[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 | 0.1 | 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 | 0.46 | 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 | 0.42 | 0.1 | 0.09 | 28 | 58 | 12 | 6 | 10 | 11 | 1 | 11 | 1 | 5 | 83.3 | 5 | 0.18 | 0.24 |
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 | 133 | 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 | 0.55 | 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 | 0.28 |
2016 | 0.75 | 0.58 | 0.46 | 0.51 | 23 | 305 | 58 | 141 | 563 | 52 | 39 | 160 | 82 | 27 | 19.1 | 26 | 1.13 | 0.29 |
2017 | 0.35 | 0.6 | 0.28 | 0.33 | 21 | 326 | 41 | 91 | 654 | 43 | 15 | 144 | 48 | 9 | 9.9 | 8 | 0.38 | 0.3 |
2018 | 1.09 | 0.62 | 0.43 | 0.51 | 28 | 354 | 21 | 153 | 807 | 44 | 48 | 135 | 69 | 32 | 20.9 | 17 | 0.61 | 0.33 |
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 | 72 |
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 | 52 |
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 | 49 |
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 | 35 | |
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 | 23 |
7 | 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 |
8 | 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 | 19 |
9 | 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 | 18 |
10 | 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 |
11 | 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 |
12 | 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 | 15 |
13 | 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 |
14 | 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 | 14 | |
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 | 14 |
16 | 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 |
17 | 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 | 13 |
18 | 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 |
19 | 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 |
20 | 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 | 12 |
21 | 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 | 12 |
22 | 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 | 11 |
23 | 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 |
24 | 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 | 11 |
25 | 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 |
26 | 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 | 10 |
27 | 10 | ||
28 | 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 | 10 |
29 | 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 | 9 |
30 | 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 | 9 |
31 | 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 | 9 |
32 | 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 |
33 | 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 | 8 |
34 | 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 | 8 |
35 | 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 |
36 | 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 | 7 |
37 | 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 | 7 |
38 | 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 | 7 |
39 | 2013 | Modelling and Simulation: An Overview. (2013). Oxley, Les ; McAleer, Michael ; Chan, Felix. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1316. Full description at Econpapers || Download paper | 7 |
40 | 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 |
41 | 2015 | Daily Market News Sentiment and Stock Prices. (2015). McAleer, Michael ; Allen, David ; Singh, Abhay K. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1511. Full description at Econpapers || Download paper | 6 |
42 | 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 | 6 |
43 | 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 |
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 | 6 |
45 | 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 | 6 |
46 | 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 |
47 | 2011 | Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX. (2011). McAleer, Michael ; Ishida, Isao ; Oya, Kosuke. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1117. Full description at Econpapers || Download paper | 5 |
48 | 2011 | Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan. (2011). McAleer, Michael ; Lim, Christine ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1131. Full description at Econpapers || Download paper | 5 |
49 | 2014 | Machine 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. Full description at Econpapers || Download paper | 5 |
50 | 2016 | Are 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 | 5 |
# | 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 | 34 |
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 | 23 |
3 | 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 | 18 |
4 | 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 | 18 |
5 | 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 | 15 |
6 | 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 | 14 |
7 | 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 |
8 | 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 | 10 |
9 | 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 | 10 |
10 | 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 | 8 |
11 | 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 | 7 |
12 | 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 | 6 |
13 | 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 | 5 |
14 | 2014 | Machine 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. Full description at Econpapers || Download paper | 5 |
15 | 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 | 4 |
16 | 2017 | The Fiction of Full BEKK. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1706. Full description at Econpapers || Download paper | 4 |
17 | 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 | 4 |
18 | 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 | 4 |
19 | 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 | 4 |
20 | 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 | 4 |
21 | 2017 | Theory and Application of an Economic Performance Measure of Risk. (2017). Wong, Wing-Keung ; McAleer, Michael ; Guo, Xu ; Niu, Cuizhen. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1718. Full description at Econpapers || Download paper | 4 |
22 | 2016 | Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?. (2016). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1601. Full description at Econpapers || Download paper | 4 |
23 | 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 | 4 |
24 | 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 |
25 | 2018 | Big data, computational science, economics, finance, marketing, management, and psychology: connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1805. Full description at Econpapers || Download paper | 3 |
26 | 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 |
27 | 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 | 3 |
28 | 2012 | Estimating 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. Full description at Econpapers || Download paper | 3 |
29 | 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 | 3 |
30 | 2011 | Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation. (2011). McAleer, Michael ; Caporin, Massimiliano. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1120. Full description at Econpapers || Download paper | 3 |
31 | 2014 | Asymmetric Realized Volatility Risk. (2014). Scharth, Marcel ; McAleer, Michael ; Allen, David. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1416. Full description at Econpapers || Download paper | 3 |
32 | 2014 | Learning and coordinating in a multilayer network. (2014). Lugo, Haydée ; san Miguel, Maxi . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1430. Full description at Econpapers || Download paper | 3 |
33 | 2015 | Bibliometric Rankings of Journals Based on the Thomson Reuters Citations Database. (2015). McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1515. Full description at Econpapers || Download paper | 3 |
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 | 3 |
35 | 2011 | Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan. (2011). McAleer, Michael ; Lim, Christine ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1131. Full description at Econpapers || Download paper | 3 |
36 | 2017 | Youâve Got Email: A Workflow Management Extraction System. (2017). McAleer, Michael ; Prexawanprasut, Takorn ; Chaipornkaew, Piyanuch . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1714. Full description at Econpapers || Download paper | 3 |
37 | 2014 | A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process. (2014). McAleer, Michael ; Hafner, Christian. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1429. Full description at Econpapers || Download paper | 2 |
38 | 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 |
39 | 2009 | 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 | 2 |
40 | 2018 | Long 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. Full description at Econpapers || Download paper | 2 |
41 | 2016 | Spectrally-corrected estimation for high-dimensional markowitz mean-variance optimization. (2016). Wong, Wing-Keung ; McAleer, Michael ; Li, Hua ; Bai, Zhidong. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1705. Full description at Econpapers || Download paper | 2 |
42 | 2016 | An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1612. Full description at Econpapers || Download paper | 2 |
43 | 2018 | Cointegrated 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. Full description at Econpapers || Download paper | 2 |
44 | 2018 | Fake 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. Full description at Econpapers || Download paper | 2 |
45 | 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 | 2 |
46 | 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: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1807. Full description at Econpapers || Download paper | 2 |
47 | 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 | 2 |
48 | 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 | 2 |
Year | Title | |
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2018 | Dynamic Equicorrelation between S&P500 Index and S&P GSCI. (2018). Derbali, Abdelkader ; Chebbi, Tarek. In: Working Papers. RePEc:hal:wpaper:hal-01695995. Full description at Econpapers || Download paper | |
2018 | The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk. (2018). GUPTA, RANGAN ; Caporin, Massimiliano ; Bonaccolto, G. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:446-469. Full description at Econpapers || Download paper | |
2018 | Uncovering long term relationships between oil prices and the economy: A time-varying cointegration analysis. (2018). Gogolin, Fabian ; Vigne, Samuel A ; Peat, Maurice ; Lucey, Brian M ; Kearney, Fearghal. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:584-593. Full description at Econpapers || Download paper | |
2018 | Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices. (2018). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yu-Ann. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:81:y:2018:i:p1:p:1002-1018. Full description at Econpapers || Download paper | |
2018 | Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management. (2018). McAleer, Michael ; Allen, David. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:7:p:1627-:d:153801. Full description at Econpapers || Download paper | |
2018 | Management Information, Decision Sciences, and Financial Economics : a connection. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin ; Wong, W.-K., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:104258. Full description at Econpapers || Download paper | |
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 | An Event Study of Chinese Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, Shu-Han. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180003. Full description at Econpapers || Download paper | |
2018 | An Event Study of Chinese Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, S.-H., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:104254. Full description at Econpapers || Download paper | |
2018 | An event study of chinese tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, Shu-Han. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1801. Full description at Econpapers || Download paper | |
2018 | Risk Spillovers in Returns for Chinese and International Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, S.-H., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:105884. Full description at Econpapers || Download paper | |
2018 | Risk Spillovers in Returns for Chinese and International Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, Shu-Han. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1811. Full description at Econpapers || Download paper | |
2018 | Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs. (2018). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yu-Ann. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180052. Full description at Econpapers || Download paper | |
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 | 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 | |
2018 | Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs. (2018). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yu-Ann. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1815. Full description at Econpapers || Download paper | |
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 | Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances. (2018). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yanghuiting . In: Energy. RePEc:eee:energy:v:151:y:2018:i:c:p:984-997. Full description at Econpapers || Download paper | |
2018 | To trust or not to trust? A comparative study of conventional and clean energy exchange-traded funds. (2018). Alexopoulos, Thomas A. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:97-107. Full description at Econpapers || Download paper | |
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 | Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs. (2018). McAleer, Michael ; Chang, Chia-Lin ; Wang, Y-A., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:107292. Full description at Econpapers || Download paper | |
2018 | Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, W.-K., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:104260. Full description at Econpapers || Download paper | |
2018 | Big data, computational science, economics, finance, marketing, management, and psychology: connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1805. Full description at Econpapers || Download paper | |
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 | Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:1:p:15-:d:137130. Full description at Econpapers || Download paper | |
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 | Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180011. Full description at Econpapers || Download paper | |
2018 | Why Are Warrant Markets Sustained in Taiwan but Not in China?. (2018). Wong, Wing-Keung ; McAleer, Michael ; Lean, Hooi Hooi ; Tsai, Feng-Tse. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:10:p:3748-:d:176380. Full description at Econpapers || Download paper | |
2018 | Bayesian analysis of realized matrix-exponential GARCH models. (2018). McAleer, Michael ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1804. Full description at Econpapers || Download paper | |
2018 | Bayesian Analysis of Realized Matrix-Exponential GARCH Models. (2018). McAleer, Michael ; Asai, Manabu. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180005. Full description at Econpapers || Download paper | |
2018 | Bayesian Analysis of Realized Matrix-Exponential GARCH Models. (2018). McAleer, Michael ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:104259. Full description at Econpapers || Download paper | |
2018 | Multiple-lock Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity. (2018). Omori, Yasuhiro ; Kurose, Yuta. In: CIRJE F-Series. RePEc:tky:fseres:2018cf1075. Full description at Econpapers || Download paper | |
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 | |
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 | Establishing National Carbon Emission Prices for China. (2018). McAleer, Michael ; Chang, Chia-Lin ; Mai, Te-Ke. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1810. Full description at Econpapers || Download paper | |
2018 | Establishing National Carbon Emission Prices for China. (2018). McAleer, Michael ; Mai, TeKe ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:105880. 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: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1826. Full description at Econpapers || Download paper | |
2018 | Credit and market risks measurement in carbon financing for Chinese banks. (2018). Zhang, XI ; Li, Jian. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:549-557. Full description at Econpapers || Download paper | |
2018 | PRICING CARBON EMISSIONS IN CHINA. (2018). McAleer, Michael ; Chang, Chia-Lin ; Mai, Te-Ke. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:13:y:2018:i:03:n:s2010495218500148. 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: Advances in Decision Sciences. RePEc:aag:wpaper:v:22:y:2018:i:1:p:36-94. Full description at Econpapers || Download paper | |
2018 | Risk Spillovers in Returns for Chinese and International Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, Shu-Han. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180031. Full description at Econpapers || Download paper | |
2018 | Is stock market volatility asymmetric? A multi-period analysis for five countries. (2018). Bentes, Sonia R. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:499:y:2018:i:c:p:258-265. Full description at Econpapers || Download paper | |
2018 | Asymmetric Risk Impacts of Chinese Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, Shu-Han. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180047. Full description at Econpapers || Download paper | |
2018 | Asymmetric Risk Impacts of Chinese Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, S.-H., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:107294. Full description at Econpapers || Download paper | |
2018 | Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets. (2018). Toyoshima, Yuki. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:21-:d:143280. Full description at Econpapers || Download paper | |
2018 | Asymmetric Risk Impacts of Chinese Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, Shu-Han. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1813. Full description at Econpapers || Download paper | |
2018 | Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market. (2018). Zhang, Zhaoyong ; Djajadikerta, Hadrian Geri. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:10:p:3361-:d:170985. Full description at Econpapers || Download paper |
Year | Citing document | |
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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 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 |
Year | Citing document | |
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2017 | A Generalized Email Classification System for Workflow Analysis. (2017). McAleer, Michael ; Chang, Chia-Lin ; Prexawanprasut, T ; Chaipornkaew, P. In: Econometric Institute Research Papers. RePEc:ems:eureir:101762. Full description at Econpapers || Download paper | |
2017 | An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors. (2017). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2017:i:1:p:2-:d:124175. Full description at Econpapers || Download paper | |
2017 | GARCH Modelling of Cryptocurrencies. (2017). Chu, Jeffrey ; Osterrieder, Joerg ; Nadarajah, Saralees ; Chan, Stephen. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:4:p:17-:d:113895. Full description at Econpapers || Download paper | |
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: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:10:p:1789-:d:113954. Full description at Econpapers || Download paper | |
2017 | A Generalized Email Classification System for Workflow Analysis. (2017). McAleer, Michael ; Chang, Chia-Lin ; Prexawanprasut, Takorn ; Chaipornkaew, Piyanuch . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170066. Full description at Econpapers || Download paper | |
2017 | Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170105. Full description at Econpapers || Download paper | |
2017 | A Generalized Email Classification System for Workflow Analysis. (2017). McAleer, Michael ; Chang, Chia-Lin ; Prexawanprasut, Takorn ; Chaipornkaew, Piyanuch . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1721. Full description at Econpapers || Download paper | |
2017 | Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management. (2017). McAleer, Michael ; Allen, David. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1722. Full description at Econpapers || Download paper |
Year | Citing document | |
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2016 | On oil-US exchange rate volatility relationships: An intraday analysis. (2016). JAWADI, Fredj ; Louhichi, Wael ; ben Ameur, Hachmi ; Cheffou, Abdoulkarim Idi. In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:329-334. Full description at Econpapers || Download paper | |
2016 | Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:93115. Full description at Econpapers || Download paper | |
2016 | Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Y. In: Econometric Institute Research Papers. RePEc:ems:eureir:93116. Full description at Econpapers || Download paper | |
2016 | Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China. (2016). McAleer, Michael ; Chang, Chia-Lin ; Tian, J. In: Econometric Institute Research Papers. RePEc:ems:eureir:93117. Full description at Econpapers || Download paper | |
2016 | An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:93118. Full description at Econpapers || Download paper | |
2016 | Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers. (2016). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:98648. Full description at Econpapers || Download paper | |
2016 | Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160046. Full description at Econpapers || Download paper | |
2016 | Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yanghuiting . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160047. Full description at Econpapers || Download paper | |
2016 | An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160052. Full description at Econpapers || Download paper | |
2016 | Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China. (2016). McAleer, Michael ; Chang, Chia-Lin ; Tian, Jiarong . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160053. Full description at Econpapers || Download paper | |
2016 | Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers. (2016). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160076. Full description at Econpapers || Download paper | |
2016 | Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity. (2016). Omori, Yasuhiro ; Kurose, Yuta. In: CIRJE F-Series. RePEc:tky:fseres:2016cf1024. Full description at Econpapers || Download paper | |
2016 | Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China. (2016). McAleer, Michael ; Chang, Chia-Lin ; Tian, Jiarong . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1609. Full description at Econpapers || Download paper | |
2016 | Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yanghuiting . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1610. Full description at Econpapers || Download paper | |
2016 | Volatility spillovers for spot, futures, and ETF prices in energy and agriculture. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1611. Full description at Econpapers || Download paper | |
2016 | An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1612. Full description at Econpapers || Download paper | |
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 |
Year | Citing document | |
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2015 | Multivariate Volatility Impulse Response Analysis of GFC News Events. (2015). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, A K. In: Econometric Institute Research Papers. RePEc:ems:eureir:78711. Full description at Econpapers || Download paper | |
2015 | Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance. (2015). McAleer, Michael ; Maasoumi, Esfandiar ; Jimenez-Martin, Juan ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:79539. Full description at Econpapers || Download paper | |
2015 | Multivariate Volatility Impulse Response Analysis of GFC News Events. (2015). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150089. Full description at Econpapers || Download paper | |
2015 | The Fundamental Equation in Tourism Finance. (2015). McAleer, Michael. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150129. Full description at Econpapers || Download paper | |
2015 | Multivariate Volatility Impulse Response Analysis of GFC News Events. (2015). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1510. Full description at Econpapers || Download paper |