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Michael McAleer

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First Name: Michael
Middle Name:
Last Name: McAleer
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RePEc Short-ID: pmc90

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Lists

This author is among the top 5% authors according to these criteria:
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  2. Number of Works
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  16. Number of Abstract Views in RePEc Services over the past 12 months
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This author is featured on the following reading lists or publication compilations:
  1. Queen's Economics Department PhD Graduates

Works

| Working papers | Articles | Books | Access and download statistics | Citations (if any)| NEP Fields |
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Working papers

  1. 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. [Downloadable!]

  2. Juan Angel 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. [Downloadable!]
    Other versions:

  3. 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. [Downloadable!]

  4. 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. [Downloadable!]

  5. 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. [Downloadable!]
    Other versions:

  6. 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. [Downloadable!]

  7. 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. [Downloadable!]

  8. 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. [Downloadable!]

  9. 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. [Downloadable!]

  10. 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". [Downloadable!]

  11. 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. [Downloadable!]

  12. 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. [Downloadable!]
    Other versions:

  13. 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. [Downloadable!]
    Other versions:

  14. Tanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 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. [Downloadable!]

  15. 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. [Downloadable!]
    Other versions:

  16. 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. [Downloadable!]

  17. 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. [Downloadable!]

  18. Chang, C-L. & McAleer, M. & Tansuchat, R., 2009. "Modelling conditional correlations for risk diversification in crude oil markets," Econometric Institute Report EI 2009-11 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:

  19. 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. [Downloadable!]

  20. Chang, C-L. & McAleer, M. & Tansuchat, R., 2009. "Forecasting volatility and spillovers in crude oil spot, forward and future markets," Econometric Institute Report EI 2009-12 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:

  21. 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. [Downloadable!]

  22. 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. [Downloadable!]

  23. 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". [Downloadable!]
    Other versions:

  24. 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. [Downloadable!]

  25. Manabu Asai & Michael McAleer, 2009. "Dynamic Conditional Correlations for Asymmetric Processes," CIRJE F-Series CIRJE-F-657, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

  26. 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. [Downloadable!]

  27. 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. [Downloadable!]

  28. 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. [Downloadable!]
    Other versions:

  29. 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. [Downloadable!]

  30. 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. [Downloadable!]

  31. Manabu Asai & Michael McAleer, 2009. "Alternative Asymmetric Stochastic Volatility Models," CIRJE F-Series CIRJE-F-655, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

  32. 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. [Downloadable!]

  33. 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. [Downloadable!]
    Other versions:

  34. Chang, C-L. & Franses, Ph.H.B.F. & McAleer, M., 2009. "How Accurate are Government Forecast of Economic Fundamentals?," Econometric Institute Report EI2009-09 Revision_Date: , Erasmus University Rotterdam, Econometric Institute. [Downloadable!]

  35. 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. [Downloadable!]

  36. 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. [Downloadable!]

  37. 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. [Downloadable!]
    Other versions:

  38. 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. [Downloadable!]

  39. 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. [Downloadable!]

  40. Manabu Asai & Michael McAleer & Jun Yu, 2009. "Multivariate Stochastic Volatility," Microeconomics Working Papers 1143, East Asian Bureau of Economic Research. [Downloadable!]

  41. 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. [Downloadable!]

  42. Areosa, W.D. & McAleer, M. & Medeiros, M.C., 2008. "Moment-bases estimation of smooth transition regression models with endogenous variables," Econometric Institute Report EI 2008-36 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:

  43. 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". [Downloadable!]
    Other versions:

  44. Hammoudeh, S.M. & Yuan, Y. & McAleer, M., 2008. "Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets," Econometric Institute Report EI 2008-29 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Published as:

  45. Divino, J. A. & McAleer, M., 2008. "Modelling sustainable international tourism demand to the Brazilian Amazon," Econometric Institute Report EI 2008-22 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:

  46. Asai, M. & McAleer, M. & Medeiros, M.C., 2008. "Asymmetry and leverage in realized volatility," Econometric Institute Report EI 2008-31 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:

  47. Wiphatthanananthakul, C. & McAleer, M., 2008. "A simple expected volatility (SEV) index: application to SET50 index options," Econometric Institute Report EI 2008-35 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:

  48. McAleer, M., 2008. "The ten commandments for optimizing value-at-risk and daily capital charges," Econometric Institute Report EI 2008-32 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:

  49. McAleer, M. & 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 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:

  50. Franses, Ph.H.B.F. & McAleer, M. & Legerstee, R., 2008. "Does the ROMC have expertise, and can it forecast?," Econometric Institute Report EI 2008-33 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:

  51. Franses, Ph.H.B.F. & McAleer, M. & Legerstee, R., 2008. "Expert opinion versus expertise in forecasting," Econometric Institute Report EI 2008-30 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Published as:

  52. 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. [Downloadable!]

  53. 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. [Downloadable!]
    Published as:

  54. Michael McAleer & Marcelo Cunha Medeiros, 2006. "Realized volatility: a review," Textos para discussão 531 Publication status: F, Department of Economics PUC-Rio (Brazil). [Downloadable!]
    Published as:

  55. Manabu Asai & Michael McAleer, 2005. "Asymmetric Multivariate Stochastic Volatility," DEA Working Papers 12, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]

  56. 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. [Downloadable!]

  57. 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. [Downloadable!]
    Published as:

  58. 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. [Downloadable!]

  59. 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. [Downloadable!]
    Published as:

  60. Suhejla Hoti & Michael McAleer & Laurent L. Pauwels, 2004. "Modelling Environmental Risk," HEI Working Papers 08-2004, Economics Section, The Graduate Institute of International Studies. [Downloadable!]

  61. 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. [Downloadable!]

  62. 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. [Downloadable!]

  63. 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. [Downloadable!]

  64. 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. [Downloadable!]

  65. 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. [Downloadable!]

  66. 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. [Downloadable!]
    Other versions:
    Published as:

  67. 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. [Downloadable!]
    Other versions:

  68. 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. [Downloadable!]
    Published as:

  69. 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. [Downloadable!]

  70. 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. [Downloadable!]

  71. Shiqing Ling & Michael McAleer, 2003. "Regression Quantiles for Unstable Autoregressive Models," CIRJE F-Series CIRJE-F-205, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    Other versions:
    Published as:

  72. 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. [Downloadable!]

  73. 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. [Downloadable!]
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    Published as:

  74. 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. [Downloadable!]

  75. 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. [Downloadable!]
    Published as:

  76. Christine Lim & Michael McAleer, 2003. "Ecologically Sustainable Tourism Management," CIRJE F-Series CIRJE-F-206, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

  77. 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. [Downloadable!]

  78. 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. [Downloadable!]
    Published as:

  79. 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. [Downloadable!]
    Published as:

  80. 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. [Downloadable!]

  81. Matteo Manera & Michael McAleer, 2001. "Testing Multiple Non-nested Factor Demand Systems," ISER Discussion Paper 0543, Institute of Social and Economic Research, Osaka University. [Downloadable!]

  82. 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. [Downloadable!]

  83. 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. [Downloadable!]
    Published as:

  84. 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. [Downloadable!]
    Published as:

  85. 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. [Downloadable!]

  86. 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. [Downloadable!]

  87. 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. [Downloadable!]

  88. Franses, P.H. & McAleer, M., 1995. "Testing Nested and Non-Nested Periodically Integrated Autoregressive Models," Papers 9510, Tilburg - Center for Economic Research.
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  89. Franses, P.H. & McAleer, M., 1995. "Testing for Unit Roots and Non-Linear Transformations," Papers 9507/a, Erasmus University of Rotterdam - Econometric Institute.

  90. 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.
    Published as:

  91. Barten, A.P. & Mcaleer, M., 1991. "Comparing The Empirical Perfomance Of Alternative Demand Systems," Papers 9002a, Tilburg - Center for Economic Research.
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  92. 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.
    Published as:

  93. Smith, J. & Mcaleer, M., 1990. "On The Robustness Of Barro'S New Classical Unemployment Model," Papers 206, Australian National University - Department of Economics.
    Published as:

  94. 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.

  95. Bai, J. & Jakeman, A.J. & Mcaleer, M., 1990. "Estimation And Discrimination Of Alternative Air Pollution Models," Papers 209, Australian National University - Department of Economics.

  96. 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.
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  97. 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.

  98. Mcaleer, M. & Mckenzie, C.R., 1990. "Keynesian And New Classical Models Of Unemployment Revisited," Papers 9006, Tilburg - Center for Economic Research.
    Published as:

  99. 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.
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  100. 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.

  101. 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.

  102. 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.
    Published as:

  103. Beraq, A.K. & Mcaleer, M. & Pesaran, M.H., 1989. "Joint Tests Of Non-Nested Modls And General Error Specifications," Papers 197, Osaka - Institute of Social and Economic Research.
    Published as:

  104. Mcaleer, M. & Tse, Y.K., 1989. "On The Robustness Of Tests Of Outliers And Functional Form," Papers 179, Osaka - Institute of Social and Economic Research.

  105. Bai, J. & Jakeman, J. & Mcaleer, M., 1989. "The Effects Of Misspecification In Estimating The Percentiles Of Some Two -And Three-Parameter Distributions," Papers 196, Osaka - Institute of Social and Economic Research.
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  106. 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.

  107. 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.

  108. 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.

  109. 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.

  110. McAleer, Michael & Pagan, Adrian, 1985. "What Will Take the Con Out of Econometrics?," CEPR Discussion Papers 39, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Published as:

  111. 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.
    Published as:

  112. 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.
    Published as:

  113. 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.
    Published as:

  114. Michael McAleer & Gordon Fisher, 1981. "Testing Separate Regression Models Subject to Specification Error," Working Papers 441, Queen's University, Department of Economics.
    Other versions:
    Published as:

  115. Michael McAleer, 1981. "Exact Tests of a Model Against Non-Nested Alternatives," Working Papers 431, Queen's University, Department of Economics.

  116. Michael McAleer & Gordon Fisher, 1981. "Separate Misspecified Regressions," Working Papers 424, Queen's University, Department of Economics.

  117. Gordon Fisher & Michael McAleer, 1980. "The Interpretation of the Cox Test in Econometrics," Working Papers 371, Queen's University, Department of Economics.

  118. Gordon Fisher & Allan W. Gregory & Michael McAleer, 1980. "Two Papers on Linear Models," Working Papers 411, Queen's University, Department of Economics.

  119. Gordon Fisher & Michael McAleer, 1980. "Two Papers on Model Testing and Discrimination," Working Papers 416, Queen's University, Department of Economics.

  120. 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.
    Published as:

  121. Gordon Fisher & Michael McAleer, 1980. "Principles and Methods in the Testing of Alternative Models," Working Papers 400, Queen's University, Department of Economics.

  122. 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.

  123. 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.

  124. 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.

  125. 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.

  126. 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.

  127. 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.

Articles

  1. 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. [Downloadable!] (restricted)
    Other versions:

  2. 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. [Downloadable!] (restricted)

  3. 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. [Downloadable!] (restricted)

  4. 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. [Downloadable!] (restricted)
    Other versions:

  5. 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. [Downloadable!] (restricted)

  6. 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. [Downloadable!] (restricted)
    Other versions:

  7. 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. [Downloadable!] (restricted)

  8. Massimiliano Caporin & Michael McAleer, 2008. "Scalar BEKK and indirect DCC," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(6), pages 537-549. [Downloadable!]

  9. 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. [Downloadable!] (restricted)

  10. 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. [Downloadable!]

  11. 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. [Downloadable!] (restricted)
    Other versions:

  12. 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. [Downloadable!] (restricted)

  13. 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. [Downloadable!] (restricted)

  14. Michael McAleer & Marcelo Medeiros, 2008. "Realized Volatility: A Review," Econometric Reviews, Taylor and Francis Journals, vol. 27(1-3), pages 10-45. [Downloadable!] (restricted)
    Other versions:

  15. 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. [Downloadable!] (restricted)

  16. 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. [Downloadable!] (restricted)

  17. 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. [Downloadable!] (restricted)
    Other versions:

  18. 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. [Downloadable!]

  19. 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. [Downloadable!]

  20. Asai, Manabu & McAleer, Michael, 2008. "A Portfolio Index GARCH model," International Journal of Forecasting, Elsevier, vol. 24(3), pages 449-461. [Downloadable!] (restricted)

  21. 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. [Downloadable!] (restricted)

  22. Basmann, Robert L. & McAleer, Michael & Slottje, Daniel, 2007. "Patent activity and technical change," Journal of Econometrics, Elsevier, vol. 139(2), pages 355-375, August. [Downloadable!] (restricted)
    Other versions:

  23. 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. [Downloadable!] (restricted)

  24. Suhejla Hoti & Michael McAleer & Laurent L. Pauwels, 2007. "Measuring Risk In Environmental Finance," Journal of Economic Surveys, Blackwell Publishing, vol. 21(5), pages 970-998, December. [Downloadable!] (restricted)

  25. McAleer, Michael, 2007. "The econometrics of intellectual property: An overview," Journal of Econometrics, Elsevier, vol. 139(2), pages 237-241, August. [Downloadable!] (restricted)

  26. Suhejla Hoti & Michael McAleer, 2006. "How Does Country Risk Affect Innovation? An Application To Foreign Patents Registered In The Usa," Journal of Economic Surveys, Blackwell Publishing, vol. 20(4), pages 691-714, 09. [Downloadable!] (restricted)

  27. Suhejla Hoti & Michael McAleer & Daniel Slottje, 2006. "Intellectual Property Litigation Activity In The Usa," Journal of Economic Surveys, Blackwell Publishing, vol. 20(4), pages 715-729, 09. [Downloadable!] (restricted)

  28. 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, August. [Downloadable!] (restricted)
    Other versions:

  29. Michael McAleer & Les Oxley, 2006. "Intellectual Property And Economic Incentives," Journal of Economic Surveys, Blackwell Publishing, vol. 20(4), pages 483-491, 09. [Downloadable!] (restricted)

  30. 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, April. [Downloadable!] (restricted)

  31. 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. [Downloadable!] (restricted)
    Other versions:

  32. Massimiliano Caporin & Michael McAleer, 2006. "Dynamic Asymmetric GARCH," Journal of Financial Econometrics, Oxford University Press, vol. 4(3), pages 385-412. [Downloadable!] (restricted)

  33. Michael McAleer, 2005. "The ten commandments for ranking university quality," Journal of Economic Surveys, Blackwell Publishing, vol. 19(4), pages 649-653, 09. [Downloadable!] (restricted)

  34. McAleer, Michael, 2005. "Automated Inference And Learning In Modeling Financial Volatility," Econometric Theory, Cambridge University Press, vol. 21(01), pages 232-261, February. [Downloadable!]

  35. Michael McAleer & Les Oxley, 2005. "The Ten Commandments for Academics," Journal of Economic Surveys, Blackwell Publishing, vol. 19(5), pages 823-826, December. [Downloadable!] (restricted)

  36. Clinton Watkins & Michael McAleer, 2004. "Econometric modelling of non-ferrous metal prices," Journal of Economic Surveys, Blackwell Publishing, vol. 18(5), pages 651-701, December. [Downloadable!] (restricted)

  37. 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, September. [Downloadable!] (restricted)

  38. 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. [Downloadable!] (restricted)

  39. 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, April. [Downloadable!] (restricted)

  40. Ling, Shiqing & McAleer, Michael, 2004. "Regression quantiles for unstable autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 89(2), pages 304-328, May. [Downloadable!] (restricted)
    Other versions:

  41. Suhejla Hoti & Michael McAleer, 2004. "An Empirical Assessment of Country Risk Ratings and Associated Models," Journal of Economic Surveys, Blackwell Publishing, vol. 18(4), pages 539-588, 09. [Downloadable!] (restricted)

  42. 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, June. [Downloadable!] (restricted)

  43. 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, February. [Downloadable!] (restricted)
    Other versions:

  44. 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. [Downloadable!]
    Other versions:

  45. 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. [Downloadable!] (restricted)
    Other versions:

  46. 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, January. [Downloadable!] (restricted)
    Other versions:

  47. McAleer, Michael & McKenzie, Colin, 2002. " The International Congress on Modelling and Simulation: Hamilton, New Zealand, December 1999," Journal of Economic Surveys, Blackwell Publishing, vol. 16(1), pages 111-21, February. [Downloadable!] (restricted)

  48. Li, W K & Ling, Shiqing & McAleer, Michael, 2002. " Recent Theoretical Results for Time Series Models with GARCH Errors," Journal of Economic Surveys, Blackwell Publishing, vol. 16(3), pages 245-69, July. [Downloadable!] (restricted)

  49. McAleer, Michael & Oxley, Les, 2002. " The Econometrics of Financial Time Series," Journal of Economic Surveys, Blackwell Publishing, vol. 16(3), pages 237-43, July. [Downloadable!] (restricted)

  50. 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. [Downloadable!]

  51. 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. [Downloadable!]
    Other versions:

  52. Philip Hans Franses & Michael McAleer, 2002. "Financial volatility: an introduction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 419-424. [Downloadable!]

  53. 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. [Downloadable!] (restricted)
    Other versions:

  54. McAleer, Michael & Oxley, Les, 2002. " The Ten Commandments for Presenting a Conference Paper," Journal of Economic Surveys, Blackwell Publishing, vol. 16(2), pages 215-18, April. [Downloadable!] (restricted)

  55. McAleer, Michael & Oxley, Les, 2001. " The Ten Commandments for Attending a Conference," Journal of Economic Surveys, Blackwell Publishing, vol. 15(5), pages 671-78, December. [Downloadable!] (restricted)

  56. 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. [Downloadable!] (restricted)

  57. Lim, Christine & McAleer, Michael, 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, October. [Downloadable!] (restricted)

  58. 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. [Downloadable!] (restricted)

  59. 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. [Downloadable!] (restricted)

  60. Leong, Kenneth & McAleer, Michael, 2000. "Testing Long-Run Neutrality Using Intra-year data," Applied Economics, Taylor and Francis Journals, vol. 32(1), pages 25-37, January. [Downloadable!] (restricted)

  61. Chow, Ying-Foon & McAleer, Michael & Sequeira, John M, 2000. " Pricing of Forward and Futures Contracts," Journal of Economic Surveys, Blackwell Publishing, vol. 14(2), pages 215-53, April. [Downloadable!] (restricted)

  62. Lim, Christine & McAleer, Michael, 2000. "A Seasonal Analysis of Asian Tourist Arrivals to Australia," Applied Economics, Taylor and Francis Journals, vol. 32(4), pages 499-509, March. [Downloadable!] (restricted)

  63. Sequeira, John M & McAleer, Michael, 2000. "A Market-Augmented Model for SIMEX Brent Crude Oil Futures Contracts," Applied Financial Economics, Taylor and Francis Journals, vol. 10(5), pages 543-52, October. [Downloadable!] (restricted)

  64. 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. [Downloadable!] (restricted)

  65. Sequeira, John M & McAleer, Michael, 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 277-89, June. [Downloadable!] (restricted)

  66. 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. [Downloadable!]

  67. Franses, Philip Hans & McAleer, Michael, 1998. " Cointegration Analysis of Seasonal Time Series," Journal of Economic Surveys, Blackwell Publishing, vol. 12(5), pages 651-78, December. [Downloadable!] (restricted)

  68. McAleer, Michael & McKenzie, Colin & Oxley, Les, 1998. " The International Congress on Modelling and Simulation, Hobart, Tasmania, December 1997," Journal of Economic Surveys, Blackwell Publishing, vol. 12(4), pages 399-415, September. [Downloadable!] (restricted)

  69. 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.

  70. McAleer, Michael & Oxley, Les, 1998. " Cointegration in Practice," Journal of Economic Surveys, Blackwell Publishing, vol. 12(5), pages 417-22, December. [Downloadable!] (restricted)

  71. 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, Blackwell Publishing, vol. 12(1), pages 111-24, February. [Downloadable!] (restricted)

  72. Michael McAleer & Y. K. Tse, 1998. "A sequential testing procedure for outliers and structural change," Econometric Reviews, Taylor and Francis Journals, vol. 7(1), pages 103-111. [Downloadable!] (restricted)

  73. Michael McAleer, 1998. "Some comments on testing time series models," Econometric Reviews, Taylor and Francis Journals, vol. 7(1), pages 49-57. [Downloadable!] (restricted)

  74. McAleer, Michael, 1997. " The Ten Commandments for Organizing a Conference," Journal of Economic Surveys, Blackwell Publishing, vol. 11(2), pages 231-33, June. [Downloadable!] (restricted)

  75. 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. [Downloadable!]

  76. McAleer, Michael, 1997. " Pictures at an Exhibition: The Experiment in Applied Econometrics Conference, Tilburg, the Netherlands, 1996," Journal of Economic Surveys, Blackwell Publishing, vol. 11(4), pages 419-32, December. [Downloadable!] (restricted)

  77. 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. [Downloadable!]

  78. 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. [Downloadable!]

  79. McAleer, Michael, 1996. " The Osaka Econometrics Conference: Osaka, Japan, 1995," Journal of Economic Surveys, Blackwell Publishing, vol. 10(1), pages 115-22, March.

  80. McAleer, Michael & McKenzie, Colin, 1996. " The 7th World Congress of the Econometric Society: Tokyo, Japan, 1995," Journal of Economic Surveys, Blackwell Publishing, vol. 10(1), pages 105-14, March.

  81. Keuzenkamp, Hugo A & McAleer, Michael, 1995. "Simplicity, Scientific Interference and Econometric Modelling," Economic Journal, Royal Economic Society, vol. 105(428), pages 1-21, January. [Downloadable!] (restricted)

  82. 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. [Downloadable!] (restricted)
    Other versions:

  83. McAleer, Michael, 1995. "The significance of testing empirical non-nested models," Journal of Econometrics, Elsevier, vol. 67(1), pages 149-171, May. [Downloadable!] (restricted)

  84. Michae McAleer, 1994. "Cointegrated systems II," Econometric Reviews, Taylor and Francis Journals, vol. 13(3), pages 287-289. [Downloadable!] (restricted)
    Published as:

  85. 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.

  86. Michael McAleer & C. R. McKenzie & M. Hashem Pesaran, 1994. "Cointegration and direct tests of the rational expectations hypothesis," Econometric Reviews, Taylor and Francis Journals, vol. 13(2), pages 231-258. [Downloadable!] (restricted)
    Other versions:

  87. Smith, Jeremy & McAleer, Michael, 1994. "Newey-West Covariance Matrix Estimates for Models with Generated Regressors," Applied Economics, Taylor and Francis Journals, vol. 26(6), pages 635-40, June.

  88. 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. [Downloadable!] (restricted)

  89. McAleer, Michael, 1994. " Sherlock Holmes and the Search for Truth: A Diagnostic Tale," Journal of Economic Surveys, Blackwell Publishing, vol. 8(4), pages 317-70, December.

  90. Oxley, Les & McAleer, Michael, 1993. " Econometric Issues in Macroeconomic Models with Generated Regressors," Journal of Economic Surveys, Blackwell Publishing, vol. 7(1), pages 1-40.

  91. Smith, Jeremy & McAleer, Michael, 1993. "On the Robustness of Barro's New Classical Unemployment Model," Applied Economics, Taylor and Francis Journals, vol. 25(3), pages 349-60, March.
    Other versions:

  92. Anil Bera & Michael McAleer & M. Hashem Pesaran & Mann Yoon, 1992. "Joint tests of non-nested models and general error specifications," Econometric Reviews, Taylor and Francis Journals, vol. 11(1), pages 97-117. [Downloadable!] (restricted)
    Other versions:

  93. 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. [Downloadable!] (restricted)

  94. McAleer, Michael & McKenzie, C. R., 1992. "Recursive estimation and generated regressors," Economics Letters, Elsevier, vol. 39(1), pages 1-5, May. [Downloadable!] (restricted)

  95. 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.

  96. 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. [Downloadable!] (restricted)
    Other versions:

  97. Michael McAleer & C. R. McKenzie, 1991. "When are two step estimators efficient?," Econometric Reviews, Taylor and Francis Journals, vol. 10(2), pages 235-252. [Downloadable!] (restricted)

  98. 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. [Downloadable!] (restricted)

  99. 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.

  100. 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. [Downloadable!] (restricted)

  101. 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. [Downloadable!] (restricted)

  102. 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, Blackwell Publishing, vol. 54(4), pages 649-63, October. [Downloadable!] (restricted)

  103. 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. [Downloadable!] (restricted)

  104. Dastoor, Naorayex K. & McAleer, Michael, 1985. "Testing separate models with stochastic regressors," Economic Modelling, Elsevier, vol. 2(4), pages 331-338, October. [Downloadable!] (restricted)

  105. 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. [Downloadable!] (restricted)
    Other versions:

  106. Michael McAleer & Anil Bera, 1983. "Comment," Econometric Reviews, Taylor and Francis Journals, vol. 2(1), pages 121-130. [Downloadable!] (restricted)

  107. 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. [Downloadable!] (restricted)

  108. 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. [Downloadable!] (restricted)

  109. McAleer, Michael & Fisher, Gordon, 1982. "Testing separate regression models subject to specification error," Journal of Econometrics, Elsevier, vol. 19(1), pages 125-145, May. [Downloadable!] (restricted)
    Other versions:

  110. 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. [Downloadable!] (restricted)
    Other versions:

  111. Fisher, Gordon & McAleer, Michael & Whistler, Diana, 1982. "A Note on Identifiability in the Linear Expenditure Family," Australian Economic Papers, Blackwell Publishing, vol. 21(39), pages 416-20, December.
    Other versions:

  112. McAleer, Michael, 1981. "A small sample test for non-nested regression models," Economics Letters, Elsevier, vol. 7(4), pages 335-338. [Downloadable!] (restricted)

  113. 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. [Downloadable!] (restricted)
    Other versions:

  114. 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. [Downloadable!] (restricted)

  115. 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. [Downloadable!] (restricted)
    Other versions:

  116. McAleer, Michael, 1980. "The minimum error variance rule for non-linear regression models," Economics Letters, Elsevier, vol. 6(1), pages 17-21. [Downloadable!] (restricted)

  117. Fisher, Gordon & McAleer, Michael, 1979. "On the interpretation of the cox test in econometrics," Economics Letters, Elsevier, vol. 4(2), pages 145-150. [Downloadable!] (restricted)

NEP Fields

91 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (6) 2003-04-02 2009-05-23 2009-08-22 2009-08-22 2009-08-22 2009-08-30 Author is listed
  2. NEP-CMP: Computational Economics (1) 2003-03-25
  3. NEP-COM: Industrial Competition (2) 2003-03-25 2003-04-02
  4. NEP-CUL: Cultural Economics (3) 2009-05-23 2009-09-05 2009-09-05
  5. NEP-CWA: Central & Western Asia (1) 2009-03-28
  6. NEP-ECM: Econometrics (25) 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 Author is listed
  7. NEP-EEC: European Economics (1) 2003-04-02
  8. NEP-ENE: Energy Economics (6) 2003-03-19 2009-07-03 2009-07-03 2009-08-22 2009-08-22 2009-08-22 Author is listed
  9. NEP-ENV: Environmental Economics (3) 2009-05-23 2009-09-05 2009-09-19
  10. NEP-ETS: Econometric Time Series (20) 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 Author is listed
  11. NEP-FIN: Finance (4) 2003-04-02 2003-04-02 2005-12-09 2006-04-08
  12. NEP-FMK: Financial Markets (17) 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 Author is listed
  13. NEP-FOR: Forecasting (17) 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 Author is listed
  14. NEP-ICT: Information & Communication Technologies (1) 2006-04-08
  15. NEP-IFN: International Finance (7) 2003-04-02 2003-04-02 2003-04-02 2003-04-02 2009-03-22 2009-09-19 2009-09-26 Author is listed
  16. NEP-IND: Industrial Organization (2) 2003-03-25 2003-04-02
  17. NEP-INO: Innovation (1) 2007-08-08
  18. NEP-IPR: Intellectual Property Rights (1) 2007-08-08
  19. NEP-KNM: Knowledge Management & Knowledge Economy (1) 2007-05-12
  20. NEP-LAW: Law & Economics (1) 2007-08-08
  21. NEP-MAC: Macroeconomics (4) 2003-03-25 2006-04-08 2009-08-08 2009-08-22
  22. NEP-MON: Monetary Economics (1) 2009-08-22
  23. NEP-MST: Market Microstructure (3) 2006-12-01 2009-08-22 2009-09-26
  24. NEP-ORE: Operations Research (2) 2009-03-28 2009-09-19
  25. NEP-PKE: Post Keynesian Economics (7) 2009-09-26 2009-09-26 2009-09-26 2009-09-26 2009-09-26 2009-09-26 2009-09-26 Author is listed
  26. NEP-REG: Regulation (7) 2009-03-22 2009-03-28 2009-05-23 2009-08-22 2009-08-22 2009-08-22 2009-08-30 Author is listed
  27. NEP-RMG: Risk Management (24) 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 Author is listed
  28. NEP-SEA: South East Asia (9) 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 Author is listed
  29. NEP-SOG: Sociology of Economics (2) 2007-05-12 2009-09-19
  30. NEP-TRA: Transition Economics (1) 2003-03-25
  31. NEP-TUR: Tourism Economics (14) 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 Author is listed
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This page was last updated on 2009-11-21.

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