[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]
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 | 0.06 | 0 | 17 | 17 | 9 | 1 | 1 | 0 | 0 | 1 | 100 | 1 | 0.06 | 0.07 | ||
1994 | 0.06 | 0.14 | 0.04 | 0.06 | 9 | 26 | 0 | 1 | 2 | 17 | 1 | 17 | 1 | 0 | 0 | 0.07 | ||
1995 | 0 | 0.19 | 0.04 | 0 | 0 | 26 | 0 | 3 | 26 | 26 | 0 | 0 | 0.09 | |||||
1996 | 0 | 0.22 | 0 | 0 | 0 | 26 | 0 | 3 | 9 | 26 | 0 | 0 | 0.12 | |||||
1997 | 0 | 0.23 | 0 | 0 | 0 | 26 | 0 | 3 | 0 | 26 | 0 | 0 | 0.13 | |||||
1998 | 0 | 0.24 | 0.12 | 0.08 | 0 | 26 | 0 | 2 | 6 | 0 | 26 | 2 | 0 | 0 | 0.15 | |||
1999 | 0 | 0.32 | 0.04 | 0 | 0 | 26 | 0 | 1 | 7 | 0 | 9 | 0 | 0 | 0.22 | ||||
2000 | 0 | 0.45 | 0 | 0 | 0 | 26 | 0 | 7 | 0 | 0 | 0 | 0 | 0.2 | |||||
2001 | 0 | 0.4 | 0.03 | 0 | 11 | 37 | 7 | 8 | 0 | 0 | 0 | 0 | 0.22 | |||||
2002 | 0 | 0.43 | 0.09 | 0 | 28 | 65 | 13 | 6 | 14 | 11 | 11 | 5 | 83.3 | 5 | 0.18 | 0.24 | ||
2003 | 0.03 | 0.43 | 0.03 | 0.03 | 11 | 76 | 23 | 2 | 16 | 39 | 1 | 39 | 1 | 0 | 0 | 0.24 | ||
2004 | 0.08 | 0.47 | 0.07 | 0.08 | 13 | 89 | 2 | 6 | 22 | 39 | 3 | 50 | 4 | 1 | 16.7 | 1 | 0.08 | 0.27 |
2005 | 0.08 | 0.5 | 0.03 | 0.05 | 13 | 102 | 3 | 3 | 25 | 24 | 2 | 63 | 3 | 0 | 0 | 0.29 | ||
2006 | 0 | 0.48 | 0.01 | 0.01 | 4 | 106 | 0 | 1 | 26 | 26 | 76 | 1 | 0 | 0 | 0.27 | |||
2007 | 0 | 0.4 | 0.02 | 0.03 | 0 | 106 | 0 | 2 | 28 | 17 | 69 | 2 | 0 | 0 | 0.22 | |||
2008 | 0 | 0.46 | 0.05 | 0.07 | 0 | 106 | 0 | 4 | 33 | 4 | 41 | 3 | 0 | 0 | 0.23 | |||
2009 | 0 | 0.44 | 0.35 | 0.07 | 19 | 125 | 110 | 43 | 77 | 0 | 30 | 2 | 6 | 14 | 39 | 2.05 | 0.23 | |
2010 | 0.95 | 0.38 | 0.25 | 0.5 | 4 | 129 | 16 | 31 | 109 | 19 | 18 | 36 | 18 | 1 | 3.2 | 0 | 0.19 | |
2011 | 0.78 | 0.48 | 0.19 | 0.67 | 39 | 168 | 141 | 32 | 141 | 23 | 18 | 27 | 18 | 18 | 56.3 | 6 | 0.15 | 0.25 |
2012 | 0.19 | 0.51 | 0.1 | 0.23 | 30 | 198 | 82 | 19 | 160 | 43 | 8 | 62 | 14 | 9 | 47.4 | 2 | 0.07 | 0.26 |
2013 | 0.46 | 0.52 | 0.29 | 0.43 | 39 | 237 | 135 | 68 | 228 | 69 | 32 | 92 | 40 | 14 | 20.6 | 5 | 0.13 | 0.24 |
2014 | 0.59 | 0.54 | 0.36 | 0.41 | 32 | 269 | 125 | 96 | 326 | 69 | 41 | 131 | 54 | 21 | 21.9 | 27 | 0.84 | 0.28 |
2015 | 0.52 | 0.54 | 0.41 | 0.46 | 20 | 289 | 59 | 118 | 444 | 71 | 37 | 144 | 66 | 18 | 15.3 | 5 | 0.25 | 0.27 |
2016 | 0.75 | 0.56 | 0.46 | 0.51 | 23 | 312 | 68 | 142 | 586 | 52 | 39 | 160 | 82 | 27 | 19 | 26 | 1.13 | 0.28 |
2017 | 0.35 | 0.56 | 0.28 | 0.33 | 21 | 333 | 56 | 92 | 678 | 43 | 15 | 144 | 48 | 9 | 9.8 | 8 | 0.38 | 0.28 |
2018 | 1.05 | 0.56 | 0.44 | 0.51 | 28 | 361 | 32 | 158 | 836 | 44 | 46 | 135 | 69 | 33 | 20.9 | 17 | 0.61 | 0.29 |
2019 | 0.47 | 0.58 | 0.24 | 0.27 | 35 | 396 | 48 | 96 | 932 | 49 | 23 | 124 | 33 | 2 | 2.1 | 16 | 0.46 | 0.34 |
2020 | 0.51 | 0.67 | 0.22 | 0.36 | 4 | 400 | 17 | 86 | 1018 | 63 | 32 | 127 | 46 | 0 | 12 | 3 | 0.63 | |
2021 | 0.41 | 0.43 | 0.07 | 0.19 | 8 | 408 | 0 | 27 | 1045 | 39 | 16 | 111 | 21 | 2 | 7.4 | 0 | 0.15 |
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 |
# | Year | Title | Cited |
---|---|---|---|
1 | 2014 | A 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 | 77 |
2 | 2013 | Ten 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 | 64 |
3 | 2011 | Risk 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 | 51 |
4 | 2015 | Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2015). McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1508. Full description at Econpapers || Download paper | 44 |
5 | Do 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 | |
6 | 2011 | Great 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 | 26 |
7 | 2009 | The 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 | 25 |
8 | 2013 | Coercive 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 |
9 | 2017 | The 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 | 19 |
10 | 2017 | Volatility 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 | 19 |
11 | 2020 | Wage inequality and poverty effects of lockdown and social distancing in Europe. (2020). RodrÃÆÃÂguez, 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 | 18 |
12 | 2009 | A 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 | 17 |
13 | 2016 | Modelling volatility spillovers for bio-ethanol, sugarcane and corn. (2016). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin ; Wang, Yu-Ann. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1603. Full description at Econpapers || Download paper | 16 |
14 | 2003 | Flexible 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 | 16 |
15 | 2019 | The 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 | 15 |
16 | GFC-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 | 15 | |
17 | 2011 | Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1102. Full description at Econpapers || Download paper | 15 |
18 | 2012 | Asymmetric 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 | 15 |
19 | 2014 | Quality 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 |
20 | 2016 | Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yu-Ann. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1704. Full description at Econpapers || Download paper | 14 |
21 | 2016 | Management science, economics and finance: A connection. (2016). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1607. Full description at Econpapers || Download paper | 13 |
22 | 2016 | Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers. (2016). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1615. Full description at Econpapers || Download paper | 13 |
23 | 2012 | Ranking 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 |
24 | 2009 | Modelling 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 |
25 | 2012 | Costs 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 | 13 |
26 | 2016 | How are VIX and Stock Index ETF Related?. (2016). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1602. Full description at Econpapers || Download paper | 12 |
27 | 2009 | Modelling 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 | 12 |
28 | 2018 | The 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 | 11 |
29 | 2009 | What 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 | 11 |
30 | 2013 | What 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 |
31 | 2019 | What 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 | 11 |
32 | 2012 | Modelling 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 | 10 |
33 | 2013 | Is 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 | 10 |
34 | 2011 | Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Casarin, Roberto. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1132. Full description at Econpapers || Download paper | 10 |
35 | 2009 | Has 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 | 9 |
36 | 2013 | Financial 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 | 9 |
37 | 2011 | Currency 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 | 9 |
38 | 1993 | Public Capital and Aggregate Growth in the United States: Is Public Capital Productive?. (1993). Pereira, Alfredo ; de Frutos, Rafael Flores. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:9313. Full description at Econpapers || Download paper | 9 |
39 | 2009 | Modelling 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 |
40 | 2014 | Deliberation, 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 | 8 |
41 | 2014 | Ranking 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 | 8 |
42 | 2019 | What 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 |
43 | 2017 | Realized 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 | 7 |
44 | 2012 | Evaluating 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 | 7 |
45 | 2012 | Currency 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 |
46 | 2013 | Ranking 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 | 7 |
47 | 2012 | Robust 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 |
48 | 2013 | Analyzing 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 |
49 | 2019 | Backtesting Extreme Value Theory models of expected shortfall. (2019). Garcia-Jorcano, Laura ; Novales, Alfonso. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1924. Full description at Econpapers || Download paper | 6 |
50 | 2019 | Modelling 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. Full description at Econpapers || Download paper | 6 |
# | Year | Title | Cited |
---|---|---|---|
1 | 2020 | Wage inequality and poverty effects of lockdown and social distancing in Europe. (2020). RodrÃÆÃÂguez, 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 | 18 |
2 | 2019 | The 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 | 13 |
3 | 2013 | Ten 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 | 7 |
4 | 2019 | What 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 | 5 |
5 | 2019 | Modelling 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. Full description at Econpapers || Download paper | 5 |
6 | 2014 | A 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 | 5 |
7 | 2019 | What 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 | 4 |
8 | 2019 | Backtesting Extreme Value Theory models of expected shortfall. (2019). Garcia-Jorcano, Laura ; Novales, Alfonso. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1924. Full description at Econpapers || Download paper | 4 |
9 | 2016 | Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers. (2016). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1615. Full description at Econpapers || Download paper | 4 |
10 | 2019 | CO2 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. Full description at Econpapers || Download paper | 3 |
11 | 2019 | Energy consumption and economic growth: Evidence from Vietnam. (2019). Vo, Duc ; Nguyen, Minh ; McAleer, Michael ; Ngoc, Bui ; Bui, Ngoc Hoang. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1910. Full description at Econpapers || Download paper | 3 |
12 | 2016 | Management science, economics and finance: A connection. (2016). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1607. Full description at Econpapers || Download paper | 3 |
13 | 2017 | Realized 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 | 3 |
14 | 2009 | The 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 | 2 |
15 | 2017 | The 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 | 2 |
16 | 2017 | Volatility 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 | 2 |
17 | 2018 | Connecting 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 | 2 |
18 | 2018 | Pricing 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 | 2 |
19 | 2013 | Is 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 | 2 |
Year | Title | |
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2021 | Structural Break and Causal Analyses of U.S. Corn Use for Ethanol and Other Corn Market Variables. (2021). , Johannes ; Kline, Keith L ; Oladosu, Gbadebo A. In: Agriculture. RePEc:gam:jagris:v:11:y:2021:i:3:p:267-:d:520940. Full description at Econpapers || Download paper | |
2021 | An Auxiliary Index for Reducing Brent Crude Investment RiskâEvaluating the Price Relationships between Brent Crude and Commodities. (2021). Hsiao, Mu-Chun ; Chiu, Chui-Yu ; Chen, Yu-Wei. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:9:p:5050-:d:547153. Full description at Econpapers || Download paper | |
2021 | Electricity pricing using a periodic GARCH model with conditional skewness and kurtosis components. (2021). Theodossiou, Panayiotis ; Savva, Christos ; Kosmidou, Kyriaki ; Ioannidis, Filippos. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000153. Full description at Econpapers || Download paper | |
2021 | Are Islamic gold-backed cryptocurrencies different?. (2021). Yarovaya, Larisa ; ben Hamida, Hela ; Aloui, Chaker. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320302907. Full description at Econpapers || Download paper | |
2021 | Uncertainty Due to Infectious Diseases and StockâBond Correlation. (2021). Siriopoulos, Costas ; Konstantatos, Christoforos ; Gkillas, Konstantinos. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:2:p:17-:d:539153. Full description at Econpapers || Download paper | |
2021 | Forecasting Oil and Gold Volatilities with Sentiment Indicators Under Structural Breaks. (2021). Demirer, Riza ; Ji, Qiang ; Gupta, Rangan ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202130. Full description at Econpapers || Download paper | |
2021 | OPEC news and jumps in the oil market. (2021). Yoon, Seong-Min ; Pierdzioch, Christian ; Gupta, Rangan ; Gkillas, Konstantinos. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000013. Full description at Econpapers || Download paper | |
2021 | A note on investor happiness and the predictability of realized volatility of gold. (2021). GUPTA, RANGAN ; Pierdzioch, Christian ; Gkillas, Konstantinos ; Bonato, Matteo. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320303524. Full description at Econpapers || Download paper | |
2021 | Time?varying dynamics of expected shortfall in commodity futures markets. (2021). Auer, Benjamin R ; Mehlitz, Julia S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:6:p:895-925. Full description at Econpapers || Download paper | |
2021 | CO2 Emissions and Energy Technologies in Western Europe. (2021). Puch, Luis ; Diaz, Antonia ; Marrero, Gustavo A ; Barrera-Santana, Josue. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:2107. Full description at Econpapers || Download paper | |
2021 | Válság és együttm?ködés. A koronavÃrus-járvány okozta lehetséges intézményi változások és a kooperatÃv közszolgáltatások. (2021). Petrovics, Nandor ; Katona, Marton. In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1948. Full description at Econpapers || Download paper | |
2021 | Labour and technology at the time of Covid-19. Can artificial intelligence mitigate the need for proximity?. (2021). scicchitano, sergio ; Carbonero, Francesco. In: GLO Discussion Paper Series. RePEc:zbw:glodps:765. Full description at Econpapers || Download paper | |
2021 | Inequality of fear and self-quarantine: Is there a trade-off between GDP and public health?. (2021). Shin, Yongseok ; Lee, Sang Yoon ; Aum, Sangmin. In: Journal of Public Economics. RePEc:eee:pubeco:v:194:y:2021:i:c:s0047272720302188. Full description at Econpapers || Download paper | |
2021 | Re-opening after the lockdown: Long-run aggregate and distributional consequences of COVID-19. (2021). Turnovsky, Stephen J ; Papageorgiou, Chris ; Atolia, Manoj. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:93:y:2021:i:c:s0304406821000197. Full description at Econpapers || Download paper | |
2021 | COVID-19 restrictions in the US: wage vulnerability by education, race and gender. (2021). Sebastian, Raquel ; Rodriguez, Juan G ; Palomino, Juan C ; Gambau, Borja. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:2108. Full description at Econpapers || Download paper | |
2021 | Who lost the most? Distributive effects of COVID-19 pandemic. (2021). scicchitano, sergio ; Mussida, Chiara ; Brunetti, Irene ; Ainaa, Carmen. In: GLO Discussion Paper Series. RePEc:zbw:glodps:829. Full description at Econpapers || Download paper |
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2020 | IT 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. Full description at Econpapers || Download paper | |
2020 | Past, 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. Full description at Econpapers || Download paper | |
2020 | Modern Infectious Diseases: Macroeconomic Impacts and Policy Responses. (2020). Prettner, Klaus ; Kuhn, Michael ; Bloom, David E. In: Working Papers. RePEc:gwi:wpaper:2020-17. Full description at Econpapers || Download paper | |
2020 | Entrepreneurial Recovery from COVID-19: Decentralization, Democratization, Demand, Distribution, and Demography. (2020). , Wimnaude ; Naude, Wim . In: IZA Discussion Papers. RePEc:iza:izadps:dp13436. Full description at Econpapers || Download paper | |
2020 | Modern Infectious Diseases: Macroeconomic Impacts and Policy Responses. (2020). Prettner, Klaus ; Kuhn, Michael ; Bloom, David E. In: IZA Discussion Papers. RePEc:iza:izadps:dp13625. Full description at Econpapers || Download paper | |
2020 | Industrialization under Medieval Conditions? Global Development after COVID-19. (2020). Naudé, Wim. In: IZA Discussion Papers. RePEc:iza:izadps:dp13829. Full description at Econpapers || Download paper | |
2020 | Extreme Events, Entrepreneurial Start-Ups, and Innovation: Theoretical Conjectures. (2020). Naudé, Wim ; Gries, Thomas. In: IZA Discussion Papers. RePEc:iza:izadps:dp13835. Full description at Econpapers || Download paper | |
2020 | Modern Infectious Diseases: Macroeconomic Impacts and Policy Responses. (2020). Prettner, Klaus ; Kuhn, Michael ; Bloom, David. In: NBER Working Papers. RePEc:nbr:nberwo:27757. Full description at Econpapers || Download paper | |
2020 | Epidemics, Pandemics and Income Inequality. (2020). Khalifa, S ; Galarraga, O ; Esseau-Thomas, C. In: Health, Econometrics and Data Group (HEDG) Working Papers. RePEc:yor:hectdg:20/22. Full description at Econpapers || Download paper | |
2020 | Wage Losses and Inequality in Developing Countries: labor market and distributional consequences of Covid-19 lockdowns in Turkey. (2020). Duman, Anil. In: GLO Discussion Paper Series. RePEc:zbw:glodps:602. Full description at Econpapers || Download paper | |
2020 | Entrepreneurial Recovery from COVID-19: Decentralization, Democratization, Demand, Distribution, and Demography. (2020). Naud̮̩, Wim ; Naude, Wim . In: GLO Discussion Paper Series. RePEc:zbw:glodps:631. Full description at Econpapers || Download paper | |
2020 | Industrialization under Medieval Conditions? Global Development after COVID-19. (2020). Naudé, Wim. In: GLO Discussion Paper Series. RePEc:zbw:glodps:704. Full description at Econpapers || Download paper |
Year | Citing document | |
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2019 | The 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. Full description at Econpapers || Download paper | |
2019 | What 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. Full description at Econpapers || Download paper | |
2019 | Modeling 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. Full description at Econpapers || Download paper | |
2019 | What 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. Full description at Econpapers || Download paper | |
2019 | Financial Inclusion and Economic growth: An International Evidence. (2019). Vo, Duc. In: MPRA Paper. RePEc:pra:mprapa:103282. Full description at Econpapers || Download paper | |
2019 | The Impact of Foreign Direct Investment on Environment Degradation: Evidence from Emerging Markets in Asia. (2019). Vo, Duc. In: MPRA Paper. RePEc:pra:mprapa:103292. Full description at Econpapers || Download paper | |
2019 | Trade Uncertainties and the Hedging Abilities of Bitcoin. (2019). GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:201948. Full description at Econpapers || Download paper | |
2019 | Forecasting 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. Full description at Econpapers || Download paper | |
2019 | Risk 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. Full description at Econpapers || Download paper | |
2019 | A 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. Full description at Econpapers || Download paper | |
2019 | Market risk when hedging a global credit portfolio. (2019). Novales, Alfonso ; Chamizo, Alvaro. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1928. Full description at Econpapers || Download paper |
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2018 | FAKE 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. Full description at Econpapers || Download paper | |
2018 | Modeling 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 | |
2018 | Decision 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 | |
2018 | Connecting 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 | |
2018 | Asymptotic 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. Full description at Econpapers || Download paper | |
2018 | Moving 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 | |
2018 | Volatility 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 | |
2018 | Connecting 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 | |
2018 | RMB 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 | |
2018 | President Trump Tweets Supreme Leader Kim Jong-Un on Nuclear Weapons: A Comparison with Climate Change ââ¬Â . (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 | |
2018 | Decision 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 | |
2018 | Establishing 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 | |
2018 | Decision 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 | |
2018 | Connecting 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 | |
2018 | Asymptotic 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 |