 0.03 0.03 11 69 21 1 11 39 1 39 1 0 0 0.24
2004 0.08 0.47 0.06 0.08 13 82 2 5 16 39 3 50 4 1 20 1 0.08 0.27
2005 0.08 0.5 0.03 0.05 13 95 3 3 19 24 2 63 3 0 0 0.29
2006 0 0.48 0.01 0.01 4 99 0 1 20 26 76 1 0 0 0.27
2007 0 0.4 0.01 0.01 0 99 0 1 21 17 69 1 0 0 0.23
2008 0 0.46 0.05 0.05 0 99 0 4 26 4 41 2 0 0 0.23
2009 0 0.43 0.37 0.07 19 118 112 43 70 0 30 2 6 14 39 2.05 0.23
2010 0.95 0.38 0.25 0.5 4 122 16 30 101 19 18 36 18 1 3.3 0 0.19
2011 0.78 0.47 0.2 0.67 39 161 141 32 134 23 18 27 18 18 56.3 6 0.15 0.25
2012 0.19 0.5 0.1 0.23 30 191 83 19 153 43 8 62 14 9 47.4 2 0.07 0.26
2013 0.46 0.52 0.3 0.45 39 230 134 69 222 69 32 92 41 14 20.3 5 0.13 0.24
2014 0.59 0.55 0.38 0.42 32 262 125 97 321 69 41 131 55 21 21.6 27 0.84 0.28
2015 0.52 0.54 0.43 0.46 20 282 59 120 441 71 37 144 66 18 15 5 0.25 0.27
2016 0.75 0.56 0.46 0.51 23 305 67 141 582 52 39 160 82 27 19.1 26 1.13 0.28
2017 0.35 0.56 0.28 0.33 21 326 55 91 673 43 15 144 48 9 9.9 8 0.38 0.28
2018 1.05 0.57 0.45 0.51 28 354 29 158 831 44 46 135 69 33 20.9 17 0.61 0.28
2019 0.47 0.6 0.25 0.27 35 389 36 97 928 49 23 124 34 2 2.1 16 0.46 0.37
2020 0.48 0.66 0.2 0.35 4 393 5 77 1005 63 30 127 44 0 5 1.25 0.73
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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75
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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61
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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51
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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26
72009The 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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25
82013Coercive 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
92017The 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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19
102017Volatility 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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19
112009A 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
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.

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16
13GFC-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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15
142003Flexible 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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15
152011Risk 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
162012Asymmetric 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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15
172014Quality 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
182016Modelling 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
192016Realized 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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13
202012Ranking 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
212009Modelling 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
222012Costs 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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13
232016Management 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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13
242016How 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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12
252009Modelling 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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12
262018The 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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11
272009What 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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11
282013What 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
292019The 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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11
3010
312013Is 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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10
322011Risk 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
332012Modelling 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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10
342013Financial 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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9
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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9
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.

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9
372019What 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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9
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.

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9
392009Modelling 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
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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8
412019What 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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8
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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7
432012Currency 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
442013Ranking 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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7
452013Modelling 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
462013Analyzing 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
472015Daily 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
482020Wage inequality and poverty effects of lockdown and social distancing in Europe. (2020). Rodríguez, Juan ; Sebastian, Raquel ; Rodriguez, Juan G ; Palomino, Juan C. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:2003.

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6
492011Volatility 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.

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6
502012Robust 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
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12011Risk 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

13
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

12
32019The 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.

Full description at Econpapers || Download paper

11
42019What 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

9
52019What 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.

Full description at Econpapers || Download paper

8
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

8
72014A 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

8
82017The 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

7
92020Wage inequality and poverty effects of lockdown and social distancing in Europe. (2020). Rodríguez, Juan ; Sebastian, Raquel ; Rodriguez, Juan G ; Palomino, Juan C. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:2003.

Full description at Econpapers || Download paper

6
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
112016Management 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

4
122019Backtesting Extreme Value Theory models of expected shortfall. (2019). Garcia-Jorcano, Laura ; Novales, Alfonso. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1924.

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4
132017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1726.

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4
142009The 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

4
152011Great 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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3
162014Deliberation, 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

3
172019CO2 emissions, energy consumption and economic growth: Evidence from the Trans-Pacific Partnership. (2019). Vo, Duc ; Nguyen, Minh ; McAleer, Michael. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1908.

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3
182019Energy consumption and economic growth: Evidence from Vietnam. (2019). Vo, Duc ; Nguyen, Minh ; McAleer, Michael ; Bui, Ngoc Hoang. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1910.

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3
192018Pricing carbon emissions in China. (2018). McAleer, Michael ; Chang, Chia-Lin ; Mai, Te-Ke. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1803.

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3
202019Modelling the relationship between crude oil and agricultural commodity prices. (2019). Vu, Tan ; Vo, Duc ; McAleer, Michael. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1911.

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3
212013Is 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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3
222012Asymmetric 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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2
232018Cointegrated 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
242012Estimating 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
252014Learning 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
262017Theoretical 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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2
272018Long 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
282012Modelling 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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2
292018The 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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2
Citing documents used to compute impact factor: 30
YearTitle
2020Social Risks of International Labour Migration in the Context of Global Challenges. (2020). Honchar, Liudmyla ; Oliinyk, Halyna ; Denysiuk, Iryna ; Liakisheva, Anna ; Kuzior, Aleksandra. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:9:p:197-:d:408248.

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2020Stylized facts of the carbon emission market in China. (2020). Shen, Dehua ; Zhang, Wei ; Yan, Kai. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:555:y:2020:i:c:s0378437120303691.

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2020Looking through systemic credit risk: Determinants, stress testing and market value. (2020). Novales, Alfonso ; Chamizo, Alvaro. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s1042443119300939.

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2020Disentangling the role of the exchange rate in oil-related scenarios for the European stock market. (2020). Ferreiro, Javier Ojea. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s014098832030116x.

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2020Risk measurement of international carbon market based on multiple risk factors heterogeneous dependence. (2020). Yun, PO ; Yang, YU ; Zhang, Chen. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318306123.

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2020Deep Recurrent Convolutional Neural Network for Bankruptcy Prediction: A Case of the Restaurant Industry. (2020). Alaminos, David ; Becerra-Vicario, Rafael ; Fernandez-Gamez, Manuel A ; Aranda, Eva. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:12:p:5180-:d:376089.

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2020Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China. (2020). Li, Steven ; Hou, Yang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:166-188.

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2020Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks. (2020). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:933-948.

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2020Time-Varying Spillovers between Currency and Stock Markets in the USA: Historical Evidence From More than Two Centuries. (2020). Hkiri, Besma ; Gupta, Rangan ; Coronado, Semei ; Rojas, Omar. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:4:p:44-76.

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2020Volatility spillovers for energy prices: A diagonal BEKK approach. (2020). Ghoddusi, Hamed ; Zolfaghari, Mehdi ; Faghihian, Fatemeh. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303054.

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2020Does Financial Integration Enhance Economic Growth in China?. (2020). Vo, Duc ; Ho, Chi Minh. In: Economies. RePEc:gam:jecomi:v:8:y:2020:i:3:p:65-:d:398370.

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2020Impact of Energy Consumption on Industrial Growth in a Transition Economy: Evidence from Nigeria. (2020). Isik, Abdurrahman ; Kassim, Fatima. In: MPRA Paper. RePEc:pra:mprapa:101757.

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2020The role of renewable energy, alternative and nuclear energy in mitigating carbon emissions in the CPTPP countries. (2020). Vo, Duc ; Nguyen, Minh ; Ho, Chi Minh. In: Renewable Energy. RePEc:eee:renene:v:161:y:2020:i:c:p:278-292.

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2020The Balanced Energy Mix for Achieving Environmental and Economic Goals in the Long Run. (2020). Vo, Duc ; To, Anh Hoang. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:15:p:3850-:d:390761.

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2020Changes in Energy Supplies in the Countries of the Visegrad Group. (2020). Perkowska, Aleksandra ; Rokicki, Tomasz. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:19:p:7916-:d:418810.

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2020The Determinants of Risk Transmission between Oil and Agricultural Prices: An IPVAR Approach. (2020). Vo, Duc ; Nguyen, Thang Cong ; Ho, Chi Minh ; Vu, Tan Ngoc. In: Agriculture. RePEc:gam:jagris:v:10:y:2020:i:4:p:120-:d:343821.

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2020The Impact of Implied Volatility Fluctuations on Vertical Spread Option Strategies: The Case of WTI Crude Oil Market. (2020). Iwaszczuk, Natalia ; Amasz, Bartosz. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:20:p:5323-:d:427209.

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2020Granger Causality Network Methods for Analyzing Cross-Border Electricity Trading between Greece, Italy, and Bulgaria. (2020). Dikaiakos, Christos ; Evangelidis, George ; Papaioannou, George P ; Georgakis, Fotios ; Kaskouras, Christos. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:4:p:900-:d:321852.

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2020A Note on Investor Happiness and the Predictability of Realized Volatility of Gold. (2020). GUPTA, RANGAN ; Pierdzioch, Christian ; Gkillas, Konstantinos ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:202004.

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2020Investor Happiness and Predictability of the Realized Volatility of Oil Price. (2020). GUPTA, RANGAN ; Pierdzioch, Christian ; Gkillas, Konstantinos ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:202009.

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2020A Note on Oil Price Shocks and the Forecastability of Gold Realized Volatility. (2020). GUPTA, RANGAN ; Demirer, Riza ; Hussain, Syed Jawad ; Pierdzioch, Christian. In: Working Papers. RePEc:pre:wpaper:202010.

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2020The Role of Global Economic Conditions in Forecasting Gold Market Volatility: Evidence from a GARCH-MIDAS Approach. (2020). Salisu, Afees ; Bouri, Elie ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202043.

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2020Investor Happiness and Predictability of the Realized Volatility of Oil Price. (2020). Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos ; Bonato, Matteo. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:10:p:4309-:d:362539.

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2020Moments-based spillovers across gold and oil markets. (2020). Lau, Chi Keung ; GUPTA, RANGAN ; Bonato, Matteo ; Wang, Shixuan ; Marco, Chi Keung. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301390.

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2020Effect of Rare Disaster Risks on Crude Oil: Evidence from El Nino from Over 140 Years of Data. (2020). Demirer, Riza ; Nel, Jacobus ; Gupta, Rangan ; Pierdzioch, Christian. In: Working Papers. RePEc:pre:wpaper:2020104.

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2020The role of global economic conditions in forecasting gold market volatility: Evidence from a GARCH-MIDAS approach. (2020). Salisu, Afees ; GUPTA, RANGAN ; Bouri, Elie ; Ji, Qiang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920307273.

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2020E-commerce by individuals in Spain using panel data 2008–2016. (2020). Valarezo Unda, Angel ; GARÍN-MUÑOZ, TERESA ; Herguera, Iigo ; Garin-Muoz, Teresa ; Lopez, Rafael ; Perez-Amaral, Teodosio. In: Telecommunications Policy. RePEc:eee:telpol:v:44:y:2020:i:4:s0308596119301272.

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2020A dominance approach for comparing the performance of VaR forecasting models. (2020). Novales, Alfonso ; Garcia-Jorcano, Laura. In: Computational Statistics. RePEc:spr:compst:v:35:y:2020:i:3:d:10.1007_s00180-020-00990-4.

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2020Mixed data sampling expectile regression with applications to measuring financial risk. (2020). Yu, Keming ; Jiang, Cuixia ; Chen, LU ; Xu, Qifa. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:469-486.

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2020Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models. (2020). Gözgör, Giray ; Liu, Wei ; Gozgor, Giray ; Marco, Chi Keung ; Semeyutin, Artur. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920301240.

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Recent citations
Recent citations received in 2020

YearCiting document
2020IT Shields: Technology Adoption and Economic Resilience during the Covid-19 Pandemic. (2020). Timmer, Yannick ; Pierri, Nicola. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8720.

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2020Past, Present and Future of the Spanish Labour Market: When the Pandemic meets the Megatrends. (2020). Felgueroso, Florentino ; Dolado, Juan J ; Jimeno, Juan F. In: Studies on the Spanish Economy. RePEc:fda:fdaeee:eee2020-37.

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2020Industrialization under Medieval Conditions? Global Development after COVID-19. (2020). Naudé, Wim. In: IZA Discussion Papers. RePEc:iza:izadps:dp13829.

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2020Extreme Events, Entrepreneurial Start-Ups, and Innovation: Theoretical Conjectures. (2020). Naudé, Wim ; Gries, Thomas. In: IZA Discussion Papers. RePEc:iza:izadps:dp13835.

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2020Industrialization under Medieval Conditions? Global Development after COVID-19. (2020). Naudé, Wim. In: GLO Discussion Paper Series. RePEc:zbw:glodps:704.

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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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2019Financial Inclusion and Economic growth: An International Evidence. (2019). Vo, Duc. In: MPRA Paper. RePEc:pra:mprapa:103282.

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2019The Impact of Foreign Direct Investment on Environment Degradation: Evidence from Emerging Markets in Asia. (2019). Vo, Duc. In: MPRA Paper. RePEc:pra:mprapa:103292.

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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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