Michael McAleer
Personal Details
First Name: Michael
Middle Name:
Last Name: McAleer
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RePEc Short-ID: pmc90
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Affiliation
- Econometrisch Instituut
Faculteit der Economische Wetenschappen
Erasmus Universiteit Rotterdam - Location: Rotterdam, Netherlands
Homepage: http://www.econometric-institute.org/
Email:
Phone: 010 - 40 81278
Fax: 010 - 40 89162
Postal: Burgemeester Oudlaan 50, 3062 PA Rotterdam
Handle: RePEc:edi:eieurnl (more details at EDIRC)
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This author is featured on the following reading lists, publication compilations or Wikipedia entries:Works
Working papers
- David E Allen & Mohammad.A. Ashraf & Michael McAleer & Robert J Powell & Abhay K Singh, 2013.
"Financial Dependence Analysis: Applications of Vine Copulae,"
KIER Working Papers
843, Kyoto University, Institute of Economic Research.
- David Allen & Mohammad.A. Ashraf & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2013. "Financial Dependence Analysis: Applications of Vine Copulae," Documentos del Instituto Complutense de Análisis Económico 2013-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- David.E. Allen & Mohammad.A. Ashraf & Michael. McAleer & Robert.J. Powell & Abhay K. Singh, 2013. "Financial Dependence Analysis: Applications of Vine Copulae," Tinbergen Institute Discussion Papers 13-022/III, Tinbergen Institute.
- David E Allen & Mohammad A. Ashraf & Michael McAleer & Robert Powell & Abhay Kumar Singh, 2013. "Financial Dependence Analysis: Applications of Vine Copulae," Working papers 2013-02, Edith Cowan University, School of Accounting Finance & Economics.
- Guorui Bian & Michael McAleer & Wing-Keung Wong, 2013. "Robust Estimation and Forecasting of the Capital Asset Pricing Model," Tinbergen Institute Discussion Papers 13-036/III, Tinbergen Institute.
- David E. Allen & Abhay K. Singh & Robert J. Powell & Michael McAleer & James Taylor & Lyn Thomas, 2013. "Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression," Tinbergen Institute Discussion Papers 13-020/III, Tinbergen Institute.
- Chia-Lin Chang & Bert de Bruijn & Philip Hans Franses & Michael McAleer, 2013. "Analyzing Fixed-Event Forecast Revisions," Tinbergen Institute Discussion Papers 13-057/III, Tinbergen Institute.
- Manabu Asai & Michael McAleer, 2013. "A Fractionally Integrated Wishart Stochastic Volatility Model," Tinbergen Institute Discussion Papers 13-025/III, Tinbergen Institute.
- Lan-Fen Chu & Michael McAleer & Chi-Chung Chen, 2013. "How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?," Tinbergen Institute Discussion Papers 13-007/III, Tinbergen Institute.
- David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2013. "A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500," Tinbergen Institute Discussion Papers 13-018/III, Tinbergen Institute.
- Manabu Asai & Michael McAleer, 2013.
"A Fractionally Integrated Wishart Stochastic Volatility Model,"
Documentos del Instituto Complutense de Análisis Económico
2013-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Manabu Asai & Michael McAleer, 2013. "A Fractionally Integrated Wishart Stochastic Volatility Model," KIER Working Papers 848, Kyoto University, Institute of Economic Research.
- Manabu Asai & Michael McAleer, 2013. "A Fractionally Integrated Wishart Stochastic Volatility Model," Tinbergen Institute Discussion Papers 13-025/III, Tinbergen Institute.
- David E. Allen & Michael McAleer & R.J. Powell & A.K. Singh, 2013. "Volatility Spillovers from the US to Australia and China across the GFC," Tinbergen Institute Discussion Papers 13-009/III, Tinbergen Institute, revised 01 Feb 2013.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2013. "Journal Impact Factor, Eigenfactor, Journal Influence and Article Influence," Tinbergen Institute Discussion Papers 13-002/III, Tinbergen Institute.
- Chia-Lin Chang & Hui-Kuang Hsu & Michael McAleer, 2013. "Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism," Tinbergen Institute Discussion Papers 13-008/III, Tinbergen Institute.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2013.
"Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence,"
KIER Working Papers
852, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2013. "Coercive Journal Self-citations, Impact Factor, Journal Influence and Article Influence," Working Papers in Economics 13/12, University of Canterbury, Department of Economics and Finance.
- Chang, C.L. & McAleer, M.J. & Oxley, L., . "Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence," Econometric Institute Report EI2013-09, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2013. "Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence," Tinbergen Institute Discussion Papers 13-040/III, Tinbergen Institute.
- Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about DCC," Tinbergen Institute Discussion Papers 13-048/III, Tinbergen Institute.
- Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Tinbergen Institute Discussion Papers 13-010/III, Tinbergen Institute.
- Chia-Lin Chang & David Allen & Michael McAleer, 2013.
"Recent Developments in Financial Economics and Econometrics: An Overview,"
Documentos del Instituto Complutense de Análisis Económico
2013-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chia-Lin Chang & David Allen & Michael McAleer, 2013. "Recent Developments in Financial Economics and Econometrics: An Overview," Tinbergen Institute Discussion Papers 13-021/III, Tinbergen Institute.
- Chia-Lin Chang & David Allen & Michael McAleer, 2013. "Recent Developments in Financial Economics and Econometrics: An Overview," Working Papers in Economics 13/06, University of Canterbury, Department of Economics and Finance.
- Chia-Lin Chang & David E Allen & Michael McAleer, 2013. "Recent Developments in Financial Economics and Econometrics:An Overview," KIER Working Papers 842, Kyoto University, Institute of Economic Research.
- Chang, C.L. & Allen, D. & McAleer, M.J., . "Recent Developments in Financial Economics and Econometrics: An Overview," Econometric Institute Report EI 2013-03, Erasmus University Rotterdam, Econometric Institute.
- Lan-Fen Chu & Michael McAleer & Ching-Chung Chang, 2013. "Statistical Modelling of Extreme Rainfall in Taiwan," Tinbergen Institute Discussion Papers 13-006/III, Tinbergen Institute.
- Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing," Tinbergen Institute Discussion Papers 13-003/III, Tinbergen Institute.
- Manabu Asai & Michael McAleer, 2013.
"Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing,"
KIER Working Papers
840, Kyoto University, Institute of Economic Research.
- Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing," Tinbergen Institute Discussion Papers 13-003/III, Tinbergen Institute.
- Manabu Asai & Michael McAleer, 2012. "Leverage and Feedback Eects on Multifactor Wishart Stochastic Volatility for Option Pricing," Documentos del Instituto Complutense de Análisis Económico 2013-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chia-Lin Chang & David Allen & Michael McAleer, 2013. "Recent Developments in Financial Economics and Econometrics: An Overview," Tinbergen Institute Discussion Papers 13-021/III, Tinbergen Institute.
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2013. "Are Forecast Updates Progressive?," Tinbergen Institute Discussion Papers 13-049/III, Tinbergen Institute.
- Marcin Jaskowski & Michael McAleer, 2013. "Estimating Implied Recovery Rates from the Term Structure of CDS Spreads," Tinbergen Institute Discussion Papers 13-005/III, Tinbergen Institute.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2013. "Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence," Tinbergen Institute Discussion Papers 13-040/III, Tinbergen Institute.
- David E. Allen & Abhay K. Singh & Robert J. Powell & Michael McAleer & James Taylor & Lyn Thomas, 2013. "Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression," Tinbergen Institute Discussion Papers 13-020/III, Tinbergen Institute.
- Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," Tinbergen Institute Discussion Papers 13-024/III, Tinbergen Institute.
- Massimiliano Caporin & Michael McAleer, 2013.
"Ten Things You Should Know About DCC,"
Working Papers in Economics
13/16, University of Canterbury, Department of Economics and Finance.
- Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about DCC," Tinbergen Institute Discussion Papers 13-048/III, Tinbergen Institute.
- Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," KIER Working Papers 854, Kyoto University, Institute of Economic Research.
- Caporin, M. & McAleer, M.J., . "Ten Things You Should Know About DCC," Econometric Institute Report EI 2013-13, Erasmus University Rotterdam, Econometric Institute.
- David.E. Allen & Mohammad.A. Ashraf & Michael. McAleer & Robert.J. Powell & Abhay K. Singh, 2013. "Financial Dependence Analysis: Applications of Vine Copulae," Tinbergen Institute Discussion Papers 13-022/III, Tinbergen Institute.
- Chia-Lin Chang & Michael McAleer, 2013.
"What Do Experts Know About Forecasting Journal Quality? A Comparison with ISI Research Impact in Finance,"
Documentos del Instituto Complutense de Análisis Económico
2013-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, revised Feb 2013.
- Chang, C.L. & McAleer, M.J., . "What Do Experts Know About Forecasting Journal Quality? A Comparison with ISI Research Impact in Finance?," Econometric Institute Report EI 2013-05, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer, 2013. "What Do Experts Know About Forecasting Journal Quality? A Comparison with ISI Research Impact in Finance," Working Papers in Economics 13/10, University of Canterbury, Department of Economics and Finance.
- Chia-Lin Chang & Michael McAleer, 2013. "What Do Experts Know About Forecasting Journal Quality? A Comparison with ISI Research Impact in Finance," KIER Working Papers 851, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Michael McAleer, 2013. "What Do Experts Know About Forecasting Journal Quality? A Comparison with ISI Research Impact in Finance," Tinbergen Institute Discussion Papers 13-029/III, Tinbergen Institute.
- Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013.
"Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility,"
KIER Working Papers
844, Kyoto University, Institute of Economic Research.
- Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013. "Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," Working Papers in Economics 13/07, University of Canterbury, Department of Economics and Finance.
- Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," Tinbergen Institute Discussion Papers 13-024/III, Tinbergen Institute.
- Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," Documentos del Instituto Complutense de Análisis Económico 2013-06, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, revised Jan 2013.
- Chen, P.Y. & Chang, C.L. & Chen, C.-C. & McAleer, M.J., . "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," Econometric Institute Report EI 2013-04, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer, 2013. "What Do Experts Know About Forecasting Journal Quality? A Comparison with ISI Research Impact in Finance," Tinbergen Institute Discussion Papers 13-029/III, Tinbergen Institute.
- Shawkat Hammoudeh & Michael McAleer, 2012.
"Risk Management and Financial Derivatives: An Overview,"
Documentos del Instituto Complutense de Análisis Económico
2012-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Hammoudeh, S.M. & McAleer, M.J., 2012. "Risk Management and Financial Derivatives: An Overview," Econometric Institute Report EI 2012-14, Erasmus University Rotterdam, Econometric Institute.
- Michael McAleer & Shawkat Hammoudeh, 2012. "Risk Management and Financial Derivatives:An Overview," KIER Working Papers 816, Kyoto University, Institute of Economic Research.
- Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Working Papers in Economics 12/10, University of Canterbury, Department of Economics and Finance.
- Lan-Fen Chu & Michael McAleer & Szu-Hua Wang, 2012. "Statistical Modelling of Recent Changes in Extreme Rainfall in Taiwan," Tinbergen Institute Discussion Papers 13-004/III, Tinbergen Institute.
- Lan-Fen Chu & Michael McAleer & Ching-Chung Chang, 2012.
"Statistical Modelling of Extreme Rainfall in Taiwan,"
KIER Working Papers
835, Kyoto University, Institute of Economic Research.
- Lan-Fen Chu & Michael McAleer & Ching-Chung Chang, 2013. "Statistical Modelling of Extreme Rainfall in Taiwan," Working Papers in Economics 13/09, University of Canterbury, Department of Economics and Finance.
- Chu, L.F. & McAleer, M.J., . "Statistical Modelling of Extreme Rainfall in Taiwan," Econometric Institute Report EI 2012-35, Erasmus University Rotterdam, Econometric Institute.
- Lan-Fen Chu & Michael McAleer & Ching-Chung Chang, 2012. "Statistical Modelling of Extreme Rainfall in Taiwan," Documentos del Instituto Complutense de Análisis Económico 2012-27, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Lan-Fen Chu & Michael McAleer & Ching-Chung Chang, 2013. "Statistical Modelling of Extreme Rainfall in Taiwan," Tinbergen Institute Discussion Papers 13-006/III, Tinbergen Institute.
- Chia-Lin Chang & Esfandiar Maasoumi & Michael McAleer, 2012.
"Robust Ranking of Journal Quality: An Application to Economics,"
Emory Economics
1204, Department of Economics, Emory University (Atlanta).
- Chia-Lin Chang & Esfandiar Maasoumi & Michael McAleer, 2012. "Robust Ranking of Journal Quality: An Application to Economics," Working Papers in Economics 12/05, University of Canterbury, Department of Economics and Finance.
- Michael McAleer & Chia-Lin Chang & Esfandiar Maasoumi, 2012. "Robust Ranking of Journal Quality:An Application to Economics," KIER Working Papers 813, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Esfandiar Maasoumi & Michael McAleer, 2012. "Robust Ranking of Journal Quality: An Application to Economics," Documentos del Instituto Complutense de Análisis Económico 2012-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, revised Mar 2012.
- Chang, C-L. & McAleer, M.J. & Maasoumi, E., 2012. "Robust Ranking of Journal Quality: An Application to Economics," Econometric Institute Report EI 2012-05, Erasmus University Rotterdam, Econometric Institute.
- D.E. Allen & A. Kramadibrata & M. McAleer & R. Powell & A. K. Singh, 2012.
"A non-parametric and entropy based analysis of the relationship between the VIX and S&P500,"
KIER Working Papers
827, Kyoto University, Institute of Economic Research.
- D.E. Allen & A. Kramadibrata & Michael McAleer & R. Powell & A. K. Singh, 2012. "A non-parametric and entropy based analysis of the relationship between the VIX and S&P500," Documentos del Instituto Complutense de Análisis Económico 2012-19, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2013. "A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500," Tinbergen Institute Discussion Papers 13-018/III, Tinbergen Institute.
- David E Allen & Michael McAleer & Robert Powell & Abhay Kumar Singh, 2013. "A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500," Working papers 2013-01, Edith Cowan University, School of Accounting Finance & Economics.
- David E Allen & Michael McAleer & Robert J Powell & Abhay Kumar Singh, 2012.
"Volatility spillovers from the US to Australia and China across the GFC,"
KIER Working Papers
838, Kyoto University, Institute of Economic Research.
- David E. Allen & Michael McAleer & R.J. Powell & A.K. Singh, 2013. "Volatility Spillovers from the US to Australia and China across the GFC," Tinbergen Institute Discussion Papers 13-009/III, Tinbergen Institute, revised 01 Feb 2013.
- David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2012. "Volatility Spillovers from the US to Australia and China across the GFC," Documentos del Instituto Complutense de Análisis Económico 2012-30, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2012.
"Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models,"
Working Papers in Economics
12/04, University of Canterbury, Department of Economics and Finance.
- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Documentos del Instituto Complutense de Análisis Económico 2012-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Michael McAleer & Manabu Asai & Massimiliano Caporin, 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," KIER Working Papers 812, Kyoto University, Institute of Economic Research.
- Asai, M. & Caporin, M. & McAleer, M.J., 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Econometric Institute Report EI 2012-02, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2012.
"Journal Impact Factor, Eigenfactor, Journal Influence and Article Influence,"
Documentos del Instituto Complutense de Análisis Económico
2012-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2012. "Journal Impact Factor, Eigenfactor, Journal Influence and Article Influence," Working Papers in Economics 12/13, University of Canterbury, Department of Economics and Finance.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2012. "Journal Impact Factor, Eigenfactor, Journal Influence and Article Influence," KIER Working Papers 822, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2013. "Journal Impact Factor, Eigenfactor, Journal Influence and Article Influence," Tinbergen Institute Discussion Papers 13-002/III, Tinbergen Institute.
- Chang, C.L. & McAleer, M.J. & Oxley, L., . "Journal Impact Factor, Eigenfactor, Journal Influence and Article Influence," Econometric Institute Report EI 2012-32, Erasmus University Rotterdam, Econometric Institute.
- Chang, C.L. & McAleer, M.J. & Oxley, L., . "Journal Impact Factor, Eigenfactor, Journal Influence and Article Influence," Econometric Institute Report EI 2012-27, Erasmus University Rotterdam, Econometric Institute.
- Lan-Fen Chu & Michael McAleer & Szu-Hua Wang, 2012.
"Statistical Modelling of Recent Changes in Extreme Rainfall in Taiwan,"
KIER Working Papers
837, Kyoto University, Institute of Economic Research.
- Lan-Fen Chu & Michael McAleer & Szu-Hua Wang, 2012. "Statistical Modeling of Recent Changes in Extreme Rainfall in Taiwan," Working Papers in Economics 12/19, University of Canterbury, Department of Economics and Finance.
- Chu, L.F. & McAleer, M.J. & Wang, S-H., . "Statistical Modelling of Recent Changes in Extreme Rainfall in Taiwan," Econometric Institute Report EI 2012-36, Erasmus University Rotterdam, Econometric Institute.
- Lan-Fen Chu & Michael McAleer & Szu-Hua Wang, 2012. "Statistical Modelling of Recent Changes in Extreme Rainfall in Taiwan," Documentos del Instituto Complutense de Análisis Económico 2012-29, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chia-Lin Chang & Michael McAleer, 2012.
"Ranking Journal Quality by Harmonic Mean of Ranks: An Application to ISI Statistics & Probability,"
Working Papers in Economics
12/11, University of Canterbury, Department of Economics and Finance.
- Chia-Lin Chang & Michael McAleer, 2013. "Ranking journal quality by harmonic mean of ranks: an application to ISI statistics & probability," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 67(1), pages 27-53, 02.
- Chang, C-L. & McAleer, M.J., 2012. "Ranking Journal Quality by Harmonic Mean of Ranks: An Application to ISI Statistics & Probability," Econometric Institute Report EI 2012-16, Erasmus University Rotterdam, Econometric Institute.
- Michael McAleer & Chia-Lin Chang, 2012. "Ranking Journal Quality by Harmonic Mean of Ranks:An Application to ISI Statistics & Probability," KIER Working Papers 819, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Michael McAleer, 2012. "Ranking Journal Quality by Harmonic Mean of Ranks: An Application to ISI Statistics & Probability," Documentos del Instituto Complutense de Análisis Económico 2012-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chia-Lin Chang & Hui-Kuang Hsu & Michael McAleer, 2012.
"Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism,"
KIER Working Papers
839, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Hui-Kuang Hsu & Michael McAleer, 2013. "Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism," Tinbergen Institute Discussion Papers 13-008/III, Tinbergen Institute.
- Chia-Lin Chang & Hui-Kuang Hsu & Michael McAleer, 2013. "Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism," Working Papers in Economics 13/04, University of Canterbury, Department of Economics and Finance.
- Chia-Lin Chang & Hui-Kuang Hsu & Michael McAleer, 2012. "Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism," Documentos del Instituto Complutense de Análisis Económico 2013-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chang, C.L. & Hsu, H-K. & McAleer, M.J., . "Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism," Econometric Institute Report EI 2012-37, Erasmus University Rotterdam, Econometric Institute.
- D.E. Allen & Abhay K Singh & R. Powell & Michael McAleer & James Taylor & Lyn Thomas, 2012.
"The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions,"
Documentos del Instituto Complutense de Análisis Económico
2012-24, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- David E Allen & Abhay Kumar Singh & Robert Powell & Michael McAleer & James Taylor & Lyn Thomas, 2012. "The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions," Working papers 2012-01, Edith Cowan University, School of Accounting Finance & Economics.
- David E Allen & Abhay K Singh & Robert J Powell & Michael McAleer & James Taylor & Lyn Thomas, 2012. "The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions," KIER Working Papers 831, Kyoto University, Institute of Economic Research.
- Marcin Jaskowski & Michael McAleer, 2012.
"Estimating implied recovery rates from the term structure of CDS spreads,"
KIER Working Papers
836, Kyoto University, Institute of Economic Research.
- Marcin Jaskowski & Michael McAleer, 2012. "Estimating Implied Recovery Rates from the Term Structure of CDS Spreads," Documentos del Instituto Complutense de Análisis Económico 2012-28, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Marcin Jaskowski & Michael McAleer, 2013. "Estimating Implied Recovery Rates from the Term Structure of CDS Spreads," Tinbergen Institute Discussion Papers 13-005/III, Tinbergen Institute.
- Michael McAleer & Chia-Lin Chang, 2012.
"What do Experts Know About Ranking Journal Quality? A Comparison with ISI Research Impact in Finance,"
KIER Working Papers
806, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Michael McAleer, 2012. "What do Experts Know About Ranking Journal Quality? A Comparison with ISI Research Impact in Finance," Documentos del Instituto Complutense de Análisis Económico 2012-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chang, C-L. & McAleer, M.J., 2012. "What do Experts Know About Ranking Journal Quality? A Comparison with ISI Research Impact in Finance," Econometric Institute Report EI2012-01, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer, 2012. "What do Experts Know About Ranking Journal Quality? A Comparison with ISI Research Impact in Finance," Working Papers in Economics 12/02, University of Canterbury, Department of Economics and Finance.
- Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2012.
"Has the Basel Accord Improved Risk Management During the Global Financial Crisis?,"
KIER Working Papers
832, Kyoto University, Institute of Economic Research.
- McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T., . "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Report EI 2012-34, Erasmus University Rotterdam, Econometric Institute.
- Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis," Working Papers in Economics 13/08, University of Canterbury, Department of Economics and Finance.
- McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T., . "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Report EI 2012-29, Erasmus University Rotterdam, Econometric Institute.
- Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos del Instituto Complutense de Análisis Económico 2012-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, revised Oct 2012.
- Michael McAleer & Juan-�ngel Jim�nez-Mart�n & Teodosio P�rez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Tinbergen Institute Discussion Papers 13-010/III, Tinbergen Institute.
- Massimiliano Caporin & Michael McAleer, 2012.
"Robust Ranking of Multivariate GARCH Models by Problem Dimension,"
Working Papers in Economics
12/06, University of Canterbury, Department of Economics and Finance.
- Caporin, M. & McAleer, M.J., 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Econometric Institute Report EI2012-13, Erasmus University Rotterdam, Econometric Institute.
- Massimiliano Caporin & Michael McAleer, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Documentos del Instituto Complutense de Análisis Económico 2012-06, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, revised Apr 2012.
- Michael McAleer & Massimiliano Caporin, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," KIER Working Papers 815, Kyoto University, Institute of Economic Research.
- Lau-Fen Chu & Michael McAleer & Chi-Chung Chen, 2012.
"How Volatile is ENSO for Global Greenhouse Gas Emissions And the Global Economy?,"
Working Papers in Economics
12/15, University of Canterbury, Department of Economics and Finance.
- Lan-Fen Chu & Michael McAleer & Chi-Chung Chen, 2013. "How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?," Tinbergen Institute Discussion Papers 13-007/III, Tinbergen Institute.
- Lan-Fen Chu & M. McAleer & Chi-Chung Chen, 2012. "How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?," KIER Working Papers 829, Kyoto University, Institute of Economic Research.
- Chu, L.F. & McAleer, M.J. & Chen, C.-C., . "How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?," Econometric Institute Report EI 2012-28, Erasmus University Rotterdam, Econometric Institute.
- Lan-Fen Chu & Michael McAleer & Chi-Chung Chen, 2012. "How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?," Documentos del Instituto Complutense de Análisis Económico 2012-20, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, revised Sep 2012.
- Chu, L.F. & McAleer, M.J. & Chen, C.-C., . "How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?," Econometric Institute Report EI 2012-33, Erasmus University Rotterdam, Econometric Institute.
- Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong, 2012.
"Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China,"
KIER Working Papers
820, Kyoto University, Institute of Economic Research.
- Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong, 2012. "Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China," Documentos del Instituto Complutense de Análisis Económico 2012-13, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2012.
"Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments,"
Documentos del Instituto Complutense de Análisis Económico
2012-14, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2012. "Evaluating Macroeconomic Forecasts:A Concise Review of Some Recent Developments," KIER Working Papers 821, Kyoto University, Institute of Economic Research.
- Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2012. "Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments," Working Papers in Economics 12/12, University of Canterbury, Department of Economics and Finance.
- Michael McAleer & Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2011.
"GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies,"
KIER Working Papers
782, Kyoto University, Institute of Economic Research.
- Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Working Papers in Economics 11/28, University of Canterbury, Department of Economics and Finance.
- Santos, P.A. & Jimenez-Martin, J-A. & McAleer, M.J. & Perez-Amaral, T., 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Econometric Institute Report EI2011-27, Erasmus University Rotterdam, Econometric Institute.
- Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Documentos del Instituto Complutense de Análisis Económico 2011-27, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011.
"The Rise and Fall of S&P500 Variance Futures,"
Working Papers in Economics
11/32, University of Canterbury, Department of Economics and Finance.
- Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "The Rise and Fall of S&P500 Variance Futures," KIER Working Papers 795, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Pérez-Amaral, 2011. "The Rise and Fall of S&P500 Variance Futures," Documentos del Instituto Complutense de Análisis Económico 2011-35, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chang, C-L. & Jimenez-Martin, J-A. & McAleer, M.J. & Perez-Amaral, T., 2011. "The Rise and Fall of S&P500 Variance Futures," Econometric Institute Report EI2011-37, Erasmus University Rotterdam, Econometric Institute.
- Ishida, I. & McAleer, M.J. & Oya, K., 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 VIX," Econometric Institute Report EI 2011-10, Erasmus University Rotterdam, Econometric Institute.
- Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011.
"Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range,"
KIER Working Papers
775, Kyoto University, Institute of Economic Research.
- Chen, Cathy W.S. & Gerlach, Richard & Hwang, Bruce B.K. & McAleer, Michael, 2012. "Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range," International Journal of Forecasting, Elsevier, vol. 28(3), pages 557-574.
- Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," Documentos del Instituto Complutense de Análisis Económico 2011-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," Working Papers in Economics 11/22, University of Canterbury, Department of Economics and Finance.
- Chen, C.W.S. & Gerlach, R. & Hwang, B.B.K. & McAleer, M.J., 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range," Econometric Institute Report EI 2011-17, Erasmus University Rotterdam, Econometric Institute.
- Massimiliano Caporin & Michael McAleer, 2011.
"Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation,"
Working Papers in Economics
11/23, University of Canterbury, Department of Economics and Finance.
- Michael McAleer & Massimiliano Caporin, 2011. "Ranking Multivariate GARCH Models by Problem Dimension:An Empirical Evaluation," KIER Working Papers 778, Kyoto University, Institute of Economic Research.
- Caporin, M. & McAleer, M.J., 2011. "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Econometric Institute Report EI 2011-18, Erasmus University Rotterdam, Econometric Institute.
- Massimiliano Caporin & Michael McAleer, 2011. "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Documentos del Instituto Complutense de Análisis Económico 2011-20, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011.
"International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord,"
KIER Working Papers
757, Kyoto University, Institute of Economic Research.
- Michael McAleer & Juan‐Ángel Jiménez‐Martín & Teodosio Pérez‐Amaral, 2013. "International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(3), pages 267-288, 04.
- Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Documentos del Instituto Complutense de Análisis Económico 2011-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Working Papers in Economics 11/05, University of Canterbury, Department of Economics and Finance.
- McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T., 2011. "International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord," Econometric Institute Report EI 2011-04, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2011.
"How are Journal Impact, Prestige and Article Influence Related? An Application to Neuroscience,"
KIER Working Papers
756, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2011. "How are journal impact, prestige and article influence related? An application to neuroscience," Journal of Applied Statistics, Taylor and Francis Journals, vol. 38(11), pages 2563-2573, January.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2011. "How are Journal Impact, Prestige and Article Influence Related? An Application to Neuroscience," Documentos del Instituto Complutense de Análisis Económico 2011-25, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chang, C-L. & McAleer, M.J. & Oxley, L., 2011. "How are Journal Impact, Prestige and Article Influence Related? An Application to Neuroscience," Econometric Institute Report EI 2011-03, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2011. "How are Journal Impact, Prestige and Article Influence Related? An Application to Neuroscience," Working Papers in Economics 11/06, University of Canterbury, Department of Economics and Finance.
- Philip Hans Franses & Chia-Lin Chang & Michael McAleer, 2011.
"Analyzing Fixed-event Forecast Revisions,"
Documentos del Instituto Complutense de Análisis Económico
2011-24, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Franses, Ph.H.B.F. & Chang, C-L. & McAleer, M.J., 2011. "Analyzing Fixed-event Forecast Revisions," Econometric Institute Report EI 2011-22, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Bert de Bruijn & Philip Hans Franses & Michael McAleer, 2013. "Analyzing Fixed-Event Forecast Revisions," Tinbergen Institute Discussion Papers 13-057/III, Tinbergen Institute.
- Michael McAleer & Philip Hans Franses & Chia-Lin Chang, 2011. "Analyzing Fixed-event Forecast Revisions," KIER Working Papers 779, Kyoto University, Institute of Economic Research.
- Philip Hans Franses & Chia-Lin Chang & Michael McAleer, 2011. "Analyzing Fixed-event Forecast Revisions," Working Papers in Economics 11/25, University of Canterbury, Department of Economics and Finance.
- Ramazan Sari & Shawkat Hammoudeh & Chia-Lin Chang & Michael McAleer, 2011.
"Causality Between Market Liquidity and Depth for Energy and Grains,"
KIER Working Papers
769, Kyoto University, Institute of Economic Research.
- Sari, Ramazan & Hammoudeh, Shawkat & Chang, Chia-Lin & McAleer, Michael, 2012. "Causality between market liquidity and depth for energy and grains," Energy Economics, Elsevier, vol. 34(5), pages 1683-1692.
- Sari, S. & Hammoudeh, S.M. & Chang, C-L. & McAleer, M.J., 2011. "Causality Between Market Liquidity and Depth for Energy and Grains," Econometric Institute Report EI 2011-14, Erasmus University Rotterdam, Econometric Institute.
- Ramazan Sari & Shawkat Hammoudeh & Chia-Lin Chang & Michael McAleer, 2011. "Causality Between Market Liquidity and Depth for Energy and Grains," Working Papers in Economics 11/15, University of Canterbury, Department of Economics and Finance.
- Ramazan Sari & Shawkat Hammoudeh & Chia-Lin Chang & Michael McAleer, 2011. "Causality Between Market Liquidity and Depth for Energy and Grains," Documentos del Instituto Complutense de Análisis Económico 2011-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Shawkat Hammoudeh & Soodabeh Sarafrazi & Chia-Lin Chang & Michael McAleer, 2011.
"The Dynamics of Energy-Grain Prices with Open Interest,"
Working Papers in Economics
11/24, University of Canterbury, Department of Economics and Finance.
- Shawkat Hammoudeh & Soodabeh Sarafrazi & Chia-Lin Chang & Michael McAleer, 2011. "The Dynamics of Energy-Grain Prices with Open Interest," Documentos del Instituto Complutense de Análisis Económico 2011-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Shawkat Hammoudeh & Soodabeh Sarafrazi & Chia-Lin Chang & Michael McAleer, 2011. "The Dynamics of Energy-Grain Prices with Open Interest," KIER Working Papers 776, Kyoto University, Institute of Economic Research.
- Hammoudeh, S.M. & Sarafrazi, S. & Chang, C-L. & McAleer, M.J., 2011. "The Dynamics of Energy-Grain Prices with Open Interest," Econometric Institute Report EI 2011-19, Erasmus University Rotterdam, Econometric Institute.
- Isao Ishida & Michael McAleer & Kosuke Oya, 2011.
"Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX,"
Working Papers in Economics
11/11, University of Canterbury, Department of Economics and Finance.
- Isao Ishida & Michael McAleer & Kosuke Oya, 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," Documentos del Instituto Complutense de Análisis Económico 2011-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Isao Ishida & Michael McAleer & Kosuke Oya, 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," KIER Working Papers 759, Kyoto University, Institute of Economic Research.
- Hammoudeh, S.M. & Liu, T. & Chang, C-L. & McAleer, M.J., 2011.
"Risk Spillovers in Oil-Related CDS, Stock and Credit Markets,"
Econometric Institute Report
EI 2011-15, Erasmus University Rotterdam, Econometric Institute.
- Hammoudeh, Shawkat & Liu, Tengdong & Chang, Chia-Lin & McAleer, Michael, 2013. "Risk spillovers in oil-related CDS, stock and credit markets," Energy Economics, Elsevier, vol. 36(C), pages 526-535.
- Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer, 2011. "Risk Spillovers in Oil-Related CDS, Stock and Credit Markets," Working Papers in Economics 11/17, University of Canterbury, Department of Economics and Finance.
- Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer, 2011. "Risk Spillovers in Oil-Related CDS, Stock and Credit Markets," KIER Working Papers 772, Kyoto University, Institute of Economic Research.
- Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer, 2011. "Risk Spillovers in Oil-Related CDS, Stock and Credit Markets," Documentos del Instituto Complutense de Análisis Económico 2011-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2011.
"Evaluating Individual and Mean Non-Replicable Forecasts,"
Working Papers in Economics
11/16, University of Canterbury, Department of Economics and Finance.
- Chang, Chia Lin & Franses, Philip Hans & Mcaleer, Michael, 2012. "Evaluating Individual and Mean Non-Replicable Forecasts," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 22-43, September.
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2011. "Evaluating Individual and Mean Non-Replicable Forecasts," KIER Working Papers 773, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2011. "Evaluating Individual and Mean Non-Replicable Forecasts," Documentos del Instituto Complutense de Análisis Económico 2011-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Michael McAleer & Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011.
"Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures,"
KIER Working Papers
784, Kyoto University, Institute of Economic Research.
- Casarin, R. & Chang, C-L. & Jimenez-Martin, J-A. & McAleer, M.J. & Perez-Amaral, T., 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Econometric Institute Report EI2011-29, Erasmus University Rotterdam, Econometric Institute.
- Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Documentos del Instituto Complutense de Análisis Económico 2011-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/26, University of Canterbury, Department of Economics and Finance.
- Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011.
"Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures,"
Documentos del Instituto Complutense de Análisis Económico
2011-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," KIER Working Papers 761, Kyoto University, Institute of Economic Research.
- Chang, C-L. & Jimenez-Martin, J-A. & McAleer, M.J. & Perez-Amaral, T., 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Econometric Institute Report EI 2011-11, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/12, University of Canterbury, Department of Economics and Finance.
- Michael McAleer & David Allen & Ron Amram, 2011.
"Volatility Spillovers from the Chinese Stock Market to Economic Neighbours,"
KIER Working Papers
805, Kyoto University, Institute of Economic Research.
- David E. Allena & Ron Amrama & Michael McAleer, 2011. "Volatility Spillovers from the Chinese Stock Market to Economic Neighbours," Working Papers in Economics 11/42, University of Canterbury, Department of Economics and Finance.
- Allen, D.E. & McAleer, M.J. & Amran, R., 2011. "Volatility Spillovers from the Chinese Stock Market to Economic Neighbours," Econometric Institute Report EI 2011-44, Erasmus University Rotterdam, Econometric Institute.
- David E. Allen & Ron Amram & Michael McAleer, 2011. "Volatility Spillovers from the Chinese Stock Market to Economic Neighbours," Documentos del Instituto Complutense de Análisis Económico 2011-38, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Michael McAleer & Chia-Lin Chang, 2011.
"Citations and Impact of ISI Tourism and Hospitality Journals,"
KIER Working Papers
781, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Michael McAleer, 2011. "Citations and Impact of ISI Tourism and Hospitality Journals," Working Papers in Economics 11/27, University of Canterbury, Department of Economics and Finance.
- Chia-Lin Chang & Michael McAleer, 2011. "Citations and Impact of ISI Tourism and Hospitality Journals," Documentos del Instituto Complutense de Análisis Económico 2011-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chang, C-L. & McAleer, M.J., 2011. "Citations and Impact of ISI Tourism and Hospitality Journals," Econometric Institute Report EI2011-26, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer, 2011.
"How Should Journal Quality be Ranked? An Application to Agricultural, Energy, Environmental and Resource Economics,"
Working Papers in Economics
11/43, University of Canterbury, Department of Economics and Finance.
- Chang, C-L. & McAleer, M.J., 2011. "How Should Journal Quality be Ranked? An Application to Agricultural, Energy, Environment and Resource Economics," Econometric Institute Report EI 2011-43, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer, 2011. "How Should Journal Quality be Ranked? An Application to Agricultural, Energy, Environmental and Resource Economics," Documentos del Instituto Complutense de Análisis Económico 2011-39, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Michael McAleer & Chia-Lin Chang, 2012. "How Should Journal Quality be Ranked? An Application to Agricultural, Energy, Environmental and Resource Economics," KIER Working Papers 808, Kyoto University, Institute of Economic Research.
- Caporin, M. & McAleer, M.J., 2010.
"Ranking multivariate GARCH models by problem dimension,"
Econometric Institute Report
EI 2010-34, Erasmus University Rotterdam, Econometric Institute.
- Massimiliano Caporin & Michael McAleer, 2010. "Ranking Multivariate GARCH Models by Problem Dimension," CIRJE F-Series CIRJE-F-742, CIRJE, Faculty of Economics, University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2010. "Ranking Multivariate GARCH Models by Problem Dimension," Working Papers in Economics 10/34, University of Canterbury, Department of Economics and Finance.
- Massimiliano Caporin & Michael McAleer, 2010. "Ranking Multivariate GARCH Models by Problem Dimension," CARF F-Series CARF-F-219, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2010. "Ranking Multivariate GARCH Models by Problem Dimension," "Marco Fanno" Working Papers 0124, Dipartimento di Scienze Economiche "Marco Fanno".
- Michael McAleer & Les Oxley, 2010.
"Ten Things We Should Know About Time Series,"
Working Papers in Economics
10/42, University of Canterbury, Department of Economics and Finance.
- Michael McAleer & Les Oxley, 2011. "Ten Things We Should Know About Time Series," Journal of Economic Surveys, Wiley Blackwell, vol. 25(1), pages 185-188, 02.
- Michael McAleer & Les Oxley, 2010. "Ten Things We Should Know About Time Series," KIER Working Papers 710, Kyoto University, Institute of Economic Research.
- McAleer, M.J. & Oxley, L., 2010. "Ten Things We Should Know About Time Series," Econometric Institute Report EI 2010-49, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Li-Hsueh Chen & Shawkat Hammoudeh & Michael McAleer, 2010.
"Asymmetric Adjustments in the Ethanol and Grains Markets,"
Working Papers in Economics
10/78, University of Canterbury, Department of Economics and Finance.
- Chang, Chia-Lin & Chen, Li-Hsueh & Hammoudeh, Shawkat & McAleer, Michael, 2012. "Asymmetric adjustments in the ethanol and grains markets," Energy Economics, Elsevier, vol. 34(6), pages 1990-2002.
- Chia-Lin Chang & Li-Hsueh Chen & Shawkat Hammoudeh & Michael McAleer, 2010. "Asymmetric Adjustments in the Ethanol and Grains Markets," KIER Working Papers 752, Kyoto University, Institute of Economic Research.
- Chang, C-L. & Chen, L-H. & Hammoudeh, S.M. & McAleer, M.J., 2011. "Asymmetric Adjustment in the Ethanol and Grains Markets," Econometric Institute Report EI 2010-78, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Li-Hsueh Chen & Shawkat Hammoudeh & Michael McAleer, 2012. "Asymmetric Adjustments in the Ethanol and Grains Markets," Documentos del Instituto Complutense de Análisis Económico 2012-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, revised Apr 2012.
- Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2010.
"Modeling the Volatility in Global Fertilizer Prices,"
Working Papers in Economics
10/46, University of Canterbury, Department of Economics and Finance.
- Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2010. "Modeling the Volatility in Global Fertilizer Prices," KIER Working Papers 705, Kyoto University, Institute of Economic Research.
- Chen, P.-Y. & Chang, C-L. & Chen, C-C. & McAleer, M.J., 2010. "Modeling the Volatility in Global Fertilizer Prices," Econometric Institute Report EI 2010-42, Erasmus University Rotterdam, Econometric Institute.
- Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010.
"Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns,"
CIRJE F-Series
CIRJE-F-706, CIRJE, Faculty of Economics, University of Tokyo.
- Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2011. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Documentos del Instituto Complutense de Análisis Económico 2011-34, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Working Papers in Economics 10/04, University of Canterbury, Department of Economics and Finance.
- Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CARF F-Series CARF-F-202, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," KIER Working Papers 715, Kyoto University, Institute of Economic Research.
- Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Econometric Institute Report EI 2010-12, Erasmus University Rotterdam, Econometric Institute.
- Shawkat Hammoudeh & Farooq Malik & Michael McAleer, 2010.
"Risk Management of Precious Metals,"
Working Papers in Economics
10/37, University of Canterbury, Department of Economics and Finance.
- Hammoudeh, Shawkat & Malik, Farooq & McAleer, Michael, 2011. "Risk management of precious metals," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 435-441.
- Shawkat Hammoudeh & Farooq Malik & Michael McAleer, 2011. "Risk Management of Precious Metals," KIER Working Papers 765, Kyoto University, Institute of Economic Research.
- Shawkat Hammoudeh & Farooq Malik & Michael McAleer, 2011. "Risk Management of Precious Metals," Documentos del Instituto Complutense de Análisis Económico 2011-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Hammoudeh, S.M. & Malik, F. & McAleer, M.J., 2010. "Risk management of precious metals," Econometric Institute Report EI 2010-48, Erasmus University Rotterdam, Econometric Institute.
- Lean, H.H. & McAleer, M.J. & Wong, W-K., 2010.
"Investor preferences for oil spot and futures based on mean-variance and stochastic dominance,"
Econometric Institute Report
EI 2010-37, Erasmus University Rotterdam, Econometric Institute.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance," CIRJE F-Series CIRJE-F-744, CIRJE, Faculty of Economics, University of Tokyo.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance," Working Papers in Economics 10/22, University of Canterbury, Department of Economics and Finance.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2011. "Investor Preferences for Oil Spot and Futures based on Mean-Variance and Stochastic Dominance," KIER Working Papers 755, Kyoto University, Institute of Economic Research.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance," CARF F-Series CARF-F-220, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010.
"Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH,"
CIRJE F-Series
CIRJE-F-704, CIRJE, Faculty of Economics, University of Tokyo.
- Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2011. "Crude oil hedging strategies using dynamic multivariate GARCH," Energy Economics, Elsevier, vol. 33(5), pages 912-923, September.
- Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Econometric Institute Report EI 2010-10, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," KIER Working Papers 743, Kyoto University, Institute of Economic Research.
- Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Working Papers in Economics 10/03, University of Canterbury, Department of Economics and Finance.
- Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2010.
"Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments,"
CIRJE F-Series
CIRJE-F-729, CIRJE, Faculty of Economics, University of Tokyo.
- Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2010. "Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments," Working Papers in Economics 10/09, University of Canterbury, Department of Economics and Finance.
- Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2011. "Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments," KIER Working Papers 771, Kyoto University, Institute of Economic Research.
- Franses, Ph.H.B.F. & McAleer, M.J. & Legerstee, R., 2010. "Evaluating Macroeconomic Forecast: A Review of Some Recent Developments," Econometric Institute Report EI 2010-19, Erasmus University Rotterdam, Econometric Institute.
- Philip Hans Franses & Michael McAleer & Rianne Legerstee:, 2011. "Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments," Documentos del Instituto Complutense de Análisis Económico 2011-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010.
"GFC-Robust Risk Management Strategies under the Basel Accord,"
KIER Working Papers
727, Kyoto University, Institute of Economic Research.
- McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T., 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Econometric Institute Report EI 2010-59, Erasmus University Rotterdam, Econometric Institute.
- Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Working Papers in Economics 10/63, University of Canterbury, Department of Economics and Finance.
- Michael McAleer & Juan Angel Jimenez Martin & Teodosio Pérez-Amaral, 2009. "GFC-Robust Risk Management Strategies under the Basel Accord," Documentos del Instituto Complutense de Análisis Económico 1001, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chialin Chang & Michael McAleer & Roengchai Tansuchat, 2010.
"Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets,"
CIRJE F-Series
CIRJE-F-718, CIRJE, Faculty of Economics, University of Tokyo.
- Chang, C. & McAleer, M.J. & Tansuchat, R., 2010. "Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets," Econometric Institute Report EI 2010-14, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets," KIER Working Papers 717, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2010.
"Journal Impact Factor Versus Eigenfactor and Article Influence,"
Working Papers in Economics
10/67, University of Canterbury, Department of Economics and Finance.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2010. "Journal Impact Factor Versus Eigenfactor and Article Influence," KIER Working Papers 737, Kyoto University, Institute of Economic Research.
- Chang, C-L. & McAleer, M.J. & Oxley, L., 2010. "Journal Impect Factor Versus Eigenfactor and Article Influence," Econometric Institute Report EI 2010-67, Erasmus University Rotterdam, Econometric Institute.
- Massimiliano Caporin & Michael McAleer, 2010.
"Model Selection and Testing of Conditional and Stochastic Volatility Models,"
Working Papers in Economics
10/58, University of Canterbury, Department of Economics and Finance.
- Caporin, M. & McAleer, M.J., 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," Econometric Institute Report EI 2010-57, Erasmus University Rotterdam, Econometric Institute.
- Massimiliano Caporin & Michael McAleer, 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," KIER Working Papers 724, Kyoto University, Institute of Economic Research.
- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010.
"Asymmetry and Long Memory in Volatility Modelling,"
Working Papers in Economics
10/60, University of Canterbury, Department of Economics and Finance.
- Michael McAleer & Marcelo C. Medeiros, 2012. "Asymmetry and Long Memory in Volatility Modeling," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 10(3), pages 495-512, June.
- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010. "Asymmetry and Long Memory in Volatility Modelling," KIER Working Papers 726, Kyoto University, Institute of Economic Research.
- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Asymmetry and Long Memory in Volatility Modelling," Documentos del Instituto Complutense de Análisis Económico 2011-29, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Asai, M. & McAleer, M.J. & Medeiros, M.C., 2010. "Asymmetry and Long Memory in Volatility Modelling," Econometric Institute Report EI 2010-60, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2010.
"What Makes a Great Journal Great in the Sciences? Which Came First, the Chicken or the Egg?,"
KIER Working Papers
746, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer & Les Oxley, 2010. "What Makes a Great Journal Great in the Sciences? Which Came First, the Chicken or the Egg?," Working Papers in Economics 10/75, University of Canterbury, Department of Economics and Finance.
- Chang, C-L. & McAleer, M.J. & Oxley, L., 2010. "What Makes a Great Journal Great in the Sciences? Which Came First, the Chicken or the Egg?," Econometric Institute Report EI 2010-75, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010.
"Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets,"
Working Papers in Economics
10/19, University of Canterbury, Department of Economics and Finance.
- Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2010. "Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets," Energy Economics, Elsevier, vol. 32(6), pages 1445-1455, November.
- Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2010.
"Modeling the Effect of Oil Price on Global Fertilizer Prices,"
Working Papers in Economics
10/55, University of Canterbury, Department of Economics and Finance.
- Chen, P.-Y. & Chang, C-L. & Chen, C-C. & McAleer, M.J., 2010. "Modeling the Effect of Oil Price on Global Fertilizer Prices," Econometric Institute Report EI 2010-56, Erasmus University Rotterdam, Econometric Institute.
- Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2010. "Modeling the Effect of Oil Price on Global Fertilizer Prices," KIER Working Papers 722, Kyoto University, Institute of Economic Research.
- Massimiliano Caporin & Michael McAleer, 2010.
"Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models,"
CIRJE F-Series
CIRJE-F-713, CIRJE, Faculty of Economics, University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2012. "Do We Really Need Both Bekk And Dcc? A Tale Of Two Multivariate Garch Models," Journal of Economic Surveys, Wiley Blackwell, vol. 26(4), pages 736-751, 09.
- Caporin, M. & McAleer, M.J., 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," Econometric Institute Report EI 2010-13, Erasmus University Rotterdam, Econometric Institute.
- Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," Working Papers in Economics 10/06, University of Canterbury, Department of Economics and Finance.
- Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," KIER Working Papers 738, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Michael McAleer & Christine Lim, 2010.
"Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan,"
Working Papers in Economics
10/40, University of Canterbury, Department of Economics and Finance.
- Michael McAleer & Chia-Lin Chang & Christine Lim, 2011. "Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan," KIER Working Papers 783, Kyoto University, Institute of Economic Research.
- Chang, C-L. & McAleer, M.J. & Lim, C., 2010. "Modelling the volatility in short and long haul Japanese tourist arrivals to New Zealand and Taiwan," Econometric Institute Report EI 2010-47, Erasmus University Rotterdam, Econometric Institute.
- Chang, C-L. & McAleer, M.J. & Lim, C.H., 2011. "Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan," Econometric Institute Report EI2011-28, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer & Christine Lim, 2011. "Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan," Documentos del Instituto Complutense de Análisis Económico 2011-28, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chia-Lin Chang & Michael McAleer & Christine Lim, 2011. "Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan," Documentos del Instituto Complutense de Análisis Económico 2011-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010.
"Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach,"
Working Papers in Economics
10/18, University of Canterbury, Department of Economics and Finance.
- Lean, Hooi Hooi & McAleer, Michael & Wong, Wing-Keung, 2010. "Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach," Energy Economics, Elsevier, vol. 32(5), pages 979-986, September.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach," KIER Working Papers 718, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010.
"Are Forecast Updates Progressive?,"
CIRJE F-Series
CIRJE-F-736, CIRJE, Faculty of Economics, University of Tokyo.
- Chang, C-L. & Franses, Ph.H.B.F. & McAleer, M.J., 2010. "Are Forecast Updates Progressive?," Econometric Institute Report EI 2010-24, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2011. "Are Forecast Updates Progressive?," KIER Working Papers 762, Kyoto University, Institute of Economic Research.
- Chang, Chia-Lin & Franses, Philip Hans & McAleer, Michael, 2013. "Are Forecast Updates Progressive?," MPRA Paper 46387, University Library of Munich, Germany.
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2013. "Are Forecast Updates Progressive?," Tinbergen Institute Discussion Papers 13-049/III, Tinbergen Institute.
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2011. "Are Forecast Updates Progressive?," Documentos del Instituto Complutense de Análisis Económico 2011-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010. "Are Forecast Updates Progressive?," Working Papers in Economics 10/12, University of Canterbury, Department of Economics and Finance.
- Chia-Lin Chang & Sung-Po Chen & Michael McAleer, 2010.
"Globalization and Knowledge Spillover: International Direct Investment, Exports and Patents,"
Working Papers in Economics
10/54, University of Canterbury, Department of Economics and Finance.
- Chang, C-L. & Chen, S-P. & McAleer, M.J., 2010. "Globalization and Knowledge Spillover: International Direct Investment, Exports and Patents," Econometric Institute Report EI 2010-55, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Sung-Po Chen & Michael McAleer, 2012. "Globalization and Knowledge Spillover: International Direct Investment, Exports and Patents," Documentos del Instituto Complutense de Análisis Económico 2012-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chia-Lin Chang & Sung-Po Chen & Michael McAleer, 2010. "Globalization and Knowledge Spillover: International Direct Investment, Exports and Patents," KIER Working Papers 721, Kyoto University, Institute of Economic Research.
- Yaovarate Chaovanapoonphol & Christine Lim & Michael McAleer & Aree Wiboonpongse, 2010.
"Time Series Modelling of Tourism Demand from the USA, Japan and Malaysia to Thailand,"
CIRJE F-Series
CIRJE-F-722, CIRJE, Faculty of Economics, University of Tokyo.
- Yaovarate Chaovanapoonphol & Christine Lim & Michael McAleer & Aree Wiboonpongse, 2010. "Time Series Modelling of Tourism Demand from the USA, Japan and Malaysia to Thailand," Working Papers in Economics 10/05, University of Canterbury, Department of Economics and Finance.
- Chaovanapoonphol, Y. & Lim, C. & McAleer, M.J. & Wiboonpongse, A., 2010. "Time Series Modelling of Tourism Demand from the USA, Japan and Malaysia to Thailand," Econometric Institute Report EI 2010-18, Erasmus University Rotterdam, Econometric Institute.
- Michael McAleer & Marcelo C. Medeiros, 2010.
"Forecasting Realized Volatility with Linear and Nonlinear Univariate Models,"
Working Papers in Economics
10/28, University of Canterbury, Department of Economics and Finance.
- Michael McAleer & Marcelo C. Medeiros, 2011. "Forecasting Realized Volatility With Linear And Nonlinear Univariate Models," Journal of Economic Surveys, Wiley Blackwell, vol. 25(1), pages 6-18, 02.
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010.
"Evaluating Combined Non-Replicable Forecasts,"
Working Papers in Economics
10/74, University of Canterbury, Department of Economics and Finance.
- Chang, C-L. & Franses, Ph.H.B.F. & McAleer, M.J., 2010. "Evaluating Combined Non-Replicable Forecast," Econometric Institute Report EI 2010-74, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010. "Evaluating Combined Non-Replicable Forecasts," KIER Working Papers 744, Kyoto University, Institute of Economic Research.
- Naoto Kunitomo & Michael McAleer & Yoshihiko Nishiyama, 2010.
"Moment Restriction-based Econometric Methods: An Overview,"
KIER Working Papers
734, Kyoto University, Institute of Economic Research.
- Naoto Kunitomo & Michael McAleer & Yoshihiko Nishiyama, 2010. "Moment Restriction-based Econometric Methods: An Overview," Working Papers in Economics 10/65, University of Canterbury, Department of Economics and Finance.
- Kunitomo, N. & McAleer, M.J. & Nishiyama, Y., 2010. "Moment Restriction-based Econometric Methods: An Overview," Econometric Institute Report EI 2010-61, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer, 2010.
"IV Estimation of a Panel Threshold Model of Tourism Specialization and Economic Development,"
CIRJE F-Series
CIRJE-F-732, CIRJE, Faculty of Economics, University of Tokyo.
- Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer, 2010. "IV Estimation of a Panel Threshold Model of Tourism Specialization and Economic Development," KIER Working Papers 708, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer, 2010. "IV Estimation of a Panel Threshold Model of Tourism Specialization and Economic Development," Working Papers in Economics 10/13, University of Canterbury, Department of Economics and Finance.
- Chang, C-L. & Khamkaew, T. & McAleer, M.J., 2010. "IV Estimation of a Panel Threshold Model of Tourism Specialization and Economic Development," Econometric Institute Report EI 2010-30, Erasmus University Rotterdam, Econometric Institute.
- Bian, G. & McAleer, M.J. & Wong, W-K., 2010.
"Robust Estimation and Forecasting of the Capital Asset Pricing Model,"
Econometric Institute Report
EI 2010-62, Erasmus University Rotterdam, Econometric Institute.
- Guorui Bian & Michael McAleer & Wing-Keung Wong, 2012. "Robust Estimation and Forecasting of the Capital Asset Pricing Model," Documentos del Instituto Complutense de Análisis Económico 2012-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, revised Apr 2012.
- Guorui Bian & Michael McAleer & Wing-Keung Wong, 2010. "Robust Estimation and Forecasting of the Capital Asset Pricing Model," KIER Working Papers 735, Kyoto University, Institute of Economic Research.
- Bian, G. & McAleer, M.J. & Wong, W-K., 2010. "Robust Estimation and Forecasting of the Capital Asset Pricing Model," Econometric Institute Report 1765021722, Erasmus University Rotterdam, Econometric Institute.
- Guorui Bian & Michael McAleer & Wing-Keung Wong, 2010. "Robust Estimation and Forecasting of the Capital Asset Pricing Model," Working Papers in Economics 10/66, University of Canterbury, Department of Economics and Finance.
- Guorui Bian & Michael McAleer & Wing-Keung Wong, 2013. "Robust Estimation and Forecasting of the Capital Asset Pricing Model," Tinbergen Institute Discussion Papers 13-036/III, Tinbergen Institute.
- Shawkat M. Hammoudeh & Yuan Yuan & Michael McAleer, 2010.
"Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies,"
CIRJE F-Series
CIRJE-F-741, CIRJE, Faculty of Economics, University of Tokyo.
- Shawkat M. Hammoudeh & Yuan Yuan & Michael McAleer, 2010. "Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies," CARF F-Series CARF-F-218, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Hammoudeh, S.M. & Yuan, Y. & McAleer, M.J., 2010. "Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies," Econometric Institute Report EI 2010-35, Erasmus University Rotterdam, Econometric Institute.
- Shawkat M. Hammoudeh & Yuan Yuan & Michael McAleer, 2010. "Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies," KIER Working Papers 751, Kyoto University, Institute of Economic Research.
- Shawkat M.Hammoudeh & Yuan Yuan & Michael McAleer, 2010. "Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies," Working Papers in Economics 10/33, University of Canterbury, Department of Economics and Finance.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2010.
"What Makes a Great Journal Great in Economics? The Singer Not the Song,"
Working Papers in Economics
10/43, University of Canterbury, Department of Economics and Finance.
- Chia‐Lin Chang & Michael McAleer & Les Oxley, 2011. "What Makes A Great Journal Great In Economics? The Singer Not The Song," Journal of Economic Surveys, Wiley Blackwell, vol. 25(2), pages 326-361, 04.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2010. "What Makes a Great Journal Great in Economics? The Singer Not the Song," KIER Working Papers 706, Kyoto University, Institute of Economic Research.
- Chang, C-L. & McAleer, M.J. & Oxley, L., 2010. "What Makes a Great Journal Great in Economics? The Singer Not the Song," Econometric Institute Report EI 2010-45, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer, 2010.
"Estimating Price Effects in an Almost Ideal Demand Model of Outbound Thai Tourism to East Asia,"
CIRJE F-Series
CIRJE-F-735, CIRJE, Faculty of Economics, University of Tokyo.
- Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer, 2010. "Estimating Price Effects in an Almost Ideal Demand Model of Outbound Thai Tourism to East Asia," KIER Working Papers 725, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer, 2012. "Estimating Price Effects in an Almost Ideal Demand Model of Outbound Thai Tourism to East Asia," Documentos del Instituto Complutense de Análisis Económico 2012-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chang, C-L. & Khamkaew, T. & McAleer, M.J., 2010. "Estimating Price Effects in an Almost Ideal Demand Model of Outbound Thai Tourism to East Asia," Econometric Institute Report EI 2010-29, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer, 2010. "Estimating Price Effects in an Almost Ideal Demand Model of Outbound Thai Tourism to East Asia," Working Papers in Economics 10/11, University of Canterbury, Department of Economics and Finance.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2010.
"Article Influence Score = 5YIF divided by 2,"
Working Papers in Economics
10/44, University of Canterbury, Department of Economics and Finance.
- Chang, C-L. & McAleer, M.J. & Oxley, L., 2010. "Article Influence Score = 5YIF divided by 2," Econometric Institute Report EI 2010-43, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2010.
"How does Zinfluence Affect Article Influence?,"
Working Papers in Economics
10/47, University of Canterbury, Department of Economics and Finance.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2010. "How does Zinfluence Affect Article Influence?," KIER Working Papers 707, Kyoto University, Institute of Economic Research.
- Chang, C-L. & McAleer, M.J. & Oxley, L., 2010. "How does Zinfluence Affect Article Influence?," Econometric Institute Report EI 2010-50, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer, 2010.
"Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates,"
CIRJE F-Series
CIRJE-F-716, CIRJE, Faculty of Economics, University of Tokyo.
- Chia-Lin Chang & Michael Mcaleer, 2012. "Aggregation, Heterogeneous Autoregression And Volatility Of Daily International Tourist Arrivals And Exchange Rates," The Japanese Economic Review, Japanese Economic Association, vol. 63(3), pages 397-419, 09.
- Chia-Lin Chang & Michael McAleer, 2011. "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," Documentos del Instituto Complutense de Análisis Económico 2011-13, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chia-Lin Chang & Michael McAleer, 2010. "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," Working Papers in Economics 10/02, University of Canterbury, Department of Economics and Finance.
- Chang, C-L. & McAleer, M.J., 2010. "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," Econometric Institute Report EI 2010-15, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer, 2010. "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," KIER Working Papers 712, Kyoto University, Institute of Economic Research.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010.
"Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach,"
CIRJE F-Series
CIRJE-F-705, CIRJE, Faculty of Economics, University of Tokyo.
- Lean, H.H. & McAleer, M.J. & Wong, W-K., 2010. "Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach," Econometric Institute Report EI 2010-11, Erasmus University Rotterdam, Econometric Institute.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach," CARF F-Series CARF-F-201, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Felix Chan & Michael McAleer & Marcelo C. Medeiros, 2010.
"Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors,"
Working Papers in Economics
10/79, University of Canterbury, Department of Economics and Finance.
- Felix Chan & Michael McAleer & Marcelo C. Medeiros, 2010. "Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors," KIER Working Papers 754, Kyoto University, Institute of Economic Research.
- Chan, F. & McAleer, M.J. & Medeiros, M.C., 2011. "Structure and Asymptotic theory for Nonlinear Models with GARCH Errors," Econometric Institute Report EI 2010-79, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2010.
"Great Expectatrics: Great Papers, Great Journals, Great Econometrics,"
Working Papers in Economics
10/36, University of Canterbury, Department of Economics and Finance.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2011. "Great Expectatrics: Great Papers, Great Journals, Great Econometrics," Econometric Reviews, Taylor and Francis Journals, vol. 30(6), pages 583-619.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2010. "Great Expectatrics: Great Papers, Great Journals, Great Econometrics," KIER Working Papers 714, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2011. "Great Expectatrics: Great Papers, Great Journals, Great Econometrics," Documentos del Instituto Complutense de Análisis Económico 2011-114, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Jian Huang & Masahito Kobayashi & Michael McAleer, 2010.
"Testing the Box-Cox Parameter for an Integrated Process,"
Working Papers in Economics
10/77, University of Canterbury, Department of Economics and Finance.
- Huang, J. & Kobayashi, M. & McAleer, M.J., 2011. "Testing the Box-Cox Parameter for an Integrated Process," Econometric Institute Report EI 2010-77, Erasmus University Rotterdam, Econometric Institute.
- Jian Huang & Masahito Kobayashi & Michael McAleer, 2011. "Testing the Box-Cox Parameter for an Integrated Process," Documentos del Instituto Complutense de Análisis Económico 2011-19, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Jian Huang & Masahito Kobayashi & Michael McAleer, 2010. "Testing the Box-Cox Parameter for an Integrated Process," KIER Working Papers 750, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010.
"Combining Non-Replicable Forecasts,"
Working Papers in Economics
10/35, University of Canterbury, Department of Economics and Finance.
- Chang, C-L. & McAleer, M.J. & Franses, Ph.H.B.F., 2010. "Combining Non-Replicable Forecasts," Econometric Institute Report EI 2010-44, Erasmus University Rotterdam, Econometric Institute.
- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2009.
"Block Structure Multivariate Stochastic Volatility Models,"
CIRJE F-Series
CIRJE-F-699, CIRJE, Faculty of Economics, University of Tokyo.
- Asai, M. & Caporin, M., 2009. "Block Structure Multivariate Stochastic Volatility Models," Econometric Institute Report EI 2009-51, Erasmus University Rotterdam, Econometric Institute.
- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2010. "Block Structure Multivariate Stochastic Volatility Models," Working Papers in Economics 10/24, University of Canterbury, Department of Economics and Finance.
- Abdul Hakim & Michael McAleer, 2009.
"Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence,"
CIRJE F-Series
CIRJE-F-677, CIRJE, Faculty of Economics, University of Tokyo.
- Hakim, A. & McAleer, M.J., 2009. "Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence," Econometric Institute Report EI 2009-33, Erasmus University Rotterdam, Econometric Institute.
- Abdul Hakim & Michael McAleer, 2009. "Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence," CARF F-Series CARF-F-179, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Chia-Ling Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2009.
"Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations,"
CIRJE F-Series
CIRJE-F-687, CIRJE, Faculty of Economics, University of Tokyo.
- Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2010. "Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations," KIER Working Papers 719, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2010. "Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations," Working Papers in Economics 10/27, University of Canterbury, Department of Economics and Finance.
- Chia-Ling Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2009. "Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations," CARF F-Series CARF-F-190, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Chang, C-L. & Khamkaew, T. & McAleer, M.J. & Tansuchat, R., 2009. "Interdependence of international tourism demand and volatility in leading ASEAN destinations," Econometric Institute Report EI 2009-36, Erasmus University Rotterdam, Econometric Institute.
- Shiqing Ling & Michael McAleer, 2009.
"A General Asymptotic Theory for Time Series Models,"
CIRJE F-Series
CIRJE-F-670, CIRJE, Faculty of Economics, University of Tokyo.
- Shiqing Ling & Michael McAleer, 2010. "A general asymptotic theory for time-series models," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(1), pages 97-111.
- Shawkat M. Hammoudeh & Yuan Yuan & Michael McAleer, 2009. "Modeling Exchange Rate and Industrial Commodity Volatility Transmissions," "Marco Fanno" Working Papers 0096, Dipartimento di Scienze Economiche "Marco Fanno".
- Ana Bartolome & Michael McAleer & Vicente Ramos & Javier Rey-Maquieira, 2009. "Risk Management for International Tourist Arrivals: An Application to the Balearic Islands, Spain," CIRJE F-Series CIRJE-F-665, CIRJE, Faculty of Economics, University of Tokyo.
- Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009.
"Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?,"
CIRJE F-Series
CIRJE-F-643, CIRJE, Faculty of Economics, University of Tokyo.
- Juan Angel Jimenez Martin & Michael McAleer & Teodosio Pérez-Amaral, 2009. "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," Documentos del Instituto Complutense de Análisis Económico 0918, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," KIER Working Papers 767, Kyoto University, Institute of Economic Research.
- Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," CARF F-Series CARF-F-158, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio P�rez-Amaral, 0000. "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," Tinbergen Institute Discussion Papers 09-039/4, Tinbergen Institute.
- Tanchanok Khamkaew & Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009.
"Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns,"
CIRJE F-Series
CIRJE-F-675, CIRJE, Faculty of Economics, University of Tokyo.
- Khamkaew, T. & Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2009. "Modelling conditional correlations in the volatility of Asian rubber spot and futures returns," Econometric Institute Report EI 2009-34, Erasmus University Rotterdam, Econometric Institute.
- Tanchanok Khamkaew & Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009. "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," CARF F-Series CARF-F-175, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Nov 2009.
- Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2010. "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," Working Papers in Economics 10/38, University of Canterbury, Department of Economics and Finance.
- Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2010. "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," KIER Working Papers 723, Kyoto University, Institute of Economic Research.
- David E. Allen & Michael McAleer & Marcel Scharth, 2009.
"Realized Volatility Risk,"
CIRJE F-Series
CIRJE-F-693, CIRJE, Faculty of Economics, University of Tokyo.
- David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," Working Papers in Economics 10/26, University of Canterbury, Department of Economics and Finance.
- David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," KIER Working Papers 753, Kyoto University, Institute of Economic Research.
- David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CARF F-Series CARF-F-197, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2010.
- Jose Angelo Divino & Michael McAleer, 2009. "Modelling and Forecasting Daily International Mass Tourism to Peru," CIRJE F-Series CIRJE-F-651, CIRJE, Faculty of Economics, University of Tokyo.
- Jian Huang & Masahito Kobayashi & Michael McAleer, 2009. "Testing the Box-Cox Parameter in an Integrated Process," CIRJE F-Series CIRJE-F-661, CIRJE, Faculty of Economics, University of Tokyo.
- Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2009.
"Forecasting volatility and spillovers in crude oil spot, forward and future markets,"
Econometric Institute Report
EI 2009-12, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets," CARF F-Series CARF-F-163, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets," CIRJE F-Series CIRJE-F-641, CIRJE, Faculty of Economics, University of Tokyo.
- Chia-Lin Chang & Michael McAleer & Dan Slottje, 2009.
"Modelling International Tourist Arrivals and Volatility: An Application to Taiwan,"
"Marco Fanno" Working Papers
0097, Dipartimento di Scienze Economiche "Marco Fanno".
- Chia-Lin Chang & Michael McAleer & Dan Slottje, 2009. "Modelling International Tourist Arrivals and Volatility: An Application to Taiwan," Documentos del Instituto Complutense de Análisis Económico 0906, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Jose Angelo Divino & Michael McAleer, 2009. "Modelling the Growth and Volatility in Daily International Mass Tourism to Peru," Documentos del Instituto Complutense de Análisis Económico 0915, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Manabu Asai & Michael McAleer, 2009.
"Dynamic Conditional Correlations for Asymmetric Processes,"
CIRJE F-Series
CIRJE-F-657, CIRJE, Faculty of Economics, University of Tokyo.
- Manabu Asai & Michael McAleer, 2009. "Dynamic Conditional Correlations for Asymmetric Processes," CARF F-Series CARF-F-168, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Asai, M. & McAleer, M.J., 2010. "Dynamic Conditional Correlations for Asymmetric Processes," Econometric Institute Report EI 2010-76, Erasmus University Rotterdam, Econometric Institute.
- Manabu Asai & Michael McAleer, 2010. "Dynamic Conditional Correlations for Asymmetric Processes," KIER Working Papers 747, Kyoto University, Institute of Economic Research.
- Manabu Asai & Michael McAleer, 2011. "Dynamic Conditional Correlations for Asymmetric Processes," Documentos del Instituto Complutense de Análisis Económico 2011-30, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Manabu Asai & Michael McAleer, 2010. "Dynamic Conditional Correlations for Asymmetric Processes," Working Papers in Economics 10/76, University of Canterbury, Department of Economics and Finance.
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2009.
"How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan,"
CIRJE F-Series
CIRJE-F-637, CIRJE, Faculty of Economics, University of Tokyo.
- Chang, Chia-Lin & Franses, Philip Hans & McAleer, Michael, 2011. "How accurate are government forecasts of economic fundamentals? The case of Taiwan," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1066-1075, October.
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010. "How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan," KIER Working Papers 720, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010. "How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan," Working Papers in Economics 10/16, University of Canterbury, Department of Economics and Finance.
- Michael McAleer & Bernardo da Veiga & Suhejla Hoti, 2009.
"Value-at-Risk for Country Risk Ratings,"
CIRJE F-Series
CIRJE-F-659, CIRJE, Faculty of Economics, University of Tokyo.
- Michael McAleer & Bernardo da Veiga & Suhejla Hoti, 2010. "Value-at-Risk for Country Risk Ratings," Working Papers in Economics 10/29, University of Canterbury, Department of Economics and Finance.
- Michael McAleer & Bernardo da Veiga & Suhejla Hoti, 2009. "Value-at-Risk for Country Risk Ratings," CARF F-Series CARF-F-169, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Bernardo da Veiga & Felix Chan & Michael McAleer, 2009.
"It Pays to Violate: How Effective are the Basel Accord Penalties?,"
CIRJE F-Series
CIRJE-F-683, CIRJE, Faculty of Economics, University of Tokyo.
- Bernardo da Veiga & Felix Chan & Michael McAleer, 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," CARF F-Series CARF-F-186, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Veiga, B. da & Chan, F. & McAleer, M.J., 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," Econometric Institute Report EI 2009-39, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer & Christine Lim, 2009. "Modelling Short and Long Haul Volatility in Japanese Tourist Arrivals to New Zealand and Taiwan," CIRJE F-Series CIRJE-F-647, CIRJE, Faculty of Economics, University of Tokyo.
- Manabu Asai & Michael McAleer, 2009.
"Alternative Asymmetric Stochastic Volatility Models,"
CIRJE F-Series
CIRJE-F-655, CIRJE, Faculty of Economics, University of Tokyo.
- Manabu Asai & Michael McAleer, 2011. "Alternative Asymmetric Stochastic Volatility Models," Econometric Reviews, Taylor and Francis Journals, vol. 30(5), pages 548-564.
- Manabu Asai & Michael McAleer, 2010. "Alternative Asymmetric Stochastic Volatility Models," Working Papers in Economics 10/70, University of Canterbury, Department of Economics and Finance.
- Manabu Asai & Michael McAleer, 2009. "Alternative Asymmetric Stochastic Volatility Models," CARF F-Series CARF-F-166, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Manabu Asai & Michael McAleer, 2010. "Alternative Asymmetric Stochastic Volatility Models," KIER Working Papers 739, Kyoto University, Institute of Economic Research.
- Asai, M. & McAleer, M.J., 2010. "Alternative Asymmetric Stochastic Volatility Models," Econometric Institute Report EI 2010-69, Erasmus University Rotterdam, Econometric Institute.
- Joseph Macri & Michael McAleer & Dipendra Sinha, 2009. "On the Robustness of Alternative Rankings Methodologies For Australian and New Zealand Economics Departments," CIRJE F-Series CIRJE-F-660, CIRJE, Faculty of Economics, University of Tokyo.
- Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009.
"Optimal Risk Management Before, During and After the 2008-09 Financial Crisis,"
CIRJE F-Series
CIRJE-F-667, CIRJE, Faculty of Economics, University of Tokyo.
- Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," CARF F-Series CARF-F-171, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez Amaral, Teodosio, 2009. "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," MPRA Paper 20975, University Library of Munich, Germany, revised 20 Sep 2009.
- Juan Angel Jimenez Martin & Michael McAleer & Teodosio Pérez-Amaral, 2009. "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," Documentos del Instituto Complutense de Análisis Económico 0920, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Pérez-Amaral, 2009. "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," Documentos del Instituto Complutense de Análisis Económico 0912, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chang, C-L. & Franses, Ph.H.B.F. & McAleer, M.J., 2009. "How Accurate are Government Forecast of Economic Fundamentals?," Econometric Institute Report EI 2009-09, Erasmus University Rotterdam, Econometric Institute.
- Kiyotaka Sato & Zhaoyong Zhang & Michael McAleer, 2009.
"Identifying Shocks in Regionally Integrated East Asian Economies with Structural VAR and Block Exogeneity,"
CIRJE F-Series
CIRJE-F-694, CIRJE, Faculty of Economics, University of Tokyo.
- Kiyotaka Sato & Zhaoyong Zhang & Michael McAleer, 2010. "Identifying Shocks in Regionally Integrated East Asian Economies with Structural VAR and Block Exogeneity," Working Papers in Economics 10/23, University of Canterbury, Department of Economics and Finance.
- Sato, K. & Zhang, Z. & McAleer, M.J., 2010. "Identifying Shocks in Regionally Integrated East Asian Economies with Structural VAR and Block Exogeneity," Econometric Institute Report EI 2010-09, Erasmus University Rotterdam, Econometric Institute.
- Sato, K. & Zhang, Z. & McAleer, M.J., 2009. "Identifying Shocks in Regionally Integrated East Asian Economies with Structural VaR and Block Exogeneity," Econometric Institute Report EI 2009-49, Erasmus University Rotterdam, Econometric Institute.
- Abdul Hakim & Michael McAleer, 2009.
"VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds,"
CIRJE F-Series
CIRJE-F-676, CIRJE, Faculty of Economics, University of Tokyo.
- Hakim, A. & McAleer, M.J., 2009. "VaR Forecast and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds," Econometric Institute Report EI 2009-32, Erasmus University Rotterdam, Econometric Institute.
- Abdul Hakim & Michael McAleer, 2009. "VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds," CARF F-Series CARF-F-178, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Guorui Bian & Michael McAleer & Wing-Keung Wong, 2009.
"A Trinomial Test for Paired Data When There are Many Ties,"
CIRJE F-Series
CIRJE-F-662, CIRJE, Faculty of Economics, University of Tokyo.
- Bian, G. & McAleer, M.J. & Wong, W-K., 2010. "A Trinomial Test for Paired Data When There are Many Ties," Econometric Institute Report EI 2010-68, Erasmus University Rotterdam, Econometric Institute.
- Guorui Bian & Michael McAleer & Wing-Keung Wong, 2010. "A Trinomial Test for Paired Data When There are Many Ties," KIER Working Papers 736, Kyoto University, Institute of Economic Research.
- Guorui Bian & Michael McAleer & Wing-Keung Wong, 2010. "A Trinomial Test for Paired Data When There are Many Ties," Working Papers in Economics 10/20, University of Canterbury, Department of Economics and Finance.
- Bian, G. & McAleer, M.J. & Wong, W-K., 2010. "A Trinomial Test for Paired Data When There are Many Ties," Econometric Institute Report EI 2010-66, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer, 2009.
"A Panel Threshold Model of Tourism Specialization and Economic Development,"
CIRJE F-Series
CIRJE-F-685, CIRJE, Faculty of Economics, University of Tokyo.
- Chang, C-L. & Khamkaew, T. & McAleer, M.J., 2009. "A Panel Threshold Model of Tourism Specialization and Economic Development," Econometric Institute Report EI 2009-40, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer, 2009. "A Panel Threshold Model of Tourism Specialization and Economic Development," CARF F-Series CARF-F-188, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- LanFen Chu & Michael McAleer & Chi-Chung Chen, 2009.
"How Volatile is ENSO?,"
CIRJE F-Series
CIRJE-F-635, CIRJE, Faculty of Economics, University of Tokyo.
- LanFen Chu & Michael McAleer & Chi-Chung Chen, 2010. "How Volatile is ENSO?," KIER Working Papers 729, Kyoto University, Institute of Economic Research.
- Chu, L.F. & McAleer, M.J. & Chen, C-C., 2009. "How Volatile is ENSO?," Econometric Institute Report EI 2009-18, Erasmus University Rotterdam, Econometric Institute.
- LanFen Chu & Chi-Chung Chen & Michael McAleer, 2010. "How Volatile is ENSO?," Working Papers in Economics 10/31, University of Canterbury, Department of Economics and Finance.
- LanFen Chu & Michael McAleer & Chi-Chung Chen, 2011. "How Volatile is ENSO?," Documentos del Instituto Complutense de Análisis Económico 2011-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Shawkat Hammoudeh & Yuan Yuan & Michael McAleer & Mark A. Thompson, 2009.
"Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies,"
CIRJE F-Series
CIRJE-F-684, CIRJE, Faculty of Economics, University of Tokyo.
- Hammoudeh, Shawkat M. & Yuan, Yuan & McAleer, Michael & Thompson, Mark A., 2010. "Precious metals-exchange rate volatility transmissions and hedging strategies," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 633-647, October.
- Hammoudeh, S.M. & Yuan, Y. & McAleer, M.J. & Thompson, M.A., 2009. "Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies," Econometric Institute Report EI 2009-38, Erasmus University Rotterdam, Econometric Institute.
- Shawkat Hammoudeh & Yuan Yuan & Michael McAleer & Mark A. Thompson, 2009. "Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies," CARF F-Series CARF-F-187, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Shawkat M. Hammoudeh & Yuan Yuan & Michael McAleer, 2009.
"Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies,"
CIRJE F-Series
CIRJE-F-668, CIRJE, Faculty of Economics, University of Tokyo.
- Shawkat M. Hammoudeh & Yuan Yuan & Michael McAleer, 2009. "Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies," CARF F-Series CARF-F-172, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Abdul Hakim & Michael McAleer, 2009.
"Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets,"
CIRJE F-Series
CIRJE-F-663, CIRJE, Faculty of Economics, University of Tokyo.
- Abdul Hakim & Michael McAleer, 2010. "Modelling the interactions across international stock, bond and foreign exchange markets," Applied Economics, Taylor and Francis Journals, vol. 42(7), pages 825-850.
- Abdul Hakim & Michael McAleer, 2009. "Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets," CARF F-Series CARF-F-170, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Hsiao-I Kuo & Chi-Chung Chen & Michael McAleer, 2009.
"Estimating the Impact of Whaling on Global Whale Watching,"
CIRJE F-Series
CIRJE-F-634, CIRJE, Faculty of Economics, University of Tokyo.
- Hsiao-I Kuo & Chi-Chung Chen & Michael McAleer, 2010. "Estimating the Impact of Whaling on Global Whale Watching," Working Papers in Economics 10/30, University of Canterbury, Department of Economics and Finance.
- Hsiao-I Kuo & Chi-Chung Chen & Michael McAleer, 2011. "Estimating the Impact of Whaling on Global Whale Watching," Documentos del Instituto Complutense de Análisis Económico 2011-23, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Kuo, H-I. & Chen, C-C. & McAleer, M.J., 2009. "Estimating the impact of whaling on global whale watching," Econometric Institute Report EI 2009-23, Erasmus University Rotterdam, Econometric Institute.
- Hsiao-I Kuo & Chi-Chung Chen & Michael McAleer, 2010. "Estimating the Impact of Whaling on Global Whale Watching," KIER Working Papers 728, Kyoto University, Institute of Economic Research.
- Massimiliano Caporin & Michael McAleer, 2009.
"A Scientific Classification of Volatility Models,"
Documentos del Instituto Complutense de Análisis Económico
0905, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Massimiliano Caporin & Michael McAleer, 2010. "A Scientific Classification Of Volatility Models," Journal of Economic Surveys, Wiley Blackwell, vol. 24(1), pages 192-195, 02.
- Massimiliano Caporin & Michael McAleer, 2009. "A Scientific Classification of Volatility Models," Documentos del Instituto Complutense de Análisis Económico 0909, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chia-Lin Chang & Michael McAleer, 2009.
"Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan,"
CIRJE F-Series
CIRJE-F-691, CIRJE, Faculty of Economics, University of Tokyo.
- Chang, C-L. & McAleer, M.J., 2009. "Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan," Econometric Institute Report EI 2009-41, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer, 2009. "Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan," CARF F-Series CARF-F-192, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Chang, C-L. & McAleer, M.J., 2009. "Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan," Econometric Institute Report EI 2009-41, Erasmus University Rotterdam, Econometric Institute.
- Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2009.
"Modelling conditional correlations for risk diversification in crude oil markets,"
Econometric Institute Report
EI 2009-11, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets," CARF F-Series CARF-F-162, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets," CIRJE F-Series CIRJE-F-640, CIRJE, Faculty of Economics, University of Tokyo.
- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009.
"Modelling and Forecasting Noisy Realized Volatility,"
CIRJE F-Series
CIRJE-F-669, CIRJE, Faculty of Economics, University of Tokyo.
- Asai, Manabu & McAleer, Michael & Medeiros, Marcelo C., 2012. "Modelling and forecasting noisy realized volatility," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 217-230, January.
- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," Documentos del Instituto Complutense de Análisis Económico 2011-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," KIER Working Papers 758, Kyoto University, Institute of Economic Research.
- Asai, M. & McAleer, M.J. & Medeiros, M., 2011. "Modelling and Forecasting Noisy Realized Volatility," Econometric Institute Report EI 2011-05, Erasmus University Rotterdam, Econometric Institute.
- Manuabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010. "Modelling and Forecasting Noisy Realized Volatility," Working Papers in Economics 10/21, University of Canterbury, Department of Economics and Finance.
- Michael McAleer & Marcelo C. Medeiros, 2009.
"Forecasting Realized Volatility with Linear and Nonlinear Models,"
CIRJE F-Series
CIRJE-F-686, CIRJE, Faculty of Economics, University of Tokyo.
- Michael McAleer & Marcelo C. Medeiros, 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," CARF F-Series CARF-F-189, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- McAleer, M.J. & Medeiros, M.C., 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," Econometric Institute Report EI 2009-37, Erasmus University Rotterdam, Econometric Institute.
- Michael McAleer & Marcelo Cunha Medeiros, 2010. "Forecasting Realized Volatility with Linear and Nonlinear Models," Textos para discussão 568, Department of Economics PUC-Rio (Brazil).
- Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009.
"Modelling Long Memory Volatility in Agricultural Commodity Futures Returns,"
CIRJE F-Series
CIRJE-F-680, CIRJE, Faculty of Economics, University of Tokyo.
- Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009. "Modelling Long Memory Volatility in Agricultural Commodity Futures Returns," CARF F-Series CARF-F-183, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, . "Modelling Long Memory Volatility in Agricultural Commodity Futures Returns," Documentos del Instituto Complutense de Análisis Económico 2012-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, revised May 2012.
- Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2009. "Modelling Long Memory Volatility in Agricultural Commodity Futures Returns," Econometric Institute Report EI 2009-35, Erasmus University Rotterdam, Econometric Institute.
- Michael McAleer & Chia-Lin Chang & Roengchai Tansuchat, 2012. "Modelling Long Memory Volatility in Agricultural Commodity Futures Return," KIER Working Papers 817, Kyoto University, Institute of Economic Research.
- Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2012. "Modelling Long Memory Volatility in Agricultural Commodity Futures Returns," Econometric Institute Report EI 2012-15, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2012. "Modelling Long Memory Volatility in Agricultural Commodity Futures Returns," Working Papers in Economics 12/09, University of Canterbury, Department of Economics and Finance.
- Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009.
"What Happened to Risk Management During the 2008-09 Financial Crisis?,"
CIRJE F-Series
CIRJE-F-636, CIRJE, Faculty of Economics, University of Tokyo.
- Juan Angel Jimenez Martin & Michael McAleer & Teodosio Pérez-Amaral, 2009. "What Happened to Risk Management During the 2008-09 Financial Crisis?," Documentos del Instituto Complutense de Análisis Económico 0919, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T., 2009. "What Happened to Risk Management During the 2008-09 Financial Crisis?," Econometric Institute Report EI 2009-17, Erasmus University Rotterdam, Econometric Institute.
- Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "What Happened to Risk Management During the 2008-09 Financial Crisis?," CARF F-Series CARF-F-155, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Chia-Lin Chang & Biing-Wen Huang & Meng-Gu Chen & Michael McAleer, 2009.
"Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO,"
CIRJE F-Series
CIRJE-F-642, CIRJE, Faculty of Economics, University of Tokyo.
- Chang, C-L. & Huang, B-W. & Chen, M.-G., 2010. "Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO," Econometric Institute Report EI 2010-46, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Biing-Wen Huang & Meng-Gu Chen & Michael McAleer, 2010. "Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO," Working Papers in Economics 10/39, University of Canterbury, Department of Economics and Finance.
- Chia-Lin Chang & Michael McAleer & Biing-Wen Huang & Meng-Gu Chen, 2009. "Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO," Documentos del Instituto Complutense de Análisis Económico 0914, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Ana Bartolome & Michael McAleer & Vicente Ramos & Javier Rey-Maquieira, 2009. "Cruising is Risky Business," CIRJE F-Series CIRJE-F-664, CIRJE, Faculty of Economics, University of Tokyo.
- David E Allen & Michael McAleer & Marcel Scharth, 2009. "Pricing Options by Simulation Using Realized Volatility," Working papers 2009-02, Edith Cowan University, School of Accounting Finance & Economics.
- Massimiliano Caporin & Michael McAleer, 2009.
"Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models,"
Documentos del Instituto Complutense de Análisis Económico
0904, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Massimiliano Caporin & Michael McAleer, 2009. "Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models," CIRJE F-Series CIRJE-F-638, CIRJE, Faculty of Economics, University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2009. "Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models," CARF F-Series CARF-F-156, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009.
"Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return,"
CIRJE F-Series
CIRJE-F-639, CIRJE, Faculty of Economics, University of Tokyo.
- Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return," CARF F-Series CARF-F-157, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Areosa, W.D. & McAleer, M.J. & Medeiros, M.C., 2008.
"Moment-bases estimation of smooth transition regression models with endogenous variables,"
Econometric Institute Report
EI 2008-36, Erasmus University Rotterdam, Econometric Institute.
- Areosa, Waldyr Dutra & McAleer, Michael & Medeiros, Marcelo C., 2011. "Moment-based estimation of smooth transition regression models with endogenous variables," Journal of Econometrics, Elsevier, vol. 165(1), pages 100-111.
- Waldyr Dutra Areosa & Michael McAleer & Marcelo Cunha Medeiros, 2010. "Moment-based estimation of smooth transition regression models with endogenous variables," Textos para discussão 571, Department of Economics PUC-Rio (Brazil).
- Waldyr Dutra Areosa & Michael McAleer & Marcelo C. Medeiros, 2009. "Moment-Based Estimation of Smooth Transition Regression Models with Endogenous Variables," CIRJE F-Series CIRJE-F-671, CIRJE, Faculty of Economics, University of Tokyo.
- David E Allen & Michael McAleer & Marcel Scharth, 2008. "Realized Volatility Uncertainty," Working papers 2008-07, Edith Cowan University, School of Accounting Finance & Economics.
- Asai, M. & McAleer, M.J. & Medeiros, M.C., 2008.
"Asymmetry and leverage in realized volatility,"
Econometric Institute Report
EI 2008-31, Erasmus University Rotterdam, Econometric Institute.
- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009. "Asymmetry and Leverage in Realized Volatility," CARF F-Series CARF-F-167, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009. "Asymmetry and Leverage in Realized Volatility," CIRJE F-Series CIRJE-F-656, CIRJE, Faculty of Economics, University of Tokyo.
- Wiphatthanananthakul, C. & McAleer, M.J., 2008.
"A simple expected volatility (SEV) index: application to SET50 index options,"
Econometric Institute Report
EI 2008-35, Erasmus University Rotterdam, Econometric Institute.
- Chatayan Wiphatthanananthakul & Michael McAleer, 2009. "Simple Expected Volatility (SEV) Index: Application to SET50 Index Options," CARF F-Series CARF-F-173, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Michael McAleer & Chatayan Wiphatthanananthakul, 2010. "A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options," Working Papers in Economics 10/15, University of Canterbury, Department of Economics and Finance.
- Chatayan Wiphatthanananthakul & Michael McAleer, 2009. "A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options," CIRJE F-Series CIRJE-F-672, CIRJE, Faculty of Economics, University of Tokyo.
- McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T., 2008.
"A decision rule to minimize daily capital charges in forecasting value-at-risk,"
Econometric Institute Report
EI 2008-34, Erasmus University Rotterdam, Econometric Institute.
- Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2009. "A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk," Documentos del Instituto Complutense de Análisis Económico 0907, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk," CIRJE F-Series CIRJE-F-644, CIRJE, Faculty of Economics, University of Tokyo.
- Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk," CARF F-Series CARF-F-159, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Franses, Ph.H.B.F. & McAleer, M.J. & Legerstee, R., 2008.
"Does the ROMC have expertise, and can it forecast?,"
Econometric Institute Report
EI 2008-33, Erasmus University Rotterdam, Econometric Institute.
- Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2009. "Does the FOMC Have Expertise, and Can It Forecast?," CIRJE F-Series CIRJE-F-648, CIRJE, Faculty of Economics, University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2008.
"Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH,"
"Marco Fanno" Working Papers
0064, Dipartimento di Scienze Economiche "Marco Fanno".
- Massimiliano Caporin & Michael McAleer, 2011. "Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 65(2), pages 125-163, 05.
- Caporin, M. & McAleer, M.J., 2010. "Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH," Econometric Institute Report EI 2010-36, Erasmus University Rotterdam, Econometric Institute.
- Michael McAleer & Massimiliano Caporin, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," Working Papers in Economics 10/32, University of Canterbury, Department of Economics and Finance.
- Massimiliano Caporin & Michael McAleer, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," CIRJE F-Series CIRJE-F-740, CIRJE, Faculty of Economics, University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2009. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," Documentos del Instituto Complutense de Análisis Económico 0911, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Massimiliano Caporin & Michael McAleer, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," CARF F-Series CARF-F-217, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," KIER Working Papers 741, Kyoto University, Institute of Economic Research.
- Massimiliano Caporin & Michael McAleer, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," Working Papers in Economics 10/73, University of Canterbury, Department of Economics and Finance.
- Hammoudeh, S.M. & Yuan, Y. & McAleer, M.J., 2008.
"Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets,"
Econometric Institute Report
EI 2008-29, Erasmus University Rotterdam, Econometric Institute.
- Hammoudeh, Shawkat M. & Yuan, Yuan & McAleer, Michael, 2009. "Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 829-842, August.
- Divino, J. A. & McAleer, M.J., 2008.
"Modelling sustainable international tourism demand to the Brazilian Amazon,"
Econometric Institute Report
EI 2008-22, Erasmus University Rotterdam, Econometric Institute.
- Jose Angelo Divino & Michael McAleer, 2009. "Modelling Sustainable International Tourism Demand to the Brazilian Amazon," Documentos del Instituto Complutense de Análisis Económico 0913, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Jose Angelo Divino & Michael McAleer, 2009. "Modelling Sustainable International Tourism Demand to the Brazilian Amazon," CIRJE F-Series CIRJE-F-650, CIRJE, Faculty of Economics, University of Tokyo.
- McAleer, M.J., 2008.
"The ten commandments for optimizing value-at-risk and daily capital charges,"
Econometric Institute Report
EI 2008-32, Erasmus University Rotterdam, Econometric Institute.
- Michael McAleer, 2009. "The Ten Commandments For Optimizing Value-At-Risk And Daily Capital Charges," Journal of Economic Surveys, Wiley Blackwell, vol. 23(5), pages 831-849, December.
- Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," Documentos del Instituto Complutense de Análisis Económico 0910, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CIRJE F-Series CIRJE-F-652, CIRJE, Faculty of Economics, University of Tokyo.
- Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CARF F-Series CARF-F-164, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- McAleer, M.J. & Huang, B-W. & Kuo, H-I. & Chen, C-C. & Chang, C-L., 2008.
"An econometric analysis of SARS and Avian flu on international tourist arrivals to Asia,"
Econometric Institute Report
EI 2008-21, Erasmus University Rotterdam, Econometric Institute.
- Michael McAleer & Bing-Wen Huang & Hsiao-I Kuo & Chi-Chung Chen & Chia-Lin Chang, 2009. "An Econometric Analysis of SARS and Avian Flu on International Tourist Arrivals to Asia," CIRJE F-Series CIRJE-F-649, CIRJE, Faculty of Economics, University of Tokyo.
- Franses, Ph.H.B.F. & McAleer, M.J. & Legerstee, R., 2008.
"Expert opinion versus expertise in forecasting,"
Econometric Institute Report
EI 2008-30, Erasmus University Rotterdam, Econometric Institute.
- Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2009. "Expert opinion versus expertise in forecasting," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 63(3), pages 334-346.
- Sinha, Dipendra & Macri, Joseph & McAleer, Michael, 2007. "On the Robustness of Alternative Rankings Methodologies: Australian and New Zealand Economics Departments, 1988-2002," MPRA Paper 2881, University Library of Munich, Germany.
- David E. Allen & Zdravetz Lazarov & Michael McAleer & Shelton Peiris, 2007. "Comparison of Alternative ACD Models via Density and Interval Forecasts: Evidence from the Australian Stock Market," Working papers 2007-03, Edith Cowan University, School of Accounting Finance & Economics.
- David E. Allen & Zdravetz Lazarov & Michael McAleer, 2007. "Modelling Intra-day Seasonality and Forecasting Densities in Financial Duration Data," Working papers 2007-02, Edith Cowan University, School of Accounting Finance & Economics.
- Gao, Jiti & McAleer, Michael & Allen, Dave, 2006.
"Econometric modelling in finance and risk management: An overview,"
MPRA Paper
11978, University Library of Munich, Germany, revised Nov 2007.
- Gao, Jiti & McAleer, Michael & Allen, David E., 2008. "Econometric modelling in finance and risk management: An overview," Journal of Econometrics, Elsevier, vol. 147(1), pages 1-4, November.
- Riaz Shareef & Michael McAleer, 2006. "Modelling International Tourism Demand and Uncertainty in Maldives and Seychelles: A Portfolio Approach," Working papers 2006-05, Edith Cowan University, School of Accounting Finance & Economics.
- Michael McAleer & Marcelo Cunha Medeiros, 2006.
"Realized volatility: a review,"
Textos para discussão
531 Publication status: F, Department of Economics PUC-Rio (Brazil).
- Michael McAleer & Marcelo Medeiros, 2008. "Realized Volatility: A Review," Econometric Reviews, Taylor and Francis Journals, vol. 27(1-3), pages 10-45.
- David E Allen & Felix Chan & Michael McAleer & Shelton Peiris, 2006.
"Finite Sample Properties of the QMLE for the Log-ACD Model: Application to Australian Stocks,"
Working papers
2006-04, Edith Cowan University, School of Accounting Finance & Economics.
- Allen, David & Chan, Felix & McAleer, Michael & Peiris, Shelton, 2008. "Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks," Journal of Econometrics, Elsevier, vol. 147(1), pages 163-185, November.
- Manabu Asai & Michael McAleer & Jun Yu, 2006.
"Multivariate Stochastic Volatility,"
Microeconomics Working Papers
22058, East Asian Bureau of Economic Research.
- Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo.
- Manabu Asai & Michael McAleer, 2005.
"Asymmetric Multivariate Stochastic Volatility,"
DEA Working Papers
12, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- Manabu Asai & Michael McAleer, 2006. "Asymmetric Multivariate Stochastic Volatility," Econometric Reviews, Taylor and Francis Journals, vol. 25(2-3), pages 453-473.
- Michael McAleer & Riaz Shareef & Bernardo da Veiga, 2005. "Risk Management of Daily Tourist Tax Revenues for the Maldives," Working Papers 2005.137, Fondazione Eni Enrico Mattei.
- Riaz Shareef & Michael McAleer, 2005. "Modelling International Tourism Demand and Volatility in Small Island Tourism Economies," Working papers 2005-17, Edith Cowan University, School of Accounting Finance & Economics.
- Suhejla Hoti & Riaz Shareef & Michael McAleer, 2005. "Modelling International Tourism and Country Risk Spillovers for Cyprus and Malta," Working papers 2005-16, Edith Cowan University, School of Accounting Finance & Economics.
- David E. Allen & Michael McAleer & Bernardo Veiga, 2005. "Modelling and Forecasting Dynamic VaR Thresholds for Risk Management and Regulation," Working papers 2005-03, Edith Cowan University, School of Accounting Finance & Economics.
- Michael McAleer & Riaz Shareef & Bernardo da Veiga, 2005.
"Managing Value-at-Risk in Daily Tourist Tax Revenues for the Maldives,"
DEA Working Papers
11, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- Michael McAleer & Riaz Shareef & Bernardo da Veiga, 2005. "Managing Value-at-Risk in Daily Tourist Tax Revenue for the Maldives," Working papers 2005-14, Edith Cowan University, School of Accounting Finance & Economics.
- Suhejla Hoiti & Esfandiar Maasoumi & Michael McAleer & Daniel Slottje, 2005.
"Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments,"
DEA Working Papers
14, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- Suhejla Hoti & Esfandiar Maasoumi & Michael McAleer & Daniel Slottje, 2009. "Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments," Econometric Reviews, Taylor and Francis Journals, vol. 28(6), pages 522-554.
- Kiyotaka Sato & Zhaoyong Zhang & Michael McAleer, 2005. "Towards an East Asian Monetary Union: An Econometrics Analysis of Shocks," Working papers 2005-06, Edith Cowan University, School of Accounting Finance & Economics.
- Matteo Manera & Alessandro Lanza & Michael McAleer, 2004.
"Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns,"
Working Papers
2004.72, Fondazione Eni Enrico Mattei.
- Lanza, Alessandro & Manera, Matteo & McAleer, Michael, 2006. "Modeling dynamic conditional correlations in WTI oil forward and futures returns," Finance Research Letters, Elsevier, vol. 3(2), pages 114-132, June.
- Suhejla Hoti & Michael McAleer & Laurent L. Pauwels, 2004. "Modelling Environmental Risk," IHEID Working Papers 08-2004, Economics Section, The Graduate Institute of International Studies.
- Christine Lim & Michael McAleer, 2003. "Modelling International Travel Demand from Singapore to Australia," CIRJE F-Series CIRJE-F-214, CIRJE, Faculty of Economics, University of Tokyo.
- Baiding Hu & Michael McAleer, 2003. "Input-output Structure and Growth in China," CIRJE F-Series CIRJE-F-209, CIRJE, Faculty of Economics, University of Tokyo.
- Peter Verhoeven & Michael McAleer, 2003. "Fat Tails and Asymmetry in Financial Volatility Models," CIRJE F-Series CIRJE-F-211, CIRJE, Faculty of Economics, University of Tokyo.
- Robert L. Basmann & Michael McAleer & Daniel Slottje, 2003.
"Patent Activity and Technical Change,"
CIRJE F-Series
CIRJE-F-217, CIRJE, Faculty of Economics, University of Tokyo.
- Basmann, Robert L. & McAleer, Michael & Slottje, Daniel, 2007. "Patent activity and technical change," Journal of Econometrics, Elsevier, vol. 139(2), pages 355-375, August.
- Robert L. Basmann & Michael McAleer & Daniel Slottje, 2007. "Patent Activity and Technical Change," DEA Working Papers 27, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- Suhejla Hoti & Felix Chan & Michael McAleer, 2003. "Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings," CIRJE F-Series CIRJE-F-203, CIRJE, Faculty of Economics, University of Tokyo.
- Felix Chan & Dora Marinova & Michael McAleer, 2003. "Modelling the Asymmetric Volatility of Electronics Patents in the USA," CIRJE F-Series CIRJE-F-208, CIRJE, Faculty of Economics, University of Tokyo.
- Zonglu He & Koichi Maekawa & Michael McAleer, 2003.
"Asymptotic Properties of the Estimator of the Long-run Coefficient in a Dynamic Model with Integrated Regressors and Serially Correlated Errors,"
CIRJE F-Series
CIRJE-F-215, CIRJE, Faculty of Economics, University of Tokyo.
- Zonglu He & Koichi Maekawa & Michael McAleer, 2003. "Asymptotic Properties Of The Estimator Of The Long-Run Coefficient In A Dynamic Model With Integrated Regressors And Serially Correlated Errors," The Japanese Economic Review, Japanese Economic Association, vol. 54(4), pages 420-438.
- Koichi Maekawa & Michael McAleer & Zonglu He, 2001. "Asymptotic Properties of the Estimator of the Long-run Coefficient in a Dynamic Model with Integrated Regressors and Serially Correlated Errors," ISER Discussion Paper 0538, Institute of Social and Economic Research, Osaka University.
- Dora Marinova & Michael McAleer, 2003. "Environmental Technology Strengths: International Rankings Based on US Patent Data," CIRJE F-Series CIRJE-F-204, CIRJE, Faculty of Economics, University of Tokyo.
- Lee Kian Lim & Michael McAleer, 2003.
"Convergence and Catching Up in ASEAN: A Comparative Analysis,"
CIRJE F-Series
CIRJE-F-218, CIRJE, Faculty of Economics, University of Tokyo.
- Lee Kian Lim & Michael McAleer, 2004. "Convergence and catching up in ASEAN: a comparative analysis," Applied Economics, Taylor and Francis Journals, vol. 36(2), pages 137-153.
- Felix Chan & Michael McAleer, 2003. "On the Structure, Asymptotic Theory and Applications of STAR-GARCH Models," CIRJE F-Series CIRJE-F-216, CIRJE, Faculty of Economics, University of Tokyo.
- Zhaoyong Zhang & Kiyotaka Sato & Michael McAleer, 2003. "Asian Monetary Integration: A Structural VAR Approach," CIRJE F-Series CIRJE-F-212, CIRJE, Faculty of Economics, University of Tokyo.
- Shiqing Ling & W. K. Li & Michael McAleer, 2003.
"Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence,"
CIRJE F-Series
CIRJE-F-207, CIRJE, Faculty of Economics, University of Tokyo.
- Shiqing Ling & W. K. Li & Michael McAleer, 2003. "Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence," Econometric Reviews, Taylor and Francis Journals, vol. 22(2), pages 179-202.
- Shiqing Ling & W. K. Li & Michael McAleer, 2001. "Estimation and Testing for Unit Root Processes with GARCH(1,1) Errors: Theory and Monte Carlo Evidence," ISER Discussion Paper 0544, Institute of Social and Economic Research, Osaka University.
- Clinton Watkins & Michael McAleer, 2003.
"Pricing of Non-ferrous Metals Futures on the London Metal Exchange,"
CIRJE F-Series
CIRJE-F-213, CIRJE, Faculty of Economics, University of Tokyo.
- Clinton Watkins & Michael McAleer, 2006. "Pricing of non-ferrous metals futures on the London Metal Exchange," Applied Financial Economics, Taylor and Francis Journals, vol. 16(12), pages 853-880.
- John M. Sequeira & Pang Chia Chiat & Michael McAleer, 2003. "Volatility Models of Currency Futures in Developed and Emerging Markets," CIRJE F-Series CIRJE-F-210, CIRJE, Faculty of Economics, University of Tokyo.
- Shiqing Ling & Michael McAleer, 2003.
"Regression Quantiles for Unstable Autoregressive Models,"
CIRJE F-Series
CIRJE-F-205, CIRJE, Faculty of Economics, University of Tokyo.
- Ling, Shiqing & McAleer, Michael, 2004. "Regression quantiles for unstable autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 89(2), pages 304-328, May.
- Ling, S. & McAleer, M., 2001. "Regression Quantiles for Unstable Autoregressive Models," ISER Discussion Paper 0526, Institute of Social and Economic Research, Osaka University.
- Christine Lim & Michael McAleer, 2003. "Ecologically Sustainable Tourism Management," CIRJE F-Series CIRJE-F-206, CIRJE, Faculty of Economics, University of Tokyo.
- Clinton WATKINS & Michael McALEER, 2002. "Volatility of a Market Index and its Components: An Application to Commodity Markets," Computing in Economics and Finance 2002 18, Society for Computational Economics.
- Shiqing Ling & Michael McAleer, 2001.
"Asymptotic Theory for a Vector ARMA-GARCH Model,"
ISER Discussion Paper
0549, Institute of Social and Economic Research, Osaka University.
- Ling, Shiqing & McAleer, Michael, 2003. "Asymptotic Theory For A Vector Arma-Garch Model," Econometric Theory, Cambridge University Press, vol. 19(02), pages 280-310, April.
- Shiqing Ling & Michael McAleer, 2001.
"Stationarity and the Existence of Moments of a Family of GARCH Processes,"
ISER Discussion Paper
0535, Institute of Social and Economic Research, Osaka University.
- Ling, Shiqing & McAleer, Michael, 2002. "Stationarity and the existence of moments of a family of GARCH processes," Journal of Econometrics, Elsevier, vol. 106(1), pages 109-117, January.
- Christine Lim & Michael McAleer, 2001. "Modelling the Determinants of International Tourism Demand to Australia," ISER Discussion Paper 0532, Institute of Social and Economic Research, Osaka University.
- Matteo Manera & Michael McAleer, 2001. "Testing Multiple Non-nested Factor Demand Systems," ISER Discussion Paper 0543, Institute of Social and Economic Research, Osaka University.
- W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
- Felix Chan & Michael McAleer, 2001.
"Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers,"
ISER Discussion Paper
0539, Institute of Social and Economic Research, Osaka University.
- Felix Chan & Michael McAleer, 2003. "Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers," Applied Financial Economics, Taylor and Francis Journals, vol. 13(8), pages 581-592.
- Shiqing Ling & Michael McAleer, 2001. "On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors," ISER Discussion Paper 0548, Institute of Social and Economic Research, Osaka University.
- Shiqing Ling & Michael McAleer, 2001.
"Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models,"
ISER Discussion Paper
0534, Institute of Social and Economic Research, Osaka University.
- Ling, Shiqing & McAleer, Michael, 2002. "NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS," Econometric Theory, Cambridge University Press, vol. 18(03), pages 722-729, June.
- Christine Lim & Michael McAleer, 2001. "Time Series Forecasts of International Tourism Demand for Australia," ISER Discussion Paper 0533, Institute of Social and Economic Research, Osaka University.
- C. R. McKenzie & Michael McAleer, 2001. "Comparing Tests of Autoregressive Versus Moving Average Errors in Regression Models Using Bahadur's Asymptotic Relative Efficiency," ISER Discussion Paper 0537, Institute of Social and Economic Research, Osaka University.
- Franses, P.H. & McAleer, M., 1995.
"Testing Nested and Non-Nested Periodically Integrated Autoregressive Models,"
Papers
9510, Tilburg - Center for Economic Research.
- Franses, P.H. & McAleer, M., 1995. "Testing Nested and Non-Nested Periodically Integrated Autoregressive Models," Discussion Paper 1995-10, Tilburg University, Center for Economic Research.
- Keuzenkamp, H.A. & McAleer, M., 1994. "Simplicity, scientific inference and econometric modelling," Discussion Paper 1994-56, Tilburg University, Center for Economic Research.
- McAleer, M. & McKenzie, C.R. & Pesaren, M.H., 1993. "Cointegration and Direct Tests of the Rational Expectations Hypothesis," Cambridge Working Papers in Economics 9306, Faculty of Economics, University of Cambridge.
- Barten, A.P. & Mcaleer, M., 1991.
"Comparing The Empirical Perfomance Of Alternative Demand Systems,"
Papers
9002a, Tilburg - Center for Economic Research.
- Barten, A. & McAleer, M., 1991. "Comparing the Empirical Performance of Alternative Demand Systems," Discussion Paper 1991-2, Tilburg University, Center for Economic Research.
- Barten, A.P. & McAleer, M., 1991. "Comparing the Empirical Performance of Alternative Demand Systems," Papers 9102, Tilburg - Center for Economic Research.
- Smith, J. & Mcaleer, M., 1990. "On The Robustness Of Barro'S New Classical Unemployment Model," Papers 206, Australian National University - Department of Economics.
- McKensie, C.R. & McAleer, M., 1990. "On Efficient Estimation and Correct Inference in Models with Generated Regressions: A General Approach," Papers 211, Australian National University - Department of Economics.
- Mcaleer, M. & Smith, J., 1990. "A Mote Carlo Comparison Of Ols,Iv,Fiml And Bootstrap Standard Errors In Linear Models With Generated Regressors," Papers 207, Australian National University - Department of Economics.
- McAleer, M. & Smith, J., 1990.
"Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing,"
Papers
219, Australian National University - Department of Economics.
- Smith, Jeremy & McAleer, Michael, 1995. "Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 165-85, April-Jun.
- Mckensi, C.R. & Mcaleer, M. & Gill, L., 1990. "Simple Procedures For Testing Autoregressive Versus Moving Average Errors In Regression Models," Papers 210, Australian National University - Department of Economics.
- Bai, J. & Jakeman, A.J. & Mcaleer, M., 1990. "Estimation And Discrimination Of Alternative Air Pollution Models," Papers 209, Australian National University - Department of Economics.
- Mcaleer, M. & Pesaran, M.H. & Bera, A.K., 1990.
"Alternative Approaches To Testing Non-Nested Models With Autocorrelated Disturbances: An Application To Models Of U.S. Unemployment,"
Papers
10, California Los Angeles - Applied Econometrics.
- McAleer, M. & Pesaran, M.H. & Bera, A.K., 1990. "Alternative approaches to testing non-nested models with autocorrelated disturbances : an application to models of U.S. unemployment," Discussion Paper 1990-4, Tilburg University, Center for Economic Research.
- Mcaleer, M. & Pesaran, M.H. & Bera, A.K., 1990. "Alternative Approaches To Testing Non-Nested Models With Autocorrelated Disturbances: An Application To Models Of Us Unemployment," Cambridge Working Papers in Economics 9013, Faculty of Economics, University of Cambridge.
- Mcleer, M. & Pesaran, M.H. & Bera, A.K., 1990. "Alternative Approaches To Testing Non-Nested Models With Autocorrelated Disturbances: An Application To Models Of U.S. Unemployment," Papers 9004, Tilburg - Center for Economic Research.
- Mcaleer, M. & Mckenzie, C.R., 1990.
"Keynesian And New Classical Models Of Unemployment Revisited,"
Papers
9006, Tilburg - Center for Economic Research.
- McAleer, Michael & McKenzie, C R, 1991. "Keynesian and New Classical Models of Unemployment Revisited," Economic Journal, Royal Economic Society, vol. 101(406), pages 359-81, May.
- McAleer, M. & McKenzie, C.R., 1990. "Keynesian and new classical models of unemployment revisited," Discussion Paper 1990-6, Tilburg University, Center for Economic Research.
- Bai, J. & Jakeman, A.J. & Mcaleer, M., 1990.
"Discrimination Between Nested Two- And Three-Parameter Distributions: An Application To Models Of Air Pollution,"
Papers
9028, Tilburg - Center for Economic Research.
- Bai, J. & Jakeman, A. & McAleer, M., 1990. "Discrimination between Nested Two- and Three-Parameter Distributions : An Application to Models of Air Pollution," Discussion Paper 1990-28, Tilburg University, Center for Economic Research.
- Bai, J. & Jakeman, A.J. & Mcaleer, M., 1990. "Discrimination Between Nested Two-And Three-Parameter Distributions: An Application To Models Of Air Pollution," Papers 197, Australian National University - Department of Economics.
- Bai, J. & Jakeman, A. & Mcaleer, M., 1990. "Discrimination Procedures For Fitting Nested And Non-Nested Distributions To Environmental Quality Data," Papers 200, Australian National University - Department of Economics.
- Bai, J. & Jakeman, A.J. & Mcaleer, M., 1989. "A New Approach To Maximum Likelihood Estimation Of The Three-Paramater Gamma And Weibull Distributions," Papers 191, Australian National University - Department of Economics.
- Mcaleer, M. & Tse, Y.K., 1989. "On The Robustness Of Tests Of Outliers And Functional Form," ISER Discussion Paper 0179, Institute of Social and Economic Research, Osaka University.
- Bai, J. & Jakeman, A.J. & Mcaleer, M., 1989.
"The Effects Of Misspecification In Estimating The Percentiles Of Some Two -And Three-Parameter Distributions,"
Papers
185, Australian National University - Department of Economics.
- Bai, J. & Jakeman, J. & Mcaleer, M., 1989. "The Effects Of Misspecification In Estimating The Percentiles Of Some Two -And Three-Parameter Distributions," ISER Discussion Paper 0196, Institute of Social and Economic Research, Osaka University.
- Bera, A.K. & Mcaleer, M. & Pesaran, M.H., 1989. "Joint Test Of Non-Nested Models And General Erro Specifications," Papers 3, California Los Angeles - Applied Econometrics.
- Bai, J. & Jakeman, A.J. & Mcaleer, M., 1989. "Estimating The Percentiles Of Some Misspecified Non-Nested Distributions," Papers 193, Australian National University - Department of Economics.
- Beraq, A.K. & Mcaleer, M. & Pesaran, M.H., 1989. "Joint Tests Of Non-Nested Modls And General Error Specifications," ISER Discussion Paper 0197, Institute of Social and Economic Research, Osaka University.
- McALEER, M. & DASTOOR, N.K., 1988.
"Some Power Comparisons Of Joint And Paired Tests For Non-Nested Models Under Local Hypotheses,"
Papers
168, Australian National University - Department of Economics.
- Dastoor, Naorayex K. & McAleer, Michael, 1989. "Some Power Comparisons of Joint and Paired Tests for Nonnested Models under Local Hypotheses," Econometric Theory, Cambridge University Press, vol. 5(01), pages 83-94, April.
- McAleer, Michael & Pagan, Adrian, 1985.
"What Will Take the Con Out of Econometrics?,"
CEPR Discussion Papers
39, C.E.P.R. Discussion Papers.
- McAleer, Michael & Pagan, Adrian R & Volker, Paul A, 1985. "What Will Take the Con out of Econometrics?," American Economic Review, American Economic Association, vol. 75(3), pages 293-307, June.
- Naorayex K. Dastoor & Michael McAleer, 1985. "On the Consistency of Joint and Paired Tests for Non-Nested Regression Models," Working Papers 614, Queen's University, Department of Economics.
- Fisher, G. & Mcaleer, M. & Whistler, D., 1982.
"A Note on Identifiability in the Linear Expenditure Family,"
Cahiers de recherche
8215, Universite de Montreal, Departement de sciences economiques.
- Fisher, Gordon & McAleer, Michael & Whistler, Diana, 1982. "A Note on Identifiability in the Linear Expenditure Family," Australian Economic Papers, Wiley Blackwell, vol. 21(39), pages 416-20, December.
- Mcaleer, M. & Fisher, G. & Volker, P., 1982.
"Separate Misspecified Regressions and the U.S. Long Run Demand for Money Function,"
Cahiers de recherche
8217, Universite de Montreal, Departement de sciences economiques.
- McAleer, Michael & Fisher, Gordon & Volker, Paul, 1982. "Separate Misspecified Regressions and the U.S. Long-Run Demand for Money Function," The Review of Economics and Statistics, MIT Press, vol. 64(4), pages 572-83, November.
- Gordon Fisher & Michael McAleer, 1981.
"Alternative Procedures and Associated Tests of Significance for Non-Nested Hypotheses,"
Working Papers
420, Queen's University, Department of Economics.
- Fisher, Gordon R. & McAleer, Michael, 1981. "Alternative procedures and associated tests of significance for non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 16(1), pages 103-119, May.
- Michael McAleer & Gordon Fisher, 1981.
"Testing Separate Regression Models Subject to Specification Error,"
Working Papers
441, Queen's University, Department of Economics.
- McAleer, Michael & Fisher, Gordon, 1982. "Testing separate regression models subject to specification error," Journal of Econometrics, Elsevier, vol. 19(1), pages 125-145, May.
- Mcaleer, M. & Fisher, G., 1982. "Testing Separate Regression Models Subject to Specification Error," Cahiers de recherche 8216, Universite de Montreal, Departement de sciences economiques.
- Michael McAleer, 1981. "Exact Tests of a Model Against Non-Nested Alternatives," Working Papers 431, Queen's University, Department of Economics.
- Michael McAleer & Gordon Fisher, 1981. "Separate Misspecified Regressions," Working Papers 424, Queen's University, Department of Economics.
- Gordon Fisher & Michael McAleer, 1980. "The Interpretation of the Cox Test in Econometrics," Working Papers 371, Queen's University, Department of Economics.
- Gordon Fisher & Allan W. Gregory & Michael McAleer, 1980. "Two Papers on Linear Models," Working Papers 411, Queen's University, Department of Economics.
- Gordon Fisher & Michael McAleer, 1980. "Two Papers on Model Testing and Discrimination," Working Papers 416, Queen's University, Department of Economics.
- Gordon Fisher & Michael McAleer & Diana Whistler, 1980.
"Interest Rates and Durability in the Linear Expenditure Family,"
Working Papers
399, Queen's University, Department of Economics.
- Gordon Fisher & Michael McAleer & Diana Whistler, 1981. "Interest Rates and Durability in the Linear Expenditure Family," Canadian Journal of Economics, Canadian Economics Association, vol. 14(2), pages 331-41, May.
- Gordon Fisher & Michael McAleer, 1980. "Principles and Methods in the Testing of Alternative Models," Working Papers 400, Queen's University, Department of Economics.
- Allan W. Gregory & Michael McAleer, 1980. "Exogeneity and Money Demand in a Small Open Economy: The Canadian Case," Working Papers 401, Queen's University, Department of Economics.
- Gordon Fisher & Michael McAleer, 1979. "Theory and Econometric Evaluation of a Systems Approach to Money Demand, The Canadian Case," Working Papers 367, Queen's University, Department of Economics.
- Michael McAleer & Alan A. Powell & Peter Dixon & Tony Lawson, 1979. "Estimation of the Consumption Function: A Systems Approach to Employment Effects on the Purchases of Durables," Working Papers 349, Queen's University, Department of Economics.
- Michael McAleer & Ian E. Gorman, 1979. "Durable Goods in the Extended Linear Expenditure System: An Empirical Appraisal," Working Papers 333, Queen's University, Department of Economics.
- Michael McAleer & Gordon Fisher & Diana Whistler, 1979. "Problems of Estimating the Linear Expenditure System and its Related Forms," Working Papers 355, Queen's University, Department of Economics.
- Alan Gregory & Michael McAleer, 1978. "Application of Transitional Phase Polynomials to a Model of Trade Union Growth in Canada," Working Papers 316, Queen's University, Department of Economics.
- Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Pérez-Amaral, . "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," Tinbergen Institute Discussion Papers 09-039/4, Tinbergen Institute.
Articles
- Michael McAleer & Juan‐Ángel Jiménez‐Martín & Teodosio Pérez‐Amaral, 2013.
"International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord,"
Journal of Forecasting,
John Wiley & Sons, Ltd., vol. 32(3), pages 267-288, 04.
- Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Documentos del Instituto Complutense de Análisis Económico 2011-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," KIER Working Papers 757, Kyoto University, Institute of Economic Research.
- Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Working Papers in Economics 11/05, University of Canterbury, Department of Economics and Finance.
- McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T., 2011. "International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord," Econometric Institute Report EI 2011-04, Erasmus University Rotterdam, Econometric Institute.
- Hammoudeh, Shawkat & Liu, Tengdong & Chang, Chia-Lin & McAleer, Michael, 2013.
"Risk spillovers in oil-related CDS, stock and credit markets,"
Energy Economics,
Elsevier, vol. 36(C), pages 526-535.
- Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer, 2011. "Risk Spillovers in Oil-Related CDS, Stock and Credit Markets," Working Papers in Economics 11/17, University of Canterbury, Department of Economics and Finance.
- Hammoudeh, S.M. & Liu, T. & Chang, C-L. & McAleer, M.J., 2011. "Risk Spillovers in Oil-Related CDS, Stock and Credit Markets," Econometric Institute Report EI 2011-15, Erasmus University Rotterdam, Econometric Institute.
- Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer, 2011. "Risk Spillovers in Oil-Related CDS, Stock and Credit Markets," KIER Working Papers 772, Kyoto University, Institute of Economic Research.
- Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer, 2011. "Risk Spillovers in Oil-Related CDS, Stock and Credit Markets," Documentos del Instituto Complutense de Análisis Económico 2011-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chia-Lin Chang & Michael McAleer, 2013.
"Ranking journal quality by harmonic mean of ranks: an application to ISI statistics & probability,"
Statistica Neerlandica,
Netherlands Society for Statistics and Operations Research, vol. 67(1), pages 27-53, 02.
- Chia-Lin Chang & Michael McAleer, 2012. "Ranking Journal Quality by Harmonic Mean of Ranks: An Application to ISI Statistics & Probability," Working Papers in Economics 12/11, University of Canterbury, Department of Economics and Finance.
- Chang, C-L. & McAleer, M.J., 2012. "Ranking Journal Quality by Harmonic Mean of Ranks: An Application to ISI Statistics & Probability," Econometric Institute Report EI 2012-16, Erasmus University Rotterdam, Econometric Institute.
- Michael McAleer & Chia-Lin Chang, 2012. "Ranking Journal Quality by Harmonic Mean of Ranks:An Application to ISI Statistics & Probability," KIER Working Papers 819, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Michael McAleer, 2012. "Ranking Journal Quality by Harmonic Mean of Ranks: An Application to ISI Statistics & Probability," Documentos del Instituto Complutense de Análisis Económico 2012-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Michael McAleer & Marcelo C. Medeiros, 2012.
"Asymmetry and Long Memory in Volatility Modeling,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 10(3), pages 495-512, June.
- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010. "Asymmetry and Long Memory in Volatility Modelling," KIER Working Papers 726, Kyoto University, Institute of Economic Research.
- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Asymmetry and Long Memory in Volatility Modelling," Documentos del Instituto Complutense de Análisis Económico 2011-29, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Asai, M. & McAleer, M.J. & Medeiros, M.C., 2010. "Asymmetry and Long Memory in Volatility Modelling," Econometric Institute Report EI 2010-60, Erasmus University Rotterdam, Econometric Institute.
- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010. "Asymmetry and Long Memory in Volatility Modelling," Working Papers in Economics 10/60, University of Canterbury, Department of Economics and Finance.
- Massimiliano Caporin & Michael McAleer, 2012.
"Do We Really Need Both Bekk And Dcc? A Tale Of Two Multivariate Garch Models,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 26(4), pages 736-751, 09.
- Caporin, M. & McAleer, M.J., 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," Econometric Institute Report EI 2010-13, Erasmus University Rotterdam, Econometric Institute.
- Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," CIRJE F-Series CIRJE-F-713, CIRJE, Faculty of Economics, University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," Working Papers in Economics 10/06, University of Canterbury, Department of Economics and Finance.
- Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," KIER Working Papers 738, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Michael Mcaleer, 2012.
"Aggregation, Heterogeneous Autoregression And Volatility Of Daily International Tourist Arrivals And Exchange Rates,"
The Japanese Economic Review,
Japanese Economic Association, vol. 63(3), pages 397-419, 09.
- Chia-Lin Chang & Michael McAleer, 2011. "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," Documentos del Instituto Complutense de Análisis Económico 2011-13, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chia-Lin Chang & Michael McAleer, 2010. "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," Working Papers in Economics 10/02, University of Canterbury, Department of Economics and Finance.
- Chang, C-L. & McAleer, M.J., 2010. "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," Econometric Institute Report EI 2010-15, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer, 2010. "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," KIER Working Papers 712, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Michael McAleer, 2010. "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," CIRJE F-Series CIRJE-F-716, CIRJE, Faculty of Economics, University of Tokyo.
- Asai, Manabu & McAleer, Michael & Medeiros, Marcelo C., 2012.
"Modelling and forecasting noisy realized volatility,"
Computational Statistics & Data Analysis,
Elsevier, vol. 56(1), pages 217-230, January.
- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," Documentos del Instituto Complutense de Análisis Económico 2011-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," KIER Working Papers 758, Kyoto University, Institute of Economic Research.
- Asai, M. & McAleer, M.J. & Medeiros, M., 2011. "Modelling and Forecasting Noisy Realized Volatility," Econometric Institute Report EI 2011-05, Erasmus University Rotterdam, Econometric Institute.
- Manuabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010. "Modelling and Forecasting Noisy Realized Volatility," Working Papers in Economics 10/21, University of Canterbury, Department of Economics and Finance.
- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009. "Modelling and Forecasting Noisy Realized Volatility," CIRJE F-Series CIRJE-F-669, CIRJE, Faculty of Economics, University of Tokyo.
- Chen, Cathy W.S. & Gerlach, Richard & Hwang, Bruce B.K. & McAleer, Michael, 2012.
"Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range,"
International Journal of Forecasting,
Elsevier, vol. 28(3), pages 557-574.
- Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," Documentos del Instituto Complutense de Análisis Económico 2011-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," Working Papers in Economics 11/22, University of Canterbury, Department of Economics and Finance.
- Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," KIER Working Papers 775, Kyoto University, Institute of Economic Research.
- Chen, C.W.S. & Gerlach, R. & Hwang, B.B.K. & McAleer, M.J., 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range," Econometric Institute Report EI 2011-17, Erasmus University Rotterdam, Econometric Institute.
- Bernardo da Veiga & Felix Chan & Michael McAleer, 2012. "It pays to violate: how effective are the Basel accord penalties in encouraging risk management?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 52(1), pages 95-116, 03.
- Michael McAleer & Teodosio Pérez-Amaral, 2012. "Professor Halbert L. White, 1950–2012," Journal of Economic Surveys, Wiley Blackwell, vol. 26(4), pages 551-554, 09.
- Chang, Chia-Lin & Chen, Li-Hsueh & Hammoudeh, Shawkat & McAleer, Michael, 2012.
"Asymmetric adjustments in the ethanol and grains markets,"
Energy Economics,
Elsevier, vol. 34(6), pages 1990-2002.
- Chia-Lin Chang & Li-Hsueh Chen & Shawkat Hammoudeh & Michael McAleer, 2010. "Asymmetric Adjustments in the Ethanol and Grains Markets," Working Papers in Economics 10/78, University of Canterbury, Department of Economics and Finance.
- Chia-Lin Chang & Li-Hsueh Chen & Shawkat Hammoudeh & Michael McAleer, 2010. "Asymmetric Adjustments in the Ethanol and Grains Markets," KIER Working Papers 752, Kyoto University, Institute of Economic Research.
- Chang, C-L. & Chen, L-H. & Hammoudeh, S.M. & McAleer, M.J., 2011. "Asymmetric Adjustment in the Ethanol and Grains Markets," Econometric Institute Report EI 2010-78, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Li-Hsueh Chen & Shawkat Hammoudeh & Michael McAleer, 2012. "Asymmetric Adjustments in the Ethanol and Grains Markets," Documentos del Instituto Complutense de Análisis Económico 2012-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, revised Apr 2012.
- Sari, Ramazan & Hammoudeh, Shawkat & Chang, Chia-Lin & McAleer, Michael, 2012.
"Causality between market liquidity and depth for energy and grains,"
Energy Economics,
Elsevier, vol. 34(5), pages 1683-1692.
- Ramazan Sari & Shawkat Hammoudeh & Chia-Lin Chang & Michael McAleer, 2011. "Causality Between Market Liquidity and Depth for Energy and Grains," KIER Working Papers 769, Kyoto University, Institute of Economic Research.
- Sari, S. & Hammoudeh, S.M. & Chang, C-L. & McAleer, M.J., 2011. "Causality Between Market Liquidity and Depth for Energy and Grains," Econometric Institute Report EI 2011-14, Erasmus University Rotterdam, Econometric Institute.
- Ramazan Sari & Shawkat Hammoudeh & Chia-Lin Chang & Michael McAleer, 2011. "Causality Between Market Liquidity and Depth for Energy and Grains," Working Papers in Economics 11/15, University of Canterbury, Department of Economics and Finance.
- Ramazan Sari & Shawkat Hammoudeh & Chia-Lin Chang & Michael McAleer, 2011. "Causality Between Market Liquidity and Depth for Energy and Grains," Documentos del Instituto Complutense de Análisis Económico 2011-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chang, Chia Lin & Franses, Philip Hans & Mcaleer, Michael, 2012.
"Evaluating Individual and Mean Non-Replicable Forecasts,"
Journal for Economic Forecasting,
Institute for Economic Forecasting, vol. 0(3), pages 22-43, September.
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2011. "Evaluating Individual and Mean Non-Replicable Forecasts," KIER Working Papers 773, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2011. "Evaluating Individual and Mean Non-Replicable Forecasts," Working Papers in Economics 11/16, University of Canterbury, Department of Economics and Finance.
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2011. "Evaluating Individual and Mean Non-Replicable Forecasts," Documentos del Instituto Complutense de Análisis Económico 2011-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2011.
"Great Expectatrics: Great Papers, Great Journals, Great Econometrics,"
Econometric Reviews,
Taylor and Francis Journals, vol. 30(6), pages 583-619.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2010. "Great Expectatrics: Great Papers, Great Journals, Great Econometrics," KIER Working Papers 714, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2011. "Great Expectatrics: Great Papers, Great Journals, Great Econometrics," Documentos del Instituto Complutense de Análisis Económico 2011-114, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2010. "Great Expectatrics: Great Papers, Great Journals, Great Econometrics," Working Papers in Economics 10/36, University of Canterbury, Department of Economics and Finance.
- Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2011.
"Crude oil hedging strategies using dynamic multivariate GARCH,"
Energy Economics,
Elsevier, vol. 33(5), pages 912-923, September.
- Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Econometric Institute Report EI 2010-10, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," KIER Working Papers 743, Kyoto University, Institute of Economic Research.
- Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," CIRJE F-Series CIRJE-F-704, CIRJE, Faculty of Economics, University of Tokyo.
- Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Working Papers in Economics 10/03, University of Canterbury, Department of Economics and Finance.
- Michael McAleer & Marcelo C. Medeiros, 2011.
"Forecasting Realized Volatility With Linear And Nonlinear Univariate Models,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 25(1), pages 6-18, 02.
- Michael McAleer & Marcelo C. Medeiros, 2010. "Forecasting Realized Volatility with Linear and Nonlinear Univariate Models," Working Papers in Economics 10/28, University of Canterbury, Department of Economics and Finance.
- Chia‐Lin Chang & Michael McAleer & Les Oxley, 2011.
"What Makes A Great Journal Great In Economics? The Singer Not The Song,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 25(2), pages 326-361, 04.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2010. "What Makes a Great Journal Great in Economics? The Singer Not the Song," KIER Working Papers 706, Kyoto University, Institute of Economic Research.
- Chang, C-L. & McAleer, M.J. & Oxley, L., 2010. "What Makes a Great Journal Great in Economics? The Singer Not the Song," Econometric Institute Report EI 2010-45, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2010. "What Makes a Great Journal Great in Economics? The Singer Not the Song," Working Papers in Economics 10/43, University of Canterbury, Department of Economics and Finance.
- Areosa, Waldyr Dutra & McAleer, Michael & Medeiros, Marcelo C., 2011.
"Moment-based estimation of smooth transition regression models with endogenous variables,"
Journal of Econometrics,
Elsevier, vol. 165(1), pages 100-111.
- Waldyr Dutra Areosa & Michael McAleer & Marcelo Cunha Medeiros, 2010. "Moment-based estimation of smooth transition regression models with endogenous variables," Textos para discussão 571, Department of Economics PUC-Rio (Brazil).
- Waldyr Dutra Areosa & Michael McAleer & Marcelo C. Medeiros, 2009. "Moment-Based Estimation of Smooth Transition Regression Models with Endogenous Variables," CIRJE F-Series CIRJE-F-671, CIRJE, Faculty of Economics, University of Tokyo.
- Areosa, W.D. & McAleer, M.J. & Medeiros, M.C., 2008. "Moment-bases estimation of smooth transition regression models with endogenous variables," Econometric Institute Report EI 2008-36, Erasmus University Rotterdam, Econometric Institute.
- Hammoudeh, Shawkat & Malik, Farooq & McAleer, Michael, 2011.
"Risk management of precious metals,"
The Quarterly Review of Economics and Finance,
Elsevier, vol. 51(4), pages 435-441.
- Shawkat Hammoudeh & Farooq Malik & Michael McAleer, 2010. "Risk Management of Precious Metals," Working Papers in Economics 10/37, University of Canterbury, Department of Economics and Finance.
- Shawkat Hammoudeh & Farooq Malik & Michael McAleer, 2011. "Risk Management of Precious Metals," KIER Working Papers 765, Kyoto University, Institute of Economic Research.
- Shawkat Hammoudeh & Farooq Malik & Michael McAleer, 2011. "Risk Management of Precious Metals," Documentos del Instituto Complutense de Análisis Económico 2011-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Hammoudeh, S.M. & Malik, F. & McAleer, M.J., 2010. "Risk management of precious metals," Econometric Institute Report EI 2010-48, Erasmus University Rotterdam, Econometric Institute.
- Massimiliano Caporin & Michael McAleer, 2011.
"Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH,"
Statistica Neerlandica,
Netherlands Society for Statistics and Operations Research, vol. 65(2), pages 125-163, 05.
- Caporin, M. & McAleer, M.J., 2010. "Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH," Econometric Institute Report EI 2010-36, Erasmus University Rotterdam, Econometric Institute.
- Michael McAleer & Massimiliano Caporin, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," Working Papers in Economics 10/32, University of Canterbury, Department of Economics and Finance.
- Massimiliano Caporin & Michael McAleer, 2008. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," "Marco Fanno" Working Papers 0064, Dipartimento di Scienze Economiche "Marco Fanno".
- Massimiliano Caporin & Michael McAleer, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," CIRJE F-Series CIRJE-F-740, CIRJE, Faculty of Economics, University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2009. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," Documentos del Instituto Complutense de Análisis Económico 0911, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Massimiliano Caporin & Michael McAleer, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," KIER Working Papers 741, Kyoto University, Institute of Economic Research.
- Massimiliano Caporin & Michael McAleer, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," CARF F-Series CARF-F-217, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," Working Papers in Economics 10/73, University of Canterbury, Department of Economics and Finance.
- Chang, Chia-Lin & Franses, Philip Hans & McAleer, Michael, 2011.
"How accurate are government forecasts of economic fundamentals? The case of Taiwan,"
International Journal of Forecasting,
Elsevier, vol. 27(4), pages 1066-1075, October.
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010. "How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan," KIER Working Papers 720, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2009. "How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan," CIRJE F-Series CIRJE-F-637, CIRJE, Faculty of Economics, University of Tokyo.
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010. "How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan," Working Papers in Economics 10/16, University of Canterbury, Department of Economics and Finance.
- Manabu Asai & Michael McAleer, 2011.
"Alternative Asymmetric Stochastic Volatility Models,"
Econometric Reviews,
Taylor and Francis Journals, vol. 30(5), pages 548-564.
- Manabu Asai & Michael McAleer, 2010. "Alternative Asymmetric Stochastic Volatility Models," Working Papers in Economics 10/70, University of Canterbury, Department of Economics and Finance.
- Manabu Asai & Michael McAleer, 2009. "Alternative Asymmetric Stochastic Volatility Models," CARF F-Series CARF-F-166, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Manabu Asai & Michael McAleer, 2009. "Alternative Asymmetric Stochastic Volatility Models," CIRJE F-Series CIRJE-F-655, CIRJE, Faculty of Economics, University of Tokyo.
- Manabu Asai & Michael McAleer, 2010. "Alternative Asymmetric Stochastic Volatility Models," KIER Working Papers 739, Kyoto University, Institute of Economic Research.
- Asai, M. & McAleer, M.J., 2010. "Alternative Asymmetric Stochastic Volatility Models," Econometric Institute Report EI 2010-69, Erasmus University Rotterdam, Econometric Institute.
- Michael McAleer & Les Oxley, 2011.
"Ten Things We Should Know About Time Series,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 25(1), pages 185-188, 02.
- Michael McAleer & Les Oxley, 2010. "Ten Things We Should Know About Time Series," KIER Working Papers 710, Kyoto University, Institute of Economic Research.
- McAleer, M.J. & Oxley, L., 2010. "Ten Things We Should Know About Time Series," Econometric Institute Report EI 2010-49, Erasmus University Rotterdam, Econometric Institute.
- Michael McAleer & Les Oxley, 2010. "Ten Things We Should Know About Time Series," Working Papers in Economics 10/42, University of Canterbury, Department of Economics and Finance.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2011.
"How are journal impact, prestige and article influence related? An application to neuroscience,"
Journal of Applied Statistics,
Taylor and Francis Journals, vol. 38(11), pages 2563-2573, January.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2011. "How are Journal Impact, Prestige and Article Influence Related? An Application to Neuroscience," Documentos del Instituto Complutense de Análisis Económico 2011-25, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Chang, C-L. & McAleer, M.J. & Oxley, L., 2011. "How are Journal Impact, Prestige and Article Influence Related? An Application to Neuroscience," Econometric Institute Report EI 2011-03, Erasmus University Rotterdam, Econometric Institute.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2011. "How are Journal Impact, Prestige and Article Influence Related? An Application to Neuroscience," KIER Working Papers 756, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Michael McAleer & Les Oxley, 2011. "How are Journal Impact, Prestige and Article Influence Related? An Application to Neuroscience," Working Papers in Economics 11/06, University of Canterbury, Department of Economics and Finance.
- Lean, Hooi Hooi & McAleer, Michael & Wong, Wing-Keung, 2010.
"Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach,"
Energy Economics,
Elsevier, vol. 32(5), pages 979-986, September.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach," KIER Working Papers 718, Kyoto University, Institute of Economic Research.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach," Working Papers in Economics 10/18, University of Canterbury, Department of Economics and Finance.
- Massimiliano Caporin & Michael McAleer, 2010. "The Ten Commandments For Managing Investments," Journal of Economic Surveys, Wiley Blackwell, vol. 24(1), pages 196-200, 02.
- Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2010.
"Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets,"
Energy Economics,
Elsevier, vol. 32(6), pages 1445-1455, November.
- Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets," Working Papers in Economics 10/19, University of Canterbury, Department of Economics and Finance.
- Shiqing Ling & Michael McAleer, 2010.
"A general asymptotic theory for time-series models,"
Statistica Neerlandica,
Netherlands Society for Statistics and Operations Research, vol. 64(1), pages 97-111.
- Shiqing Ling & Michael McAleer, 2009. "A General Asymptotic Theory for Time Series Models," CIRJE F-Series CIRJE-F-670, CIRJE, Faculty of Economics, University of Tokyo.
- Joseph Macri & Michael McAleer & Dipendra Sinha, 2010. "On the robustness of alternative rankings methodologies: Australian and New Zealand economics departments, 1988 to 2002," Applied Economics, Taylor and Francis Journals, vol. 42(10), pages 1257-1268.
- Abdul Hakim & Michael McAleer, 2010.
"Modelling the interactions across international stock, bond and foreign exchange markets,"
Applied Economics,
Taylor and Francis Journals, vol. 42(7), pages 825-850.
- Abdul Hakim & Michael McAleer, 2009. "Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets," CARF F-Series CARF-F-170, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Abdul Hakim & Michael McAleer, 2009. "Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets," CIRJE F-Series CIRJE-F-663, CIRJE, Faculty of Economics, University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2010.
"A Scientific Classification Of Volatility Models,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 24(1), pages 192-195, 02.
- Massimiliano Caporin & Michael McAleer, 2009. "A Scientific Classification of Volatility Models," Documentos del Instituto Complutense de Análisis Económico 0909, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Massimiliano Caporin & Michael McAleer, 2009. "A Scientific Classification of Volatility Models," Documentos del Instituto Complutense de Análisis Económico 0905, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Hammoudeh, Shawkat M. & Yuan, Yuan & McAleer, Michael & Thompson, Mark A., 2010.
"Precious metals-exchange rate volatility transmissions and hedging strategies,"
International Review of Economics & Finance,
Elsevier, vol. 19(4), pages 633-647, October.
- Hammoudeh, S.M. & Yuan, Y. & McAleer, M.J. & Thompson, M.A., 2009. "Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies," Econometric Institute Report EI 2009-38, Erasmus University Rotterdam, Econometric Institute.
- Shawkat Hammoudeh & Yuan Yuan & Michael McAleer & Mark A. Thompson, 2009. "Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies," CARF F-Series CARF-F-187, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Shawkat Hammoudeh & Yuan Yuan & Michael McAleer & Mark A. Thompson, 2009. "Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies," CIRJE F-Series CIRJE-F-684, CIRJE, Faculty of Economics, University of Tokyo.
- Michael McAleer & Suhejla Hoti & Felix Chan, 2009. "Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility," Econometric Reviews, Taylor and Francis Journals, vol. 28(5), pages 422-440.
- Hammoudeh, Shawkat M. & Yuan, Yuan & McAleer, Michael, 2009.
"Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets,"
The Quarterly Review of Economics and Finance,
Elsevier, vol. 49(3), pages 829-842, August.
- Hammoudeh, S.M. & Yuan, Y. & McAleer, M.J., 2008. "Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets," Econometric Institute Report EI 2008-29, Erasmus University Rotterdam, Econometric Institute.
- Giam Quang Do & Michael Mcaleer & Songsak Sriboonchitta, 2009. "Effects of international gold market on stock exchange volatility: evidence from asean emerging stock markets," Economics Bulletin, AccessEcon, vol. 29(2), pages 599-610.
- Suhejla Hoti & Esfandiar Maasoumi & Michael McAleer & Daniel Slottje, 2009.
"Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments,"
Econometric Reviews,
Taylor and Francis Journals, vol. 28(6), pages 522-554.
- Suhejla Hoiti & Esfandiar Maasoumi & Michael McAleer & Daniel Slottje, 2005. "Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments," DEA Working Papers 14, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- Asai, Manabu & McAleer, Michael, 2009. "The structure of dynamic correlations in multivariate stochastic volatility models," Journal of Econometrics, Elsevier, vol. 150(2), pages 182-192, June.
- Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2009.
"Expert opinion versus expertise in forecasting,"
Statistica Neerlandica,
Netherlands Society for Statistics and Operations Research, vol. 63(3), pages 334-346.
- Franses, Ph.H.B.F. & McAleer, M.J. & Legerstee, R., 2008. "Expert opinion versus expertise in forecasting," Econometric Institute Report EI 2008-30, Erasmus University Rotterdam, Econometric Institute.
- Juan-�ngel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2009. "The Ten Commandments For Managing Value At Risk Under The Basel Ii Accord," Journal of Economic Surveys, Wiley Blackwell, vol. 23(5), pages 850-855, December.
- Manabu Asai & Michael McAleer, 2009. "Multivariate stochastic volatility, leverage and news impact surfaces," Econometrics Journal, Royal Economic Society, vol. 12(2), pages 292-309, 07.
- Qiao, Zhuo & McAleer, Michael & Wong, Wing-Keung, 2009. "Linear and nonlinear causality between changes in consumption and consumer attitudes," Economics Letters, Elsevier, vol. 102(3), pages 161-164, March.
- Michael McAleer, 2009.
"The Ten Commandments For Optimizing Value-At-Risk And Daily Capital Charges,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 23(5), pages 831-849, December.
- Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," Documentos del Instituto Complutense de Análisis Económico 0910, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- McAleer, M.J., 2008. "The ten commandments for optimizing value-at-risk and daily capital charges," Econometric Institute Report EI 2008-32, Erasmus University Rotterdam, Econometric Institute.
- Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CIRJE F-Series CIRJE-F-652, CIRJE, Faculty of Economics, University of Tokyo.
- Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CARF F-Series CARF-F-164, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2008. "Scalar BEKK and indirect DCC," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(6), pages 537-549.
- Esfandiar Maasoumi & Michael McAleer, 2008. "Realized Volatility and Long Memory: An Overview," Econometric Reviews, Taylor and Francis Journals, vol. 27(1-3), pages 1-9.
- da Veiga, Bernardo & Chan, Felix & McAleer, Michael, 2008. "Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares," Pacific-Basin Finance Journal, Elsevier, vol. 16(4), pages 453-475, September.
- Michael McAleer & Marcelo Medeiros, 2008.
"Realized Volatility: A Review,"
Econometric Reviews,
Taylor and Francis Journals, vol. 27(1-3), pages 10-45.
- Michael McAleer & Marcelo Cunha Medeiros, 2006. "Realized volatility: a review," Textos para discussão 531 Publication status: F, Department of Economics PUC-Rio (Brazil).
- Allen, David & Chan, Felix & McAleer, Michael & Peiris, Shelton, 2008.
"Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks,"
Journal of Econometrics,
Elsevier, vol. 147(1), pages 163-185, November.
- David E Allen & Felix Chan & Michael McAleer & Shelton Peiris, 2006. "Finite Sample Properties of the QMLE for the Log-ACD Model: Application to Australian Stocks," Working papers 2006-04, Edith Cowan University, School of Accounting Finance & Economics.
- Gao, Jiti & McAleer, Michael & Allen, David E., 2008.
"Econometric modelling in finance and risk management: An overview,"
Journal of Econometrics,
Elsevier, vol. 147(1), pages 1-4, November.
- Gao, Jiti & McAleer, Michael & Allen, Dave, 2006. "Econometric modelling in finance and risk management: An overview," MPRA Paper 11978, University Library of Munich, Germany, revised Nov 2007.
- Michael Mcaleer & Bernardo da Veiga, 2008. "Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(1), pages 1-19.
- Asai, Manabu & McAleer, Michael, 2008. "A Portfolio Index GARCH model," International Journal of Forecasting, Elsevier, vol. 24(3), pages 449-461.
- McAleer, Michael & Chan, Felix & Hoti, Suhejla & Lieberman, Offer, 2008. "Generalized Autoregressive Conditional Correlation," Econometric Theory, Cambridge University Press, vol. 24(06), pages 1554-1583, December.
- McAleer, Michael & Medeiros, Marcelo C., 2008.
"A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries,"
Journal of Econometrics,
Elsevier, vol. 147(1), pages 104-119, November.
- Michael McAller & Marcelo C. Medeiros, 2007. "A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries," Textos para discussão 544, Department of Economics PUC-Rio (Brazil).
- McAleer, Michael & Medeiros, Marcelo C. & Slottje, Daniel, 2008. "A neural network demand system with heteroskedastic errors," Journal of Econometrics, Elsevier, vol. 147(2), pages 359-371, December.
- Medeiros, Marcelo C. & McAleer, Michael & Slottje, Daniel & Ramos, Vicente & Rey-Maquieira, Javier, 2008. "An alternative approach to estimating demand: Neural network regression with conditional volatility for high frequency air passenger arrivals," Journal of Econometrics, Elsevier, vol. 147(2), pages 372-383, December.
- Michael McAleer & Bernardo da Veiga, 2008. "Single-index and portfolio models for forecasting value-at-risk thresholds," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(3), pages 217-235.
- McAleer, Michael & Chan, Felix & Marinova, Dora, 2007. "An econometric analysis of asymmetric volatility: Theory and application to patents," Journal of Econometrics, Elsevier, vol. 139(2), pages 259-284, August.
- Basmann, Robert L. & McAleer, Michael & Slottje, Daniel, 2007.
"Patent activity and technical change,"
Journal of Econometrics,
Elsevier, vol. 139(2), pages 355-375, August.
- Robert L. Basmann & Michael McAleer & Daniel Slottje, 2003. "Patent Activity and Technical Change," CIRJE F-Series CIRJE-F-217, CIRJE, Faculty of Economics, University of Tokyo.
- Robert L. Basmann & Michael McAleer & Daniel Slottje, 2007. "Patent Activity and Technical Change," DEA Working Papers 27, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- Suhejla Hoti & Michael McAleer & Laurent L. Pauwels, 2007. "Measuring Risk In Environmental Finance," Journal of Economic Surveys, Wiley Blackwell, vol. 21(5), pages 970-998, December.
- McAleer, Michael, 2007. "The econometrics of intellectual property: An overview," Journal of Econometrics, Elsevier, vol. 139(2), pages 237-241, August.
- Manabu Asai & Michael McAleer, 2007. "Non-trading day effects in asymmetric conditional and stochastic volatility models," Econometrics Journal, Royal Economic Society, vol. 10(1), pages 113-123, 03.
- Suhejla Hoti & Michael McAleer, 2006. "How Does Country Risk Affect Innovation? An Application To Foreign Patents Registered In The Usa," Journal of Economic Surveys, Wiley Blackwell, vol. 20(4), pages 691-714, 09.
- Manabu Asai & Michael McAleer, 2006.
"Asymmetric Multivariate Stochastic Volatility,"
Econometric Reviews,
Taylor and Francis Journals, vol. 25(2-3), pages 453-473.
- Manabu Asai & Michael McAleer, 2005. "Asymmetric Multivariate Stochastic Volatility," DEA Working Papers 12, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- Matteo Manera & Michael McAleer & Margherita Grasso, 2006. "Modelling time-varying conditional correlations in the volatility of Tapis oil spot and forward returns," Applied Financial Economics, Taylor and Francis Journals, vol. 16(7), pages 525-533.
- Lanza, Alessandro & Manera, Matteo & McAleer, Michael, 2006.
"Modeling dynamic conditional correlations in WTI oil forward and futures returns,"
Finance Research Letters,
Elsevier, vol. 3(2), pages 114-132, June.
- Matteo Manera & Alessandro Lanza & Michael McAleer, 2004. "Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns," Working Papers 2004.72, Fondazione Eni Enrico Mattei.
- Manabu Asai & Michael McAleer & Jun Yu, 2006. "Multivariate Stochastic Volatility: A Review," Econometric Reviews, Taylor and Francis Journals, vol. 25(2-3), pages 145-175.
- Esfandiar Maasoumi & Michael McAleer, 2006. "Multivariate Stochastic Volatility: An Overview," Econometric Reviews, Taylor and Francis Journals, vol. 25(2-3), pages 139-144.
- Suhejla Hoti & Michael McAleer & Daniel Slottje, 2006. "Intellectual Property Litigation Activity In The Usa," Journal of Economic Surveys, Wiley Blackwell, vol. 20(4), pages 715-729, 09.
- Clinton Watkins & Michael McAleer, 2006.
"Pricing of non-ferrous metals futures on the London Metal Exchange,"
Applied Financial Economics,
Taylor and Francis Journals, vol. 16(12), pages 853-880.
- Clinton Watkins & Michael McAleer, 2003. "Pricing of Non-ferrous Metals Futures on the London Metal Exchange," CIRJE F-Series CIRJE-F-213, CIRJE, Faculty of Economics, University of Tokyo.
- Michael McAleer & Les Oxley, 2006. "Intellectual Property And Economic Incentives," Journal of Economic Surveys, Wiley Blackwell, vol. 20(4), pages 483-491, 09.
- Massimiliano Caporin & Michael McAleer, 2006. "Dynamic Asymmetric GARCH," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(3), pages 385-412.
- McAleer, Michael, 2005. "Automated Inference And Learning In Modeling Financial Volatility," Econometric Theory, Cambridge University Press, vol. 21(01), pages 232-261, February.
- Manabu Asai & Michael McAleer, 2005. "Dynamic Asymmetric Leverage in Stochastic Volatility Models," Econometric Reviews, Taylor and Francis Journals, vol. 24(3), pages 317-332.
- Michael McAleer & Les Oxley, 2005. "The Ten Commandments for Academics," Journal of Economic Surveys, Wiley Blackwell, vol. 19(5), pages 823-826, December.
- Michael McAleer, 2005. "The ten commandments for ranking university quality," Journal of Economic Surveys, Wiley Blackwell, vol. 19(4), pages 649-653, 09.
- Felix Chan & Dora Marinova & Michael McAleer, 2004. "Trends and volatilities in foreign patents registered in the USA," Applied Economics, Taylor and Francis Journals, vol. 36(6), pages 585-592.
- Zhaoyong Zhang & Kiyotaka Sato & Michael McAleer, 2004. "Is a monetary union feasible for East Asia?," Applied Economics, Taylor and Francis Journals, vol. 36(10), pages 1031-1043.
- Lee Kian Lim & Michael McAleer, 2004.
"Convergence and catching up in ASEAN: a comparative analysis,"
Applied Economics,
Taylor and Francis Journals, vol. 36(2), pages 137-153.
- Lee Kian Lim & Michael McAleer, 2003. "Convergence and Catching Up in ASEAN: A Comparative Analysis," CIRJE F-Series CIRJE-F-218, CIRJE, Faculty of Economics, University of Tokyo.
- Clinton Watkins & Michael McAleer, 2004. "Econometric modelling of non-ferrous metal prices," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 651-701, December.
- M. McAleer & J. M. Sequeira, 2004. "Efficient estimation and testing of oil futures contracts in a mutual offset system," Applied Financial Economics, Taylor and Francis Journals, vol. 14(13), pages 953-962.
- Ng, Hock Guan & McAleer, Michael, 2004. "Recursive modelling of symmetric and asymmetric volatility in the presence of extreme observations," International Journal of Forecasting, Elsevier, vol. 20(1), pages 115-129.
- Ling, Shiqing & McAleer, Michael, 2004.
"Regression quantiles for unstable autoregressive models,"
Journal of Multivariate Analysis,
Elsevier, vol. 89(2), pages 304-328, May.
- Ling, S. & McAleer, M., 2001. "Regression Quantiles for Unstable Autoregressive Models," ISER Discussion Paper 0526, Institute of Social and Economic Research, Osaka University.
- Shiqing Ling & Michael McAleer, 2003. "Regression Quantiles for Unstable Autoregressive Models," CIRJE F-Series CIRJE-F-205, CIRJE, Faculty of Economics, University of Tokyo.
- Suhejla Hoti & Michael McAleer, 2004. "An Empirical Assessment of Country Risk Ratings and Associated Models," Journal of Economic Surveys, Wiley Blackwell, vol. 18(4), pages 539-588, 09.
- Ling, Shiqing & McAleer, Michael, 2003.
"Asymptotic Theory For A Vector Arma-Garch Model,"
Econometric Theory,
Cambridge University Press, vol. 19(02), pages 280-310, April.
- Shiqing Ling & Michael McAleer, 2001. "Asymptotic Theory for a Vector ARMA-GARCH Model," ISER Discussion Paper 0549, Institute of Social and Economic Research, Osaka University.
- Felix Chan & Michael McAleer, 2003.
"Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers,"
Applied Financial Economics,
Taylor and Francis Journals, vol. 13(8), pages 581-592.
- Felix Chan & Michael McAleer, 2001. "Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers," ISER Discussion Paper 0539, Institute of Social and Economic Research, Osaka University.
- Shiqing Ling & W. K. Li & Michael McAleer, 2003.
"Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence,"
Econometric Reviews,
Taylor and Francis Journals, vol. 22(2), pages 179-202.
- Shiqing Ling & W. K. Li & Michael McAleer, 2003. "Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence," CIRJE F-Series CIRJE-F-207, CIRJE, Faculty of Economics, University of Tokyo.
- Shiqing Ling & W. K. Li & Michael McAleer, 2001. "Estimation and Testing for Unit Root Processes with GARCH(1,1) Errors: Theory and Monte Carlo Evidence," ISER Discussion Paper 0544, Institute of Social and Economic Research, Osaka University.
- Zonglu He & Koichi Maekawa & Michael McAleer, 2003.
"Asymptotic Properties Of The Estimator Of The Long-Run Coefficient In A Dynamic Model With Integrated Regressors And Serially Correlated Errors,"
The Japanese Economic Review,
Japanese Economic Association, vol. 54(4), pages 420-438.
- Zonglu He & Koichi Maekawa & Michael McAleer, 2003. "Asymptotic Properties of the Estimator of the Long-run Coefficient in a Dynamic Model with Integrated Regressors and Serially Correlated Errors," CIRJE F-Series CIRJE-F-215, CIRJE, Faculty of Economics, University of Tokyo.
- Koichi Maekawa & Michael McAleer & Zonglu He, 2001. "Asymptotic Properties of the Estimator of the Long-run Coefficient in a Dynamic Model with Integrated Regressors and Serially Correlated Errors," ISER Discussion Paper 0538, Institute of Social and Economic Research, Osaka University.
- Ling, Shiqing & McAleer, Michael, 2002.
"NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS,"
Econometric Theory,
Cambridge University Press, vol. 18(03), pages 722-729, June.
- Shiqing Ling & Michael McAleer, 2001. "Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models," ISER Discussion Paper 0534, Institute of Social and Economic Research, Osaka University.
- Ling, Shiqing & McAleer, Michael, 2002.
"Stationarity and the existence of moments of a family of GARCH processes,"
Journal of Econometrics,
Elsevier, vol. 106(1), pages 109-117, January.
- Shiqing Ling & Michael McAleer, 2001. "Stationarity and the Existence of Moments of a Family of GARCH Processes," ISER Discussion Paper 0535, Institute of Social and Economic Research, Osaka University.
- McAleer, Michael & Oxley, Les, 2002. " The Ten Commandments for Presenting a Conference Paper," Journal of Economic Surveys, Wiley Blackwell, vol. 16(2), pages 215-18, April.
- McAleer, Michael & McKenzie, Colin, 2002. " The International Congress on Modelling and Simulation: Hamilton, New Zealand, December 1999," Journal of Economic Surveys, Wiley Blackwell, vol. 16(1), pages 111-21, February.
- Li, W K & Ling, Shiqing & McAleer, Michael, 2002. " Recent Theoretical Results for Time Series Models with GARCH Errors," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 245-69, July.
- McAleer, Michael & Oxley, Les, 2002. " The Econometrics of Financial Time Series," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 237-43, July.
- Felix Chan & Michael McAleer, 2002. "Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 509-534.
- Philip Hans Franses & Michael McAleer, 2002. "Financial volatility: an introduction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 419-424.
- Christine Lim & Michael McAleer, 2001. "Cointegration analysis of quarterly tourism demand by Hong Kong and Singapore for Australia," Applied Economics, Taylor and Francis Journals, vol. 33(12), pages 1599-1619.
- Kazumitsu Nawata & Michael McAleer, 2001. "Size Characteristics Of Tests For Sample Selection Bias: A Monte Carlo Comparison And Empirical Example," Econometric Reviews, Taylor and Francis Journals, vol. 20(1), pages 105-112.
- McAleer, Michael & Oxley, Les, 2001. " The Ten Commandments for Attending a Conference," Journal of Economic Surveys, Wiley Blackwell, vol. 15(5), pages 671-78, December.
- Sequeira, John M & McAleer, Michael & Chow, Ying-Foon, 2001. "Efficient Estimation and Testing of Alternative Models of Currency Futures Contracts," The Economic Record, The Economic Society of Australia, vol. 77(238), pages 270-82, September.
- Madsen, Jakob B. & McAleer, Michael, 2001. "Consumption, liquidity constraints, uncertainty and temptation: An international comparison," Journal of Economic Psychology, Elsevier, vol. 22(1), pages 61-89, February.
- Kenneth Leong & Michael McAleer, 2000. "Testing long-run neutrality using intra-year data," Applied Economics, Taylor and Francis Journals, vol. 32(1), pages 25-37.
- Christine Lim & Michael McAleer, 2000. "A seasonal analysis of Asian tourist arrivals to Australia," Applied Economics, Taylor and Francis Journals, vol. 32(4), pages 499-509.
- John Sequeira & MICHAEL McALEER, 2000. "Testing the risk premium and cost-of-carry hypotheses for currency futures contracts," Applied Financial Economics, Taylor and Francis Journals, vol. 10(3), pages 277-289.
- John Sequeira & Michael McAleer, 2000. "A market-augmented model for SIMEX Brent crude oil futures contracts," Applied Financial Economics, Taylor and Francis Journals, vol. 10(5), pages 543-552.
- Chow, Ying-Foon & McAleer, Michael & Sequeira, John M, 2000. " Pricing of Forward and Futures Contracts," Journal of Economic Surveys, Wiley Blackwell, vol. 14(2), pages 215-53, April.
- Madsen, Jakob B. & Mcaleer, Michael, 2000. "Direct Tests of the Permanent Income Hypothesis under Uncertainty, Inflationary Expectations and Liquidity Constraints," Journal of Macroeconomics, Elsevier, vol. 22(2), pages 229-252, April.
- Kobayashi, Masahito & McAleer, Michael, 1999. "Analytical Power Comparisons Of Nested And Nonnested Tests For Linear And Loglinear Regression Models," Econometric Theory, Cambridge University Press, vol. 15(01), pages 99-113, February.
- Franses, Philip Hans & McAleer, Michael, 1998. " Cointegration Analysis of Seasonal Time Series," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 651-78, December.
- McAleer, Michael & McKenzie, Colin & Oxley, Les, 1998. " The International Congress on Modelling and Simulation, Hobart, Tasmania, December 1997," Journal of Economic Surveys, Wiley Blackwell, vol. 12(4), pages 399-415, September.
- Morimune, Kimio & McAleer, Michael, 1998. "Switching Orthogonality," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(1), pages 171-82, February.
- McAleer, Michael & Oxley, Les, 1998. " Cointegration in Practice," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 417-22, December.
- McAleer, Michael & McKenzie, Colin R & Oxley, Les, 1998. " The Winter of My Content: The Econometric Society Australasian Meeting 1997, Melbourne, Australia," Journal of Economic Surveys, Wiley Blackwell, vol. 12(1), pages 111-24, February.
- McAleer, Michael, 1997. "Revisiting Tobin's 1950 Study of Food Expenditure: Comments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(5), pages 553-57, Sept.-Oct.
- McAleer, Michael, 1997. " Pictures at an Exhibition: The Experiment in Applied Econometrics Conference, Tilburg, the Netherlands, 1996," Journal of Economic Surveys, Wiley Blackwell, vol. 11(4), pages 419-32, December.
- Barten, Anton P. & McAleer, Michael, 1997. "Comparaison de la performance du point de vue empirique de systèmes de demandes alternatifs," L'Actualité Economique, Société Canadienne de Science Economique, vol. 73(1), pages 27-45, mars-juin.
- McAleer, Michael, 1997. " The Ten Commandments for Organizing a Conference," Journal of Economic Surveys, Wiley Blackwell, vol. 11(2), pages 231-33, June.
- McAleer, Michael, 1997. "Empirical Econometric Modelling of Food Consumption Using a New Informational Complexity Approach: Comments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(5), pages 587-89, Sept.-Oct.
- McAleer, Michael, 1997. "Statistical Demand Functions for Food in the USA and the Netherlands: Comments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(5), pages 640-42, Sept.-Oct.
- McAleer, Michael, 1996. " The Osaka Econometrics Conference: Osaka, Japan, 1995," Journal of Economic Surveys, Wiley Blackwell, vol. 10(1), pages 115-22, March.
- McAleer, Michael & McKenzie, Colin, 1996. " The 7th World Congress of the Econometric Society: Tokyo, Japan, 1995," Journal of Economic Surveys, Wiley Blackwell, vol. 10(1), pages 105-14, March.
- Keuzenkamp, Hugo A & McAleer, Michael, 1995. "Simplicity, Scientific Interference and Econometric Modelling," Economic Journal, Royal Economic Society, vol. 105(428), pages 1-21, January.
- Smith, Jeremy & McAleer, Michael, 1995.
"Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 10(2), pages 165-85, April-Jun.
- McAleer, M. & Smith, J., 1990. "Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing," Papers 219, Australian National University - Department of Economics.
- McAleer, Michael, 1995. "The significance of testing empirical non-nested models," Journal of Econometrics, Elsevier, vol. 67(1), pages 149-171, May.
- McAleer, Michael & Smith, Jeremy, 1994. "A note on the unbiasedness test of rationality using survey data," Journal of Macroeconomics, Elsevier, vol. 16(2), pages 369-374.
- McAleer, Michael, 1994. " Sherlock Holmes and the Search for Truth: A Diagnostic Tale," Journal of Economic Surveys, Wiley Blackwell, vol. 8(4), pages 317-70, December.
- McKenzie, C R & McAleer, Michael, 1994.
"On the Effects of Misspecification Errors in Models with Generated Regressors,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 56(4), pages 441-55, November.
- C. R. McKenzie & Michael McAleer, 1994. "On The Effects Of Misspecification Errors In Models With Generated Regressors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(4), pages 441-455, November.
- Oxley, Les & McAleer, Michael, 1993. " Econometric Issues in Macroeconomic Models with Generated Regressors," Journal of Economic Surveys, Wiley Blackwell, vol. 7(1), pages 1-40.
- McAleer, Michael & McKenzie, C. R., 1992. "Recursive estimation and generated regressors," Economics Letters, Elsevier, vol. 39(1), pages 1-5, May.
- McAleer, Michael, 1992. "Efficient Estimation: The Rao-Zyskind Condition, Kruskal's Theorem and Ordinary Least Squares," The Economic Record, The Economic Society of Australia, vol. 68(200), pages 65-72, March.
- Fiebig, Denzil G. & McAleer, Michael & Bartels, Robert, 1992. "Properties of ordinary least squares estimators in regression models with nonspherical disturbances," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 321-334.
- McAleer, Michael & McKenzie, C R, 1991.
"Keynesian and New Classical Models of Unemployment Revisited,"
Economic Journal,
Royal Economic Society, vol. 101(406), pages 359-81, May.
- Mcaleer, M. & Mckenzie, C.R., 1990. "Keynesian And New Classical Models Of Unemployment Revisited," Papers 9006, Tilburg - Center for Economic Research.
- McAleer, M. & McKenzie, C.R., 1990. "Keynesian and new classical models of unemployment revisited," Discussion Paper 1990-6, Tilburg University, Center for Economic Research.
- Dastoor, Naorayex K. & McAleer, Michael, 1989.
"Some Power Comparisons of Joint and Paired Tests for Nonnested Models under Local Hypotheses,"
Econometric Theory,
Cambridge University Press, vol. 5(01), pages 83-94, April.
- McALEER, M. & DASTOOR, N.K., 1988. "Some Power Comparisons Of Joint And Paired Tests For Non-Nested Models Under Local Hypotheses," Papers 168, Australian National University - Department of Economics.
- McAleer, Michael & Veall, Michael R, 1989. "How Fragile Are Fragile Inferences? A Re-evaluation of the Deterrent Effect of Capital Punishment," The Review of Economics and Statistics, MIT Press, vol. 71(1), pages 99-106, February.
- Hall, A D & McAleer, Michael, 1989. "A Monte Carlo Study of Some Tests of Model Adequacy in Time Series Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(1), pages 95-106, January.
- Godfrey, Leslie G & McAleer, Michael & McKenzie, Colin R, 1988. "Variable Addition and LaGrange Multiplier Tests for Linear and Logarithmic Regression Models," The Review of Economics and Statistics, MIT Press, vol. 70(3), pages 492-503, August.
- Bera, Anil K. & McAleer, Michael, 1987. "On exact and asymptotic tests of non-nested models," Statistics & Probability Letters, Elsevier, vol. 5(1), pages 19-22, January.
- King, Maxwell L & McAleer, Michael, 1987. "Further Results on Testing AR (1) against MA (1) Disturbances in the Linear Regression Model," Review of Economic Studies, Wiley Blackwell, vol. 54(4), pages 649-63, October.
- McAleer, Michael & Pagan, Adrian & Visco, Ignazio, 1986. "A further result on the sign of restricted least-squares estimates," Journal of Econometrics, Elsevier, vol. 32(2), pages 287-290, July.
- McAleer, Michael & Pagan, Adrian R & Volker, Paul A, 1985.
"What Will Take the Con out of Econometrics?,"
American Economic Review,
American Economic Association, vol. 75(3), pages 293-307, June.
- McAleer, Michael & Pagan, Adrian, 1985. "What Will Take the Con Out of Econometrics?," CEPR Discussion Papers 39, C.E.P.R. Discussion Papers.
- Dastoor, Naorayex K. & McAleer, Michael, 1985. "Testing separate models with stochastic regressors," Economic Modelling, Elsevier, vol. 2(4), pages 331-338, October.
- Allan W. Gregory & Michael McAleer, 1983. "Testing Non-Nested Specifications of Money Demand for Canada," Canadian Journal of Economics, Canadian Economics Association, vol. 16(4), pages 593-602, November.
- Bera, Anvil K & McAleer, Michael, 1983. "Some Exact Tests for Model Specification," The Review of Economics and Statistics, MIT Press, vol. 65(2), pages 351-54, May.
- McAleer, Michael & Fisher, Gordon, 1982.
"Testing separate regression models subject to specification error,"
Journal of Econometrics,
Elsevier, vol. 19(1), pages 125-145, May.
- Michael McAleer & Gordon Fisher, 1981. "Testing Separate Regression Models Subject to Specification Error," Working Papers 441, Queen's University, Department of Economics.
- Mcaleer, M. & Fisher, G., 1982. "Testing Separate Regression Models Subject to Specification Error," Cahiers de recherche 8216, Universite de Montreal, Departement de sciences economiques.
- McAleer, Michael & Fisher, Gordon & Volker, Paul, 1982.
"Separate Misspecified Regressions and the U.S. Long-Run Demand for Money Function,"
The Review of Economics and Statistics,
MIT Press, vol. 64(4), pages 572-83, November.
- Mcaleer, M. & Fisher, G. & Volker, P., 1982. "Separate Misspecified Regressions and the U.S. Long Run Demand for Money Function," Cahiers de recherche 8217, Universite de Montreal, Departement de sciences economiques.
- Fisher, Gordon & McAleer, Michael & Whistler, Diana, 1982.
"A Note on Identifiability in the Linear Expenditure Family,"
Australian Economic Papers,
Wiley Blackwell, vol. 21(39), pages 416-20, December.
- Fisher, G. & Mcaleer, M. & Whistler, D., 1982. "A Note on Identifiability in the Linear Expenditure Family," Cahiers de recherche 8215, Universite de Montreal, Departement de sciences economiques.
- Fisher, Gordon R. & McAleer, Michael, 1981.
"Alternative procedures and associated tests of significance for non-nested hypotheses,"
Journal of Econometrics,
Elsevier, vol. 16(1), pages 103-119, May.
- Gordon Fisher & Michael McAleer, 1981. "Alternative Procedures and Associated Tests of Significance for Non-Nested Hypotheses," Working Papers 420, Queen's University, Department of Economics.
- McAleer, Michael, 1981. "A small sample test for non-nested regression models," Economics Letters, Elsevier, vol. 7(4), pages 335-338.
- Allan W. Gregory & Michael McAleer, 1981. "Simultaneity and the Demand for Money in Canada: Comments and Extensions," Canadian Journal of Economics, Canadian Economics Association, vol. 14(3), pages 488-96, August.
- Gordon Fisher & Michael McAleer & Diana Whistler, 1981.
"Interest Rates and Durability in the Linear Expenditure Family,"
Canadian Journal of Economics,
Canadian Economics Association, vol. 14(2), pages 331-41, May.
- Gordon Fisher & Michael McAleer & Diana Whistler, 1980. "Interest Rates and Durability in the Linear Expenditure Family," Working Papers 399, Queen's University, Department of Economics.
- McAleer, Michael, 1980. "The minimum error variance rule for non-linear regression models," Economics Letters, Elsevier, vol. 6(1), pages 17-21.
- Fisher, Gordon & McAleer, Michael, 1979. "On the interpretation of the cox test in econometrics," Economics Letters, Elsevier, vol. 4(2), pages 145-150.
Books
- Zellner,Arnold & Keuzenkamp,Hugo A. & McAleer,Michael (ed.), 2009. "Simplicity, Inference and Modelling," Cambridge Books, Cambridge University Press, number 9780521121354.
- Zellner,Arnold & Keuzenkamp,Hugo A. & McAleer,Michael (ed.), 2002. "Simplicity, Inference and Modelling," Cambridge Books, Cambridge University Press, number 9780521803618.
NEP Fields
416 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):- NEP-AGR: Agricultural Economics (22) 2009-11-27 2009-12-11 2010-08-06 2010-08-14 2010-08-28 2010-09-11 2010-09-18 2010-10-09 2011-01-03 2011-04-30 2011-05-07 2011-05-07 2011-06-11 2011-07-02 2011-07-13 2012-05-08 2012-05-15 2012-05-15 2012-05-22 2013-02-03 2013-02-08 2013-02-16. Author is listed
- NEP-BAN: Banking (31) 2009-11-27 2009-12-11 2009-12-19 2010-03-20 2010-05-15 2010-05-29 2010-07-03 2010-09-18 2010-09-18 2010-10-23 2011-01-23 2011-01-30 2011-02-12 2011-03-12 2011-03-26 2011-04-09 2011-04-23 2011-05-07 2011-05-30 2011-06-25 2011-07-13 2011-07-21 2011-07-27 2011-07-27 2011-08-02 2011-08-02 2012-03-14 2012-11-11 2013-01-19 2013-01-26 2013-02-03. Author is listed
- NEP-BEC: Business Economics (11) 2009-12-19 2010-02-20 2010-07-03 2010-08-28 2010-09-18 2010-09-18 2011-01-03 2011-01-23 2013-01-07 2013-01-19 2013-01-26. Author is listed
- NEP-CBA: Central Banking (39) 2003-04-02 2009-05-23 2009-08-22 2009-08-22 2009-08-22 2009-08-30 2010-04-04 2010-04-17 2010-04-17 2010-05-02 2010-05-02 2010-05-29 2010-06-11 2010-09-03 2010-12-18 2010-12-18 2011-03-12 2011-03-26 2011-03-26 2011-04-02 2011-04-09 2011-04-23 2011-05-07 2011-05-07 2011-05-07 2011-05-14 2011-06-25 2011-07-02 2011-07-02 2011-07-02 2011-07-21 2011-07-27 2011-07-27 2011-08-02 2012-03-14 2012-06-25 2012-11-11 2013-01-19 2013-01-26. Author is listed
- NEP-CFN: Corporate Finance (7) 2010-10-23 2011-01-23 2011-02-12 2011-03-12 2011-07-21 2011-07-27 2013-01-26. Author is listed
- NEP-CMP: Computational Economics (5) 2003-03-25 2009-11-27 2009-12-11 2010-04-17 2010-05-29. Author is listed
- NEP-CNA: China (1) 2010-01-10
- NEP-COM: Industrial Competition (2) 2003-03-25 2003-04-02
- NEP-CSE: Economics of Strategic Management (5) 2010-09-11 2010-10-09 2012-07-01 2013-01-07 2013-01-19. Author is listed
- NEP-CUL: Cultural Economics (4) 2009-05-23 2009-09-05 2009-09-05 2011-02-05
- NEP-CWA: Central & Western Asia (6) 2009-03-28 2010-12-11 2011-01-03 2011-06-11 2012-07-01 2012-07-01. Author is listed
- NEP-DEV: Development (1) 2009-11-27
- NEP-ECM: Econometrics (66) 2003-03-19 2003-03-19 2003-03-25 2003-04-04 2003-04-04 2003-04-04 2006-04-08 2006-12-01 2008-03-15 2009-03-22 2009-03-22 2009-03-22 2009-03-28 2009-03-28 2009-08-08 2009-08-22 2009-08-22 2009-09-19 2009-09-19 2009-09-19 2009-09-19 2009-09-19 2009-09-26 2009-09-26 2009-10-24 2009-11-27 2009-12-11 2009-12-19 2010-01-10 2010-02-13 2010-04-04 2010-04-17 2010-05-02 2010-05-22 2010-05-22 2010-05-29 2010-05-29 2010-05-29 2010-05-29 2010-06-04 2010-06-11 2010-06-11 2010-07-03 2010-07-03 2010-09-25 2010-10-16 2010-11-06 2010-11-06 2010-12-18 2011-01-03 2011-01-03 2011-02-12 2011-04-02 2011-05-07 2011-05-30 2011-05-30 2011-06-11 2011-07-02 2012-03-14 2012-04-17 2012-07-01 2012-11-03 2013-01-19 2013-01-26 2013-02-16 2013-03-30. Author is listed
- NEP-EDU: Education (2) 2012-04-10 2012-04-17
- NEP-EEC: European Economics (1) 2003-04-02
- NEP-ENE: Energy Economics (51) 2003-03-19 2009-07-03 2009-07-03 2009-08-22 2009-08-22 2009-08-22 2010-01-23 2010-01-23 2010-01-23 2010-02-20 2010-02-20 2010-02-20 2010-03-13 2010-03-20 2010-05-15 2010-05-15 2010-05-22 2010-05-29 2010-06-04 2010-08-06 2010-08-14 2010-08-28 2010-08-28 2010-09-03 2010-09-03 2010-09-11 2010-09-18 2010-09-18 2010-09-18 2010-10-09 2010-10-23 2010-12-11 2011-01-03 2011-01-23 2011-04-30 2011-05-07 2011-06-11 2011-06-18 2011-06-25 2011-07-02 2011-07-02 2011-07-13 2011-11-28 2012-03-28 2012-10-06 2012-11-03 2013-01-19 2013-02-03 2013-02-08 2013-02-16 2013-02-16. Author is listed
- NEP-ENV: Environmental Economics (14) 2009-05-23 2009-09-05 2009-09-19 2010-05-29 2010-06-04 2010-10-23 2010-10-23 2011-06-25 2011-07-02 2012-01-18 2012-10-06 2012-10-06 2012-11-03 2013-01-19. Author is listed
- NEP-ETS: Econometric Time Series (75) 2003-03-19 2003-03-25 2003-04-02 2003-04-02 2003-04-02 2003-10-20 2006-04-08 2006-04-08 2006-12-01 2008-03-15 2009-03-22 2009-03-22 2009-03-28 2009-08-22 2009-09-19 2009-09-19 2009-09-19 2009-09-26 2009-09-26 2009-10-24 2009-11-27 2009-12-11 2010-01-10 2010-02-13 2010-04-17 2010-04-17 2010-05-02 2010-05-22 2010-05-22 2010-05-22 2010-05-22 2010-05-29 2010-05-29 2010-05-29 2010-05-29 2010-06-04 2010-06-04 2010-06-11 2010-06-11 2010-07-03 2010-07-03 2010-08-21 2010-09-03 2010-09-18 2010-09-18 2010-09-18 2010-09-18 2010-09-25 2010-10-02 2010-10-16 2010-10-23 2010-11-27 2010-12-11 2010-12-23 2011-01-03 2011-01-03 2011-01-03 2011-01-03 2011-02-05 2011-02-12 2011-02-12 2011-04-02 2011-04-23 2011-06-11 2011-06-25 2011-07-02 2011-07-13 2012-03-14 2012-04-17 2012-04-17 2012-05-15 2013-02-16 2013-03-30 2013-04-06 2013-04-13. Author is listed
- NEP-FDG: Financial Development & Growth (1) 2010-05-29
- NEP-FIN: Finance (4) 2003-04-02 2003-04-02 2005-12-09 2006-04-08
- NEP-FMK: Financial Markets (47) 2003-04-02 2003-04-02 2006-04-08 2009-03-22 2009-03-22 2009-03-28 2009-03-28 2009-05-23 2009-07-03 2009-08-22 2009-08-22 2009-08-22 2009-09-19 2009-09-19 2009-09-26 2009-09-26 2009-10-24 2009-11-27 2009-11-27 2009-11-27 2009-12-11 2009-12-11 2009-12-19 2010-09-18 2010-09-18 2010-09-18 2010-09-18 2011-01-23 2011-01-30 2011-02-12 2011-02-12 2011-03-12 2011-03-26 2011-04-09 2011-04-23 2011-07-27 2011-08-02 2011-11-14 2011-11-28 2011-11-28 2012-09-09 2012-11-03 2012-11-11 2012-11-11 2013-01-19 2013-01-19 2013-01-26. Author is listed
- NEP-FOR: Forecasting (111) 2006-04-08 2009-03-28 2009-03-28 2009-03-28 2009-05-23 2009-07-03 2009-08-08 2009-08-22 2009-08-22 2009-08-22 2009-08-22 2009-08-30 2009-09-05 2009-09-05 2009-09-19 2009-09-26 2009-09-26 2009-11-27 2009-11-27 2009-12-11 2009-12-11 2010-03-13 2010-03-20 2010-03-20 2010-04-04 2010-04-17 2010-04-17 2010-04-17 2010-05-02 2010-05-02 2010-05-02 2010-05-02 2010-05-15 2010-05-22 2010-05-29 2010-05-29 2010-05-29 2010-06-04 2010-06-11 2010-07-03 2010-07-03 2010-08-21 2010-09-03 2010-09-03 2010-09-11 2010-09-18 2010-09-18 2010-09-18 2010-09-25 2010-10-02 2010-10-16 2010-10-23 2010-10-23 2010-10-23 2010-11-06 2010-11-20 2010-12-18 2010-12-23 2011-01-03 2011-01-03 2011-01-23 2011-01-30 2011-02-05 2011-02-12 2011-02-12 2011-03-12 2011-03-26 2011-03-26 2011-04-02 2011-04-02 2011-04-09 2011-04-23 2011-04-23 2011-05-07 2011-05-07 2011-05-14 2011-05-30 2011-06-11 2011-06-25 2011-06-25 2011-07-02 2011-07-02 2011-07-02 2011-07-02 2011-07-13 2011-07-13 2011-07-21 2011-07-27 2011-07-27 2011-08-02 2011-08-02 2011-11-14 2012-03-14 2012-03-14 2012-04-17 2012-04-17 2012-05-02 2012-05-15 2012-06-25 2012-07-01 2012-07-08 2012-07-14 2012-11-11 2013-01-19 2013-01-26 2013-03-02 2013-03-16 2013-03-16 2013-04-13 2013-04-27 2013-04-27. Author is listed
- NEP-HIS: Business, Economic & Financial History (4) 2012-07-01 2012-07-14 2013-03-02 2013-03-16
- NEP-HPE: History & Philosophy of Economics (2) 2010-09-03 2012-07-14
- NEP-ICT: Information & Communication Technologies (2) 2006-04-08 2010-08-14
- NEP-IFN: International Finance (17) 2003-04-02 2003-04-02 2003-04-02 2003-04-02 2009-03-22 2009-09-19 2009-09-26 2009-11-27 2009-12-11 2010-02-27 2010-03-20 2010-05-22 2010-05-29 2010-06-04 2010-08-21 2010-09-18 2011-01-03. Author is listed
- NEP-IND: Industrial Organization (2) 2003-03-25 2003-04-02
- NEP-INO: Innovation (4) 2007-08-08 2010-09-11 2010-10-09 2012-07-01
- NEP-INT: International Trade (3) 2010-09-11 2010-10-09 2012-07-01
- NEP-IPR: Intellectual Property Rights (6) 2007-08-08 2010-09-11 2010-09-11 2010-10-09 2012-01-18 2012-07-01. Author is listed
- NEP-KNM: Knowledge Management & Knowledge Economy (2) 2007-05-12 2012-07-01
- NEP-LAW: Law & Economics (1) 2007-08-08
- NEP-MAC: Macroeconomics (20) 2003-03-25 2006-04-08 2009-08-08 2009-08-22 2010-01-10 2010-02-20 2010-04-04 2010-04-17 2010-05-02 2010-05-02 2011-01-03 2011-01-03 2011-01-03 2011-05-07 2011-05-07 2011-06-11 2011-07-02 2012-06-25 2012-07-01 2012-07-14. Author is listed
- NEP-MON: Monetary Economics (1) 2009-08-22
- NEP-MST: Market Microstructure (16) 2006-12-01 2009-08-22 2009-09-26 2009-11-27 2009-12-11 2009-12-19 2010-04-17 2010-05-29 2010-05-29 2010-07-03 2010-09-18 2011-01-03 2011-02-12 2011-02-12 2011-04-23 2011-06-25. Author is listed
- NEP-NET: Network Economics (1) 2013-01-19
- NEP-ORE: Operations Research (24) 2009-03-28 2009-09-19 2010-07-03 2010-09-25 2010-10-02 2010-10-16 2010-10-23 2010-12-18 2011-01-03 2011-02-12 2011-05-30 2011-05-30 2011-06-25 2011-06-25 2012-03-14 2012-04-17 2012-07-01 2013-01-07 2013-01-19 2013-01-19 2013-01-26 2013-01-26 2013-02-16 2013-03-02. Author is listed
- NEP-REG: Regulation (11) 2009-03-22 2009-03-28 2009-05-23 2009-08-22 2009-08-22 2009-08-22 2009-08-30 2009-11-27 2009-12-11 2010-03-20 2010-09-18. Author is listed
- NEP-RMG: Risk Management (83) 2003-03-19 2003-04-02 2003-04-02 2003-04-02 2003-04-02 2003-10-20 2005-12-09 2008-12-14 2009-03-22 2009-03-22 2009-03-28 2009-03-28 2009-05-23 2009-08-22 2009-08-22 2009-08-22 2009-08-22 2009-08-22 2009-08-22 2009-08-30 2009-09-05 2009-09-19 2009-09-26 2009-09-26 2009-11-27 2009-12-11 2010-01-23 2010-02-20 2010-03-13 2010-03-20 2010-03-20 2010-05-15 2010-05-29 2010-06-11 2010-06-18 2010-07-03 2010-08-28 2010-09-03 2010-09-03 2010-09-18 2010-09-18 2010-09-18 2010-09-25 2010-10-02 2010-10-16 2010-10-23 2010-10-23 2010-11-27 2010-12-11 2011-01-03 2011-01-23 2011-01-30 2011-02-05 2011-02-12 2011-03-12 2011-03-26 2011-04-02 2011-04-09 2011-04-23 2011-05-07 2011-05-30 2011-06-25 2011-06-25 2011-06-25 2011-07-13 2011-07-21 2011-07-27 2011-07-27 2011-08-02 2011-08-02 2011-11-14 2011-11-28 2012-03-14 2012-04-17 2012-05-02 2012-11-03 2012-11-11 2012-11-11 2013-01-19 2013-01-26 2013-01-26 2013-01-26 2013-01-26. Author is listed
- NEP-SEA: South East Asia (46) 2009-03-22 2009-03-22 2009-03-28 2009-03-28 2009-08-22 2009-09-05 2009-09-19 2009-10-24 2009-10-24 2009-11-27 2009-11-27 2009-12-11 2009-12-11 2009-12-11 2009-12-11 2010-01-10 2010-01-23 2010-02-20 2010-04-17 2010-04-17 2010-05-02 2010-05-02 2010-05-22 2010-05-29 2010-05-29 2010-06-18 2010-09-03 2010-09-03 2010-09-11 2010-09-18 2010-09-18 2010-10-02 2010-10-02 2011-01-23 2011-07-27 2011-11-28 2012-01-10 2012-01-18 2012-03-28 2012-05-08 2012-05-15 2012-06-25 2012-07-01 2013-01-26 2013-01-26 2013-02-03. Author is listed
- NEP-SOG: Sociology of Economics (34) 2007-05-12 2009-09-19 2010-06-11 2010-07-17 2010-07-31 2010-08-14 2010-08-14 2010-08-28 2010-08-28 2010-09-03 2010-09-03 2010-11-20 2011-01-03 2011-01-23 2011-02-05 2011-06-25 2011-07-21 2011-08-02 2012-01-18 2012-01-18 2012-03-28 2012-03-28 2012-04-17 2012-04-23 2012-06-05 2012-06-25 2012-07-01 2012-07-01 2012-07-14 2013-01-19 2013-03-02 2013-03-16 2013-03-16 2013-03-30. Author is listed
- NEP-TRA: Transition Economics (1) 2003-03-25
- NEP-TUR: Tourism Economics (50) 2005-12-09 2006-04-08 2009-03-22 2009-03-28 2009-03-28 2009-05-23 2009-08-22 2009-09-05 2009-09-05 2009-09-05 2009-09-19 2009-09-19 2009-09-19 2009-09-26 2009-11-27 2009-11-27 2009-11-27 2009-12-11 2009-12-11 2009-12-11 2010-02-27 2010-03-20 2010-04-11 2010-04-17 2010-04-17 2010-04-17 2010-05-02 2010-05-02 2010-05-29 2010-05-29 2010-05-29 2010-07-03 2010-08-14 2010-08-21 2010-09-03 2010-09-11 2010-09-18 2010-10-02 2010-10-23 2011-06-25 2011-06-25 2011-07-21 2011-07-27 2011-07-27 2011-08-02 2012-01-18 2012-03-28 2013-01-07 2013-01-19 2013-01-26. Author is listed
- NEP-UPT: Utility Models & Prospect Theory (8) 2009-12-19 2010-05-22 2010-05-29 2010-07-03 2010-09-18 2011-01-23 2012-06-25 2012-07-01. Author is listed
Statistics
This author is among the top 5% authors according to these criteria:- Average Rank Score
- Number of Works
- Number of Distinct Works
- Number of Distinct Works, Weighted by Simple Impact Factor
- Number of Distinct Works, Weighted by Recursive Impact Factor
- Number of Distinct Works, Weighted by Number of Authors
- Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
- Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
- Number of Citations
- Number of Citations, Discounted by Citation Age
- Number of Citations, Weighted by Simple Impact Factor
- Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
- Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors
- Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors and Simple Impact Factors
- Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
- h-index
- Number of Registered Citing Authors
- Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
- Number of Journal Pages
- Number of Journal Pages, Weighted by Simple Impact Factor
- Number of Journal Pages, Weighted by Recursive Impact Factor
- Number of Journal Pages, Weighted by Number of Authors
- Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
- Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
- Number of Abstract Views in RePEc Services over the past 12 months
- Number of Downloads through RePEc Services over the past 12 months
- Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
- Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
- Closeness measure in co-authorship network
- Betweenness measure in co-authorship network
- Wu-Index
Most cited item
- Shiqing Ling & Michael McAleer, 2001. "Asymptotic Theory for a Vector ARMA-GARCH Model," ISER Discussion Paper 0549, Institute of Social and Economic Research, Osaka University.
Most downloaded item (past 12 months)
- Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2012. "Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments," Documentos del Instituto Complutense de Análisis Económico 2012-14, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
Access and download statistics for all items
Co-authorship network on CollEc
Corrections
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