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Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Citation Profile [Updated: 2020-06-03 07:38:54]
5 Years H
21
Impact Factor
0.36
5 Years IF
0.21
Data available in this report

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

Main indicators
Raw Data

 

IF AIF CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1990 0 0.13 0 0 1 1 0 0 0 4 0 0 0.07
1991 0 0.11 0 0 3 4 3 0 1 5 0 0 0.06
1992 0 0.1 0 0 0 4 0 0 4 6 0 0 0.07
1993 0 0.13 0 0 4 8 2 0 3 4 0 0 0.07
1994 0 0.13 0 0 2 10 0 0 4 8 0 0 0.06
1995 0 0.19 0 0 18 28 23 0 6 10 0 0 0.09
1996 0.15 0.22 0.11 0.11 29 57 45 6 6 20 3 27 3 4 66.7 3 0.1 0.12
1997 0.23 0.23 0.23 0.21 24 81 26 19 25 47 11 53 11 3 15.8 5 0.21 0.12
1998 0.25 0.24 0.16 0.18 31 112 74 18 43 53 13 77 14 4 22.2 1 0.03 0.15
1999 0.13 0.32 0.1 0.09 47 159 81 16 59 55 7 104 9 4 25 4 0.09 0.21
2000 0.14 0.47 0.1 0.09 28 187 91 18 77 78 11 149 14 0 3 0.11 0.2
2001 0.05 0.4 0.09 0.08 36 223 43 16 96 75 4 159 12 2 12.5 2 0.06 0.22
2002 0.16 0.41 0.15 0.16 48 271 171 40 137 64 10 166 27 7 17.5 4 0.08 0.23
2003 0.19 0.42 0.15 0.17 53 324 129 48 186 84 16 190 32 6 12.5 3 0.06 0.24
2004 0.25 0.47 0.18 0.22 49 373 128 69 255 101 25 212 47 6 8.7 6 0.12 0.27
2005 0.26 0.49 0.18 0.25 55 428 104 76 331 102 27 214 54 6 7.9 6 0.11 0.29
2006 0.24 0.48 0.18 0.19 50 478 100 83 415 104 25 241 46 10 12 5 0.1 0.27
2007 0.17 0.41 0.14 0.2 54 532 90 73 488 105 18 255 51 13 17.8 4 0.07 0.22
2008 0.13 0.46 0.14 0.11 37 569 136 78 569 104 13 261 29 18 23.1 2 0.05 0.23
2009 0.3 0.43 0.16 0.2 46 615 215 97 668 91 27 245 48 11 11.3 6 0.13 0.23
2010 0.4 0.37 0.16 0.21 74 689 210 108 776 83 33 242 50 17 15.7 4 0.05 0.2
2011 0.27 0.47 0.14 0.17 45 734 86 105 882 120 32 261 45 14 13.3 9 0.2 0.25
2012 0.23 0.5 0.17 0.25 34 768 60 130 1012 119 27 256 65 18 13.8 8 0.24 0.26
2013 0.37 0.52 0.22 0.36 32 800 106 172 1184 79 29 236 86 14 8.1 2 0.06 0.24
2014 0.5 0.54 0.22 0.38 31 831 92 180 1364 66 33 231 87 21 11.7 10 0.32 0.28
2015 0.52 0.54 0.23 0.29 38 869 107 199 1563 63 33 216 62 24 12.1 14 0.37 0.28
2016 0.62 0.57 0.22 0.36 47 916 73 205 1768 69 43 180 65 38 18.5 18 0.38 0.29
2017 0.32 0.58 0.19 0.3 31 947 66 177 1945 85 27 182 55 17 9.6 16 0.52 0.28
2018 0.79 0.6 0.3 0.45 52 999 46 301 2246 78 62 179 80 65 21.6 41 0.79 0.31
2019 0.36 0.65 0.15 0.21 37 1036 10 151 2397 83 30 199 41 8 5.3 11 0.3 0.38
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
SC: selft citations in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y
50 most cited documents in this series
#YearTitleCited
12002Reverse logistics. (2002). de Brito, Marisa ; Dekker, Rommert ; Flapper, S. D. P., . In: Econometric Institute Research Papers. RePEc:ems:eureir:561.

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79
22014A One Line Derivation of EGARCH. (2014). McAleer, Michael ; Hafner, Christian. In: Econometric Institute Research Papers. RePEc:ems:eureir:51742.

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72
32013Ten Things You Should Know About the Dynamic Conditional Correlation Representation. (2013). McAleer, Michael ; Caporin, Massimiliano. In: Econometric Institute Research Papers. RePEc:ems:eureir:40377.

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59
42009Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies. (2009). yuan, yun ; McAleer, Michael ; Hammoudeh, Shawkat ; Thompson, M. A.. In: Econometric Institute Research Papers. RePEc:ems:eureir:17308.

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50
52008Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets. (2008). yuan, yun ; McAleer, Michael ; Hammoudeh, Shawkat. In: Econometric Institute Research Papers. RePEc:ems:eureir:13780.

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43
62015Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2015). McAleer, Michael ; Li, Yong ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:78349.

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42
72005Operations research in passenger railway transportation. (2005). Huisman, Dennis ; Vromans, M. J. C. M., ; Lentink, R. M. ; Kroon, L. G.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1941.

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41
81998Does the absence of cointegration explain the typical findings in long horizon regressions?. (1998). van Dijk, Dick ; Berben, Robert-Paul ; Berben, R-P., ; van Dijk, D. J. C., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1555.

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41
92010What Makes a Great Journal Great in Economics? The Singer Not the Song.. (2010). Oxley, Les ; McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:20158.

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35
102011How are Journal Impact, Prestige and Article Influence Related? An Application to Neuroscience. (2011). Oxley, Les ; McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:22236.

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35
112004Quasi-random simulation of discrete choice models. (2004). Train, Kenneth ; Sandor, Z.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1829.

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33
122006Optimal maintenance of multi-component systems: a review. (2006). Nicolai, Robin ; Dekker, Rommert. In: Econometric Institute Research Papers. RePEc:ems:eureir:7975.

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31
132009Identifying Shocks in Regionally Integrated East Asian Economies with Structural VaR and Block Exogeneity. (2009). Zhang, Zhaoyong ; McAleer, Michael ; Sato, K.. In: Econometric Institute Research Papers. RePEc:ems:eureir:17522.

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30
142010Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach. (2010). Wong, Wing-Keung ; McAleer, Michael ; Lean, Hooi Hooi. In: Econometric Institute Research Papers. RePEc:ems:eureir:18038.

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29
152016Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:79923.

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27
162007Disruption management in passenger railway transportation.. (2007). Huisman, Dennis ; Nielsen, M. N. ; Kroon, L. G. ; Jespersen-Groth, J. ; Clausen, J. ; Maroti, G. ; Potthoff, D.. In: Econometric Institute Research Papers. RePEc:ems:eureir:8527.

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27
172009Modelling conditional correlations for risk diversification in crude oil markets. (2009). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:16105.

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25
182009Block Structure Multivariate Stochastic Volatility Models. (2009). Caporin, Massimiliano ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:17523.

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24
192010Model Selection and Testing of Conditional and Stochastic Volatility Models. (2010). McAleer, Michael ; Caporin, Massimiliano. In: Econometric Institute Research Papers. RePEc:ems:eureir:20940.

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24
202003Multiple-Depot Integrated Vehicle and Crew Scheduling. (2003). Huisman, Dennis ; Wagelmans, A. P. M., ; Wagelmans,A. P. M., ; Freling, R.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1684.

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22
21The new Dutch timetable: The OR revolution. (2008). Huisman, Dennis ; Schrijver, A. ; Ybema, R. ; Fischetti, M. ; Kroon, L. G. ; Maroti, G. ; Fioole, P-J., ; Abbink, E. J. W., ; Steenbeek, A.. In: Econometric Institute Research Papers. RePEc:ems:eureir:13767.

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21
22Delay Management with Re-Routing of Passengers. (2010). Huisman, Dennis ; Schobel, A. ; Schmidt, M. ; Dollevoet, T. A. B., . In: Econometric Institute Research Papers. RePEc:ems:eureir:19445.

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21
232015On the Invertibility of EGARCH(p,q). (2015). McAleer, Michael ; Martinet, G. G.. In: Econometric Institute Research Papers. RePEc:ems:eureir:78126.

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20
241999On SETAR non- linearity and forecasting. (1999). Smith, Jeremy ; Franses, Philip Hans ; Clements, Michael ; Franses, Ph. H. B. F., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1567.

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20
252003Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy. (2003). van Dijk, Dick ; Franses, Philip Hans ; Franses, Ph. H. B. F., ; van Dijk, D. J. C., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1703.

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20
262008Bayesian near-boundary analysis in basic macroeconomic time series models. (2008). van Dijk, Herman ; Segers, Rene ; Ravazzolo, Francesco ; De Pooter, Michiel. In: Econometric Institute Research Papers. RePEc:ems:eureir:13055.

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20
272008Column generation with dynamic duty selection for railway crew rescheduling. (2008). Huisman, Dennis ; Desaulniers, G. ; Potthoff, D.. In: Econometric Institute Research Papers. RePEc:ems:eureir:14423.

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20
282017Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, G ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:100331.

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19
292000Smooth transition autoregressive models - A survey of recent developments. (2000). van Dijk, Dick ; Teräsvirta, Timo ; Franses, Philip Hans ; Franses, Ph. H. B. F., ; van Dijk, D. J. C., ; TERaSVIRTA, T.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1656.

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19
302003A generalized dynamic conditional correlation model for many asset returns. (2003). Hafner, Christian ; Franses, Philip Hans ; Franses, Ph. H. B. F., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1718.

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19
312015The Fundamental Equation in Tourism Finance. (2015). McAleer, Michael. In: Econometric Institute Research Papers. RePEc:ems:eureir:79221.

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18
322013Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence. (2013). Oxley, Les ; McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:39179.

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18
332012Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. (2012). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:32528.

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17
342015Informatics, Data Mining, Econometrics and Financial Economics: A Connection. (2015). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:79219.

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17
352017The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:100416.

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17
362002Changes in variability of the business cycle in the G7 countries. (2002). van Dijk, Dick ; Osborn, Denise ; van Dijk, D. J. C., ; Sensier, M.. In: Econometric Institute Research Papers. RePEc:ems:eureir:551.

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16
372010Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets. (2010). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chun-Ping. In: Econometric Institute Research Papers. RePEc:ems:eureir:18329.

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16
382003Forecasting industrial production with linear, nonlinear, and structural change models. (2003). van Dijk, Dick ; Siliverstovs, Boriss ; van Dijk, D. J. C., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1716.

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16
392008A decision rule to minimize daily capital charges in forecasting value-at-risk. (2008). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Jimenez-Martin, J-A., . In: Econometric Institute Research Papers. RePEc:ems:eureir:13986.

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16
40Testing for changes in volatility in heteroskedastic time series - a further examination. (2004). van Dijk, Dick ; De Pooter, Michiel ; van Dijk, D. J. C., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1627.

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15
412005Dynamic lot sizing with product returns. (2005). van den Heuvel, Wilco ; Teunter, R. H. ; Bayindir, Z. P.. In: Econometric Institute Research Papers. RePEc:ems:eureir:6557.

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15
422006Bayesian Model Averaging in the Presence of Structural Breaks. (2006). van Dijk, Dick ; Ravazzolo, Francesco ; Paap, Richard ; Franses, Philip Hans ; van Dijk, D. J. C., ; Franses, Ph. H. B. F., . In: Econometric Institute Research Papers. RePEc:ems:eureir:7904.

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15
431996A Review of Multi-Component Maintenance Models with Economic Dependence. (1996). Dekker, Rommert ; van der Duyn Schouten, F. A., ; Wildeman, R. E.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1372.

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14
442009Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan. (2009). McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:17313.

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14
452018The fiction of full BEKK: Pricing fossil fuels and carbon emissions. (2018). McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:105431.

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14
462000Asymmetric and common absorption of shocks in nonlinear autoregressive models. (2000). van Dijk, Dick ; Franses, Philip Hans ; Franses, Ph. H. B. F., ; van Dijk, D. J. C., ; Boswijk, H. P.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1637.

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14
472012Robust Ranking of Journal Quality: An Application to Economics. (2012). McAleer, Michael ; Maasoumi, Esfandiar ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:32136.

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14
482004Scheduling preventive railway maintenance activities. (2004). Huisman, Dennis ; Dekker, Rommert ; Budai-Balke, G.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1632.

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14
492011Risk 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 ; Chang, C-L., ; Jimenez-Martin, J-A., . In: Econometric Institute Research Papers. RePEc:ems:eureir:22807.

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14
502006Comparison of heuristic approaches for the multiple depot vehicle scheduling problem. (2006). Huisman, Dennis ; Hertz, A. ; Desaulniers, G. ; Pepin, A. S.. In: Econometric Institute Research Papers. RePEc:ems:eureir:8069.

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13
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12017Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, G ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:100331.

Full description at Econpapers || Download paper

19
22014A One Line Derivation of EGARCH. (2014). McAleer, Michael ; Hafner, Christian. In: Econometric Institute Research Papers. RePEc:ems:eureir:51742.

Full description at Econpapers || Download paper

19
32013Ten Things You Should Know About the Dynamic Conditional Correlation Representation. (2013). McAleer, Michael ; Caporin, Massimiliano. In: Econometric Institute Research Papers. RePEc:ems:eureir:40377.

Full description at Econpapers || Download paper

18
42017The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:100416.

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15
52015Informatics, Data Mining, Econometrics and Financial Economics: A Connection. (2015). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:79219.

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14
62018The fiction of full BEKK: Pricing fossil fuels and carbon emissions. (2018). McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:105431.

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14
72010Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach. (2010). Wong, Wing-Keung ; McAleer, Michael ; Lean, Hooi Hooi. In: Econometric Institute Research Papers. RePEc:ems:eureir:18038.

Full description at Econpapers || Download paper

14
82016Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:79923.

Full description at Econpapers || Download paper

13
92005Operations research in passenger railway transportation. (2005). Huisman, Dennis ; Vromans, M. J. C. M., ; Lentink, R. M. ; Kroon, L. G.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1941.

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12
102010Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets. (2010). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chun-Ping. In: Econometric Institute Research Papers. RePEc:ems:eureir:18329.

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11
112017Stationarity and Invertibility of a Dynamic Correlation Matrix. (2017). McAleer, Michael. In: Econometric Institute Research Papers. RePEc:ems:eureir:101761.

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10
122018Management 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.

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10
132002Reverse logistics. (2002). de Brito, Marisa ; Dekker, Rommert ; Flapper, S. D. P., . In: Econometric Institute Research Papers. RePEc:ems:eureir:561.

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10
142016Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization. (2016). Wong, Wing-Keung ; McAleer, Michael ; Bai, Z ; Li, H. In: Econometric Institute Research Papers. RePEc:ems:eureir:80106.

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9
152015The Fundamental Equation in Tourism Finance. (2015). McAleer, Michael. In: Econometric Institute Research Papers. RePEc:ems:eureir:79221.

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9
162018Financial Credit Risk Evaluation Based on Core Enterprise Supply Chains. (2018). Wong, Wing-Keung ; McAleer, Michael ; Wong, W.-K., ; Mou, W M. In: Econometric Institute Research Papers. RePEc:ems:eureir:111615.

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7
172009Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies. (2009). yuan, yun ; McAleer, Michael ; Hammoudeh, Shawkat ; Thompson, M. A.. In: Econometric Institute Research Papers. RePEc:ems:eureir:17308.

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7
182015Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2015). McAleer, Michael ; Li, Yong ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:78349.

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6
192019The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures. (2019). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:115614.

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6
202018Market Timing with Moving Averages. (2018). McAleer, Michael ; Laurila, H ; Ilomaki, J. In: Econometric Institute Research Papers. RePEc:ems:eureir:110015.

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6
212019What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model. (2019). McAleer, Michael. In: Econometric Institute Research Papers. RePEc:ems:eureir:115611.

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5
222008Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets. (2008). yuan, yun ; McAleer, Michael ; Hammoudeh, Shawkat. In: Econometric Institute Research Papers. RePEc:ems:eureir:13780.

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5
232012Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. (2012). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:32528.

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5
242016Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers. (2016). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:98648.

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5
252018Simple Market Timing with Moving Averages. (2018). McAleer, Michael ; Laurila, H ; Ilomaki, J. In: Econometric Institute Research Papers. RePEc:ems:eureir:107290.

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5
262006Optimal maintenance of multi-component systems: a review. (2006). Nicolai, Robin ; Dekker, Rommert. In: Econometric Institute Research Papers. RePEc:ems:eureir:7975.

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5
272009Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan. (2009). McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:17313.

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4
282009Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan. (2009). McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:17312.

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4
292004Quasi-random simulation of discrete choice models. (2004). Train, Kenneth ; Sandor, Z.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1829.

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4
302016The most efficient critical vaccination coverage and its equivalence with maximizing the herd effect. (2016). Dekker, Rommert ; Duijzer, E ; Wallinga, J ; van Jaarsveld, W L. In: Econometric Institute Research Papers. RePEc:ems:eureir:79912.

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4
312017Theory and Application of an Economic Performance Measure of Risk. (2017). Wong, Wing-Keung ; McAleer, Michael ; Guo, Xu ; Niu, C. In: Econometric Institute Research Papers. RePEc:ems:eureir:100417.

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4
322018Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin ; Wong, W.-K., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:112499.

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4
332009Identifying Shocks in Regionally Integrated East Asian Economies with Structural VaR and Block Exogeneity. (2009). Zhang, Zhaoyong ; McAleer, Michael ; Sato, K.. In: Econometric Institute Research Papers. RePEc:ems:eureir:17522.

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4
342019What 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: Econometric Institute Research Papers. RePEc:ems:eureir:115612.

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4
352006Comparison of heuristic approaches for the multiple depot vehicle scheduling problem. (2006). Huisman, Dennis ; Hertz, A. ; Desaulniers, G. ; Pepin, A. S.. In: Econometric Institute Research Papers. RePEc:ems:eureir:8069.

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4
362010Delay Management with Re-Routing of Passengers. (2010). Huisman, Dennis ; Schobel, A. ; Schmidt, M. ; Dollevoet, T. A. B., . In: Econometric Institute Research Papers. RePEc:ems:eureir:19445.

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4
372011Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan. (2011). McAleer, Michael ; Chang, Chia-Lin ; Lim, C. H. ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:25611.

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4
382007Disruption management in passenger railway transportation.. (2007). Huisman, Dennis ; Nielsen, M. N. ; Kroon, L. G. ; Jespersen-Groth, J. ; Clausen, J. ; Maroti, G. ; Potthoff, D.. In: Econometric Institute Research Papers. RePEc:ems:eureir:8527.

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4
392000Smooth transition autoregressive models - A survey of recent developments. (2000). van Dijk, Dick ; Teräsvirta, Timo ; Franses, Philip Hans ; Franses, Ph. H. B. F., ; van Dijk, D. J. C., ; TERaSVIRTA, T.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1656.

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3
402007Predictive gains from forecast combinations using time-varying model weights. (2007). Verbeek, Marno ; van Dijk, Herman ; Ravazzolo, Francesco ; Verbeek, M. J. C. M., . In: Econometric Institute Research Papers. RePEc:ems:eureir:10451.

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3
412008Column generation with dynamic duty selection for railway crew rescheduling. (2008). Huisman, Dennis ; Desaulniers, G. ; Potthoff, D.. In: Econometric Institute Research Papers. RePEc:ems:eureir:14423.

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3
422005Dynamic lot sizing with product returns. (2005). van den Heuvel, Wilco ; Teunter, R. H. ; Bayindir, Z. P.. In: Econometric Institute Research Papers. RePEc:ems:eureir:6557.

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3
432012An Iterative Optimization Framework for Delay Management and Train Scheduling. (2012). Huisman, Dennis ; D'Ariano, A. ; Corman, F. ; Dollevoet, T. A. B., . In: Econometric Institute Research Papers. RePEc:ems:eureir:32416.

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3
442004Fractional Programming. (2004). Frenk, J. B. G., ; Schaible, S.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1610.

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3
452003Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy. (2003). van Dijk, Dick ; Franses, Philip Hans ; Franses, Ph. H. B. F., ; van Dijk, D. J. C., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1703.

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3
462009Modelling conditional correlations for risk diversification in crude oil markets. (2009). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:16105.

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3
472017The Fiction of Full BEKK. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:99514.

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3
482003Multiple-Depot Integrated Vehicle and Crew Scheduling. (2003). Huisman, Dennis ; Wagelmans, A. P. M., ; Wagelmans,A. P. M., ; Freling, R.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1684.

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3
492013Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence. (2013). Oxley, Les ; McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:39179.

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3
502018Long Run Returns Predictability and Volatility with Moving Averages. (2018). McAleer, Michael ; Chang, Chia-Lin ; Laurila, H ; Ilomaki, J ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:111556.

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3
Citing documents used to compute impact factor: 30
YearTitle
2019Market Risk Analysis of Energy in Vietnam. (2019). Vo, Duc ; McAleer, Michael ; Nguyen, Thang Cong ; Tran, Ngoc Phu. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:4:p:112-:d:283415.

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

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

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

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

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2019The accuracy of asymmetric GARCH model estimation. (2019). Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: International Economics. RePEc:cii:cepiie:2019-q1-157-11.

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2019Leverage effect in energy futures revisited. (2019). Carnero, M. Angeles ; Perez, Ana. In: Energy Economics. RePEc:eee:eneeco:v:82:y:2019:i:c:p:237-252.

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

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2019An empirical investigation of volatility dynamics in the cryptocurrency market. (2019). Katsiampa, Paraskevi. In: Research in International Business and Finance. RePEc:eee:riibaf:v:50:y:2019:i:c:p:322-335.

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2019A Branch-and-Cut-and-Price algorithm for the Multi-trip Separate Pickup and Delivery Problem with Time Windows at Customers and Facilities. (2019). Crainic, Teodor Gabriel ; Cacchiani, Valentina ; Bettinelli, Andrea ; Vigo, Daniele. In: European Journal of Operational Research. RePEc:eee:ejores:v:279:y:2019:i:3:p:824-839.

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

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

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

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2019Modeling Latent Carbon Emission Prices for Japan: Theory and Practice. (2019). McAleer, Michael ; Chang, Chia-Lin. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:21:p:4222-:d:283913.

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2019Fake News and Propaganda: Trumps Democratic America and Hitlers National Socialist (Nazi) Germany. (2019). McAleer, Michael ; Allen, David. In: Econometric Institute Research Papers. RePEc:ems:eureir:115615.

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2019Data cloning estimation for asymmetric stochastic volatility models. (2019). Veiga, Helena ; de Zea, Patricia ; Marin, Juan Miguel ; Lopes, Maria Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28214.

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2019The short- and long-run efficiency of energy, precious metals, and base metals markets: Evidence from the exponential smooth transition autoregressive models. (2019). Cagli, Efe Caglar ; Mandaci, Pinar Evrim ; Taskin, Dilvin. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303354.

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

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

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

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2019Analysis and Comparison of Economic and Financial Risk Sources in SMEs of the Visegrad Group and Serbia. (2019). Lakner, Zoltan ; Virglerova, Zuzana ; Kovacs, Sandor ; Olah, Judit ; Popp, Jozsef ; Kovacova, Maria. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:7:p:1853-:d:217845.

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2019The Three Musketeers Relationships between Hong Kong, Shanghai and Shenzhen Before and After Shanghai–Hong Kong Stock Connect. (2019). Wong, Wing-Keung ; Chui, David Kam-Hung ; Chow, Nikolai Sheung-Chi ; Cheng, Andy Wui-Wing. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:14:p:3845-:d:248396.

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2019Optimal Solution Techniques in Decision Sciences A Review. (2019). Wong, Wing-Keung ; Ho, Thi Diem-Chinh ; Tran, Tuan-Kiet ; Pho, Kim-Hung. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:23:y:2019:i:1:p:114-161.

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2019MOMENT GENERATING FUNCTION, EXPECTATION AND VARIANCE OF UBIQUITOUS DISTRIBUTIONS WITH APPLICATIONS IN DECISION SCIENCES: A REVIEW. (2019). Wong, Wing-Keung ; Tran, Tuan-Kiet ; Ho, Thi Diem-Chinh ; Pho, Kim-Hung. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:23:y:2019:i:2:p:65-150.

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2019What Killed HTC and Kept Apple Alive? Brand Sustainability Comparison of Two Asian Countries. (2019). Seitz, Victoria ; Do, Ben-Roy ; Dadvari, Alaleh ; Chau, Ka Yin ; Moslehpour, Massoud. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:24:p:6973-:d:295070.

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

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

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2019Pre-Feasibility Study of Sarawak-West Kalimantan Cross-Border Value Chains. (2019). Lord, Montague ; Chang, Susan. In: MPRA Paper. RePEc:pra:mprapa:97376.

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2019A Sustainability-Oriented Enhanced Indexation Model with Regime Switching and Cardinality Constraint. (2019). Liu, Jia ; Zhuang, Xinkai ; Chen, Zhiping. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:15:p:4055-:d:252223.

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2019Incorporating Realized Quarticity into a Realized Stochastic Volatility Model. (2019). Morimoto, Takayuki ; Nugroho, Didit Budi. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:26:y:2019:i:4:d:10.1007_s10690-019-09276-2.

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

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

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

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

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

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

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

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

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2018Big 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.

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

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2018Establishing 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.

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

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2018Why did Warrant Markets Close in China but not Taiwan?. (2018). Wong, Wing-Keung ; McAleer, Michael ; Lean, Hooi Hooi ; Tsai, F.-T., ; Wong, W.-K., . In: Econometric Institute Research Papers. RePEc:ems:eureir:107291.

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

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

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2018Long Run Returns Predictability and Volatility with Moving Averages. (2018). McAleer, Michael ; Chang, Chia-Lin ; Laurila, H ; Ilomaki, J ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:111556.

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2018Market Timing with Moving Averages for Fossil Fuel and Renewable Energy Stocks. (2018). McAleer, Michael ; Chang, Chia-Lin ; Laurila, H ; Ilomaki, J ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:111616.

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2018Determining and Evaluating Alternative Line Plans in (Near) Out-of-Control Situations. (2018). Huisman, Dennis ; Bouman, P C ; van Lieshout, R N. In: Econometric Institute Research Papers. RePEc:ems:eureir:112228.

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

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

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

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

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2018Long Run Returns Predictability and Volatility with Moving Averages. (2018). McAleer, Michael ; Chang, Chia-Lin ; Laurila, Hannu ; Ilomaki, Jukka. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:105-:d:171554.

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2018Why 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.

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2018Organizational Climate and Work Style: The Missing Links for Sustainability of Leadership and Satisfied Employees. (2018). Moslehpour, Massoud ; Wong, Wing-Keung ; Mou, Weiming ; Altantsetseg, Purevdulam. In: Sustainability. RePEc:gam:jsusta:v:11:y:2018:i:1:p:125-:d:193424.

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

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

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

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

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2018Why did Warrant Markets Close in China but not Taiwan?. (2018). Wong, Wing-Keung ; McAleer, Michael ; Lean, Hooi Hooi ; Tsai, Feng-Tse. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180051.

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

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

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

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

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2018Market Timing with Moving Averages for Fossil Fuel and Renewable Energy Stocks. (2018). McAleer, Michael ; Chang, Chia-Lin ; Laurila, Hannu ; Ilomaki, Jukka. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1824.

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

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

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

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Recent citations received in 2017
YearCiting document
2017A Generalized Email Classification System for Workflow Analysis. (2017). McAleer, Michael ; Chang, Chia-Lin ; Prexawanprasut, T ; Chaipornkaew, P. In: Econometric Institute Research Papers. RePEc:ems:eureir:101762.

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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, S. In: Econometric Institute Research Papers. RePEc:ems:eureir:102576.

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2017The Effects of Real Exchange Rates and Income on International Tourism Demand for the USA from Some European Union Countries. (2017). Ongan, Serdar ; Ozdemir, Dilek ; Iik, Cem. In: Economies. RePEc:gam:jecomi:v:5:y:2017:i:4:p:51-:d:123300.

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2017An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors. (2017). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2017:i:1:p:2-:d:124175.

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2017GARCH Modelling of Cryptocurrencies. (2017). Chu, Jeffrey ; Osterrieder, Joerg ; Nadarajah, Saralees ; Chan, Stephen. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:4:p:17-:d:113895.

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2017Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, Guangdong . In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:10:p:1789-:d:113954.

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2017A Generalized Email Classification System for Workflow Analysis. (2017). McAleer, Michael ; Chang, Chia-Lin ; Prexawanprasut, Takorn ; Chaipornkaew, Piyanuch . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170066.

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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170105.

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

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

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

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Recent citations received in 2016
YearCiting document
2016Management Science, Economics and Finance: A Connection. (2016). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:93113.

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2016Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:93115.

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2016Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Y. In: Econometric Institute Research Papers. RePEc:ems:eureir:93116.

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2016Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China. (2016). McAleer, Michael ; Chang, Chia-Lin ; Tian, J. In: Econometric Institute Research Papers. RePEc:ems:eureir:93117.

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2016An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:93118.

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2016Making Markowitzs Portfolio Optimization Theory Practically Useful. (2016). Wong, Wing-Keung ; Bai, Zhi Dong ; Liu, Huixia . In: MPRA Paper. RePEc:pra:mprapa:74360.

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2016Management Science, Economics and Finance: A Connection. (2016). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160040.

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2016Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160046.

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2016Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yanghuiting . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160047.

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2016An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160052.

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2016Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China. (2016). McAleer, Michael ; Chang, Chia-Lin ; Tian, Jiarong . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160053.

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2016Management science, economics and finance: A connection. (2016). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1607.

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2016Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China. (2016). McAleer, Michael ; Chang, Chia-Lin ; Tian, Jiarong . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1609.

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2016Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yanghuiting . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1610.

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2016Volatility spillovers for spot, futures, and ETF prices in energy and agriculture. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1611.

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2016An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1612.

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2016Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yu-Ann. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1704.

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