Michael McAleer

Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute

Professor of Quantitative Finance

Rotterdam

Netherlands

Tinbergen Institute

Research Fellow

Rotterdam

Netherlands

University of Tokyo - Centre for International Research on the Japanese Economy (CIRJE), Faculty of Economics

Visiting Professor

Tokyo

Japan

SCHOLARLY PAPERS

133

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CITATIONS
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Top 2,235

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340

Scholarly Papers (133)

1.

Risk Management of Risk Under the Basel Accord: Forecasting Value-at-Risk of VIX Futures

Number of pages: 31 Posted: 21 Feb 2011
National Chung Hsing University - Department of Applied Economics, Department of Finance, Complutense University of Madrid, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 3,471 (2,788)
Citation 2

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Median strategy, Value-at-Risk (VaR), daily capital charges, violation penalties, optimizing strategy, aggressive risk management, conservative risk management, Basel II Accord, VIX futures, global financial crisis (GFC)

2.

Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?

Number of pages: 33 Posted: 30 Apr 2009 Last Revised: 27 Jan 2010
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Complutense University of Madrid and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 2,784 (4,105)
Citation 13

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Value-at-Risk (VaR), daily capital charges, exogenous and endogenous violations, violation penalties, optimizing strategy, risk forecasts, aggressive or conservative risk management strategies, Basel II Accord, financial crisis

3.

Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets

Number of pages: 23 Posted: 12 May 2009
Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Faculty of Economics - Chiang Mai University
Downloads 1,193 (16,507)
Citation 2

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Volatility spillovers, multivariate GARCH, conditional correlations, crude oil spot prices, spot returns, forward returns, futures returns

4.

Volatility Spillovers between Returns on Crude Oil Futures and Oil Company Stocks

Number of pages: 18 Posted: 22 May 2009
Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Faculty of Economics - Chiang Mai University
Downloads 1,141 (17,635)
Citation 4

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Multivariate GARCH, Asymmetries, Volatility spillovers, Crude oil futures returns, Oil company stock returns

5.

What Happened to Risk Management During the 2008-09 Financial Crisis?

Number of pages: 13 Posted: 03 Aug 2009
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Complutense University of Madrid and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 1,080 (19,199)
Citation 3

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risk management, violations, aggressive risk strategy, conservative risk strategy, value-at-risk forecasts

6.

Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies

Number of pages: 33 Posted: 16 Sep 2009
Shawkat M. Hammoudeh, Yuan Yuan and Michael McAleer
Montpellier Business School, Drexel University - Bennett S. LeBow College of Business and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 1,062 (19,644)
Citation 1

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Multivariate GARCH, shocks, volatility, transmission, portfolio weights

7.

Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models

Number of pages: 29 Posted: 05 Feb 2009 Last Revised: 24 Jun 2009
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 1,050 (19,994)
Citation 17

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Conditional correlations, conditional covariances, diagonal models, forecasting, generalized models, Hadamard models, scalar models, targeting

8.

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

Number of pages: 33 Posted: 05 Jan 2010
Roengchai Tansuchat, Chia-Lin Chang and Michael McAleer
Faculty of Economics - Chiang Mai University, National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 1,038 (20,291)
Citation 4

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Multivariate GARCH, conditional correlations, crude oil prices, optimal hedge ratio, optimal portfolio weights, hedging strategies

9.

The Ten Commandments for Managing Value-at-Risk under the Basel II Accord

Number of pages: 10 Posted: 11 Mar 2009 Last Revised: 09 Aug 2009
Complutense University of Madrid, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 1,036 (20,352)
Citation 2

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Financial portfolios, daily capital charges, frequency of violations, magnitude of violations, optimizing strategy, risk forecasts, value-at-risk, green zone, red zone

10.

Optimal Risk Management Before, During and After the 2008-09 Financial Crisis

Number of pages: 17 Posted: 14 Sep 2009
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Complutense University of Madrid and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 1,031 (20,495)
Citation 2

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Optimal risk management, average daily capital requirements, alternative risk strategies, value-at-risk forecasts, combining risk models

11.

Modeling Conditional Correlations for Risk Diversification in Crude Oil Markets

Number of pages: 26 Posted: 10 May 2009
Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Faculty of Economics - Chiang Mai University
Downloads 1,028 (20,588)
Citation 2

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conditional correlations, crude oil spot prices, forward prices, futures prices, risk diversification

12.

Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies

Number of pages: 41 Posted: 31 Oct 2009
Montpellier Business School, affiliation not provided to SSRN, Texas Tech University - Rawls College of Business and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 1,023 (20,764)
Citation 2

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Multivariate, shocks, volatility, correlation, dependency, interdependency, precious metals, exchange rates, hedging

The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges

Number of pages: 39 Posted: 06 Mar 2009
Michael McAleer
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 913 (24,149)
Citation 6

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Daily capital charges; excessive risk taking; market risk; risk management; value-at-risk; violations

The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges

Journal of Economic Surveys, Vol. 23, Issue 5, pp. 831-849, December 2009
Number of pages: 19 Posted: 09 Nov 2009
Michael McAleer
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 2 (666,826)
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14.

Financial Astrology: Mapping the Presidential Election Cycle in US Stock Markets

Number of pages: 27 Posted: 26 Nov 2008
Wing-Keung Wong and Michael McAleer
Asia University, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 909 (24,728)
Citation 3

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Presidential election cycle, spectral analysis, EGARCH intervention model, stock prices and returns

15.

Modeling the Effect of Oil Price on Global Fertilizer Prices

Number of pages: 36 Posted: 17 Sep 2010
affiliation not provided to SSRN, National Chung Hsing University - Department of Applied Economics, Department of Finance, National Chung Hsing University and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 908 (24,766)

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Volatility, Global fertilizer price, Crude oil price, Non-renewable fertilizers, Structural breakpoint unit root test

16.

Value-at-Risk for Country Risk Ratings

Number of pages: 20 Posted: 06 Sep 2009
Michael McAleer, Bernardo da Veiga and Suhejla Hoti
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Curtin University - School of Economics and Finance and Government of Western Australia - Treasury
Downloads 876 (26,043)

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Country risk ratings, debt default, value-at-risk, risk bounds, risk management

17.

How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan

Number of pages: 18 Posted: 07 Jul 2009
Chia-Lin Chang, Philip Hans Franses and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 844 (27,465)
Citation 2

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18.

A Panel Threshold Model of Tourism Specialization and Economic Development

Number of pages: 42 Posted: 01 Nov 2009
Chia-Lin Chang, Thanchanok Khamkaew and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance, Maejo University- Faculty of Economics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 841 (27,599)
Citation 1

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international tourism, economic development, tourism specialization, threshold variable, panel data

19.

Estimating the Impact of Avian Flu on International Tourism Demand Using Panel Data

Number of pages: 20 Posted: 19 Mar 2009
Chaoyang University of Technology, National Chung Hsing University - Department of Applied Economics, Department of Finance, National Chung Hsing University, National Chung Hsing University - Department of Applied Economics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 841 (27,599)
Citation 1

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Avian Flu, International Tourist Demand, Dynamic Panel Data Model, Fixed Effects

20.

GFC-Robust Risk Management Strategies under the Basel Accord

Number of pages: 29 Posted: 09 Oct 2010
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Complutense University of Madrid and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 840 (27,655)
Citation 8

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Value-at-Risk (VaR), daily capital charges, robust forecasts, violation penalties, optimizing strategy, aggressive risk management strategy, conservative risk management strategy, Basel II Accord, global financial crisis.

21.

A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk

Number of pages: 29 Posted: 26 Feb 2009
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Complutense University of Madrid - Facultad de Económicas y Empresariales and Complutense University of Madrid
Downloads 826 (28,303)
Citation 13

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It Pays to Violate: How Effective are the Basel Accord Penalties in Encouraging Risk Management?

Finance and Corporate Governance Conference 2010 Paper
Number of pages: 37 Posted: 12 Jan 2010 Last Revised: 14 Sep 2010
Bernardo da Veiga, Michael McAleer and Felix Chan
Curtin University - School of Economics and Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Curtin University - Centre for Research in Applied Economics
Downloads 752 (31,704)
Citation 1

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Value-at-Risk (VaR), GARCH, risk management, violations, forecasting, simulations, backtesting, Basel Accord penalties

It Pays to Violate: How Effective are the Basel Accord Penalties in Encouraging Risk Management?

Accounting & Finance, Vol. 52, Issue 1, pp. 95-116, 2012
Number of pages: 22 Posted: 17 Jan 2012
Bernardo da Veiga, Felix Chan and Michael McAleer
Curtin University - School of Economics and Finance, Curtin University - Centre for Research in Applied Economics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 2 (666,826)
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Value‐at‐risk, GARCH, Risk management, Forecasting, Simulations, Backtesting, Basel accord penalties

23.

Modelling and Forecasting Dynamic VAR Thresholds for Risk Management and Regulation

Number of pages: 14 Posted: 24 Aug 2006
David E. Allen, Michael McAleer and Bernardo da Veiga
School of Mathematics and Statistics, The University of Sydney, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Curtin University - School of Economics and Finance
Downloads 746 (32,540)

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VaR, Portfolio GARCH, Basel II

24.

Estimating the Leverage Parameter of Continuous-Time Stochastic Volatility Models Using High Frequency S&P 500 and VIX

Number of pages: 34 Posted: 07 Feb 2011 Last Revised: 19 Oct 2011
Isao Ishida, Michael McAleer and Kosuke Oya
Konan University, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Osaka University
Downloads 741 (32,835)

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Continuous Time, High Frequency Data, Stochastic Volatility, S&P 500, Implied Volatility, VIX

25.

Asymmetric Adjustments in the Ethanol and Grains Markets

Number of pages: 39 Posted: 21 Dec 2010
National Chung Hsing University - Department of Applied Economics, Department of Finance, California State University, Los Angeles - College of Business & Economics, Montpellier Business School and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 740 (32,897)

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26.

An Econometric Analysis of SARS and Avian Flu on International Tourist Arrivals to Asia

Number of pages: 28 Posted: 08 Mar 2009 Last Revised: 18 May 2009
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, National Chung Hsing University - Department of Applied Economics, Chaoyang University of Technology, National Chung Hsing University and National Chung Hsing University - Department of Applied Economics, Department of Finance
Downloads 711 (34,715)

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SARS, Avian Flu, International Tourism, Static Fixed Effects Model, Dynamic Panel Data Model

27.

International Evidence on GFC-Robust Forecasts for Risk Management Under the Basel Accord

Number of pages: 39 Posted: 16 Jan 2011
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Complutense University of Madrid and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 682 (36,783)
Citation 2

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Median Strategy, Value-at-Risk (VaR), Daily Capital Charges, Robust Forecasts, Violation Penalties, Optimizing Strategy, Aggressive Risk Management, Conservative Risk Management, Basel II Accord, Global Financial Crisis (GFC)

28.

Modelling Long Memory Volatility in Agricultural Commodity Futures Returns

Number of pages: 34 Posted: 24 Oct 2009
Roengchai Tansuchat, Chia-Lin Chang and Michael McAleer
Faculty of Economics - Chiang Mai University, National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 637 (40,266)
Citation 4

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Long memory, agricultural commodity futures, fractional integration, asymmetric, conditional volatility

29.

Modelling Dynamic Conditional Correlations in Wti Oil Forward and Futures Returns

FEEM Working Paper No. 72.04
Number of pages: 33 Posted: 11 Jun 2004
Matteo Manera, Alessandro Lanza and Michael McAleer
University of Milan-Bicocca, Italy - Department of Economics, Management and Statistics (DEMS), Fondazione Eni Enrico Mattei (FEEM), Milan and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 635 (40,422)
Citation 2

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Constant conditional correlations, Dynamic conditional correlations, Multivariate

30.

Conditional Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns

Number of pages: 44 Posted: 11 Jan 2010
Roengchai Tansuchat, Chia-Lin Chang and Michael McAleer
Faculty of Economics - Chiang Mai University, National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 617 (42,013)
Citation 2

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Multivariate GARCH, volatility spillovers, conditional correlations, crude oil prices, spot, forward and futures prices , stock indices

31.

Causality Between Market Liquidity and Depth for Energy and Grains

Number of pages: 43 Posted: 18 May 2011
Middle East Technical University (METU), Montpellier Business School, National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 559 (47,853)

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Causality, market liquidity, depth, energy, grains

32.

The Dynamics of Energy-Grain Prices with Open Interest

Number of pages: 35 Posted: 29 May 2011
Montpellier Business School, Drexel University - Bennett S. LeBow College of Business, National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 549 (48,924)

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33.

Forecasting Realized Volatility with Linear and Nonlinear Models

Number of pages: 26 Posted: 01 Nov 2009
Michael McAleer and Marcelo C. Medeiros
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics
Downloads 546 (49,347)

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financial econometrics, volatility forecasting, neural networks, nonlinear models, realized volatility, bagging.

34.

Modelling International Tourist Arrivals and Volatility: An Application to Taiwan

Number of pages: 23 Posted: 09 Mar 2009 Last Revised: 18 Mar 2009
Chia-Lin Chang, Michael McAleer and Daniel J. Slottje
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Southern Methodist University (SMU) - Department of Economics
Downloads 544 (49,450)
Citation 1

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asymmetry, conditional volatility, EGARCH, GARCH, GJR, heterogeneous autoregressive model, international tourism, international tourist arrivals, leverage, long memory

35.

Stochastic Dominance Test for Risk Seekers: An Application To Oil Spot and Futures Markets

Number of pages: 42 Posted: 17 Jul 2006
Hooi Hooi Lean, Wing-Keung Wong and Michael McAleer
Universiti Sains Malaysia, Asia University, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 542 (49,677)
Citation 3

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stochastic dominance, risk averter, risk seeker, futures market, spot market

Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models

Number of pages: 19 Posted: 07 Feb 2010
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 531 (50,406)
Citation 7

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Conditional Correlations, Conditional Covariances, Diagonal Models, Forecasting, Generalized Models, Hadamard Models, Scalar models, Targeting

Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models

Journal of Economic Surveys, Vol. 26, Issue 4, pp. 736-751, 2012
Number of pages: 16 Posted: 07 Aug 2012
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 1 (681,267)
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Asymptotic theory, Conditional correlations, Conditional covariances, Diagonal models, Scalar models, Targeting

37.

Modelling Sustainable International Tourism Demand to the Brazilian Amazon

Number of pages: 33 Posted: 18 Mar 2009
Jose Angelo Divino and Michael McAleer
Catholic University of Brasilia and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 529 (51,268)
Citation 1

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Brazilian Amazon, International Tourism Demand, Time Series Modelling, Conditional Volatility Models, Forecasting

38.

Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH

Number of pages: 50 Posted: 06 Aug 2008 Last Revised: 24 Jun 2009
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 527 (51,509)

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multivariate asymmetry, conditional variance, stationarity conditions, asymptotic theory, multivariate news impact curve

39.

Modelling Short and Long Haul Volatility in Japanese Tourist Arrivals to New Zealand and Taiwan

Number of pages: 31 Posted: 11 Mar 2009
Chia-Lin Chang, Michael McAleer and Christine Lim
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and University of Waikato
Downloads 518 (52,647)
Citation 3

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Tourist arrivals, risk, conditional volatility, asymmetric effect, leverage

40.
Downloads 510 ( 53,707)
Citation 11

The Ten Commandments for Managing Investments

Number of pages: 6 Posted: 18 Feb 2009
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 508 (53,330)
Citation 6

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Ten Commandments, managing investments, investment rules, risk management, financial advisers, portfolio diversification

The Ten Commandments for Managing Investments

Journal of Economic Surveys, Vol. 24, Issue 1, pp. 196-200, February 2010
Number of pages: 5 Posted: 06 Jan 2010
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 2 (666,826)
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41.

Risk Management of Daily Tourist Tax Revenues for the Maldives

FEEM Working Paper No. 137.05
Number of pages: 37 Posted: 29 Nov 2005
Michael McAleer, Riaz Shareef and Bernardo da Veiga
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, University of Western Australia - School of Economics and Commerce and Curtin University - School of Economics and Finance
Downloads 509 (53,839)
Citation 3

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Small Island Tourism Economies (SITEs), International tourist arrivals, Tourism tax, Volatility, Risk, Value-at-Risk (VaR), Sustainable Tourism-@-Risk (ST@R)

42.

Are Forecast Updates Progressive?

Number of pages: 23 Posted: 14 Apr 2010
Chia-Lin Chang, Philip Hans Franses and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 456 (61,779)

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Macro-economic forecasts, econometric models, intuition, initial forecast, primary forecast, revised forecast, actual value, progressive forecast updates, forecast errors.

43.

Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations

Number of pages: 36 Posted: 02 Nov 2009
National Chung Hsing University - Department of Applied Economics, Department of Finance, Maejo University- Faculty of Economics, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Faculty of Economics - Chiang Mai University
Downloads 456 (61,779)

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tourism demand, ASEAN, multivariate GARCH, volatility spillovers, interdependence, economic development

44.

Estimating the Impact of Whaling on Global Whale Watching

Number of pages: 32 Posted: 02 Aug 2009
Hsiao-I Kuo, Chi Chung Chen and Michael McAleer
Chaoyang University of Technology, National Chung Hsing University and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 452 (62,471)
Citation 1

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Global Whale Watching, Whaling, Delay-Difference Equation Model

45.

Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan

Number of pages: 28 Posted: 14 Nov 2009
Chia-Lin Chang and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 449 (62,958)
Citation 1

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Korean tourist arrivals, exchange rates, approximate price effects, global financial crisis, Asian economic and financial crises, GARCH, GJR, EGARCH, HAR, long memory, asymmetry, leverage

46.

Risk Spillovers in Oil-Related CDS, Stock and Credit Markets

Number of pages: 42 Posted: 29 May 2011
Montpellier Business School, Drexel University - Bennett S. LeBow College of Business, National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 447 (63,280)

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47.

Dynamic Conditional Correlations for Asymmetric Processes

Number of pages: 26 Posted: 02 Sep 2009
Manabu Asai and Michael McAleer
Soka University - Faculty of Economics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 433 (65,766)
Citation 1

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Dynamic conditional correlations, Wishart distribution, asymmetry, GJR, exponential GARCH, BEKK, heavy tails

48.

Asymmetry and Leverage in Realized Volatility

Number of pages: 31 Posted: 02 Sep 2009
Manabu Asai, Michael McAleer and Marcelo C. Medeiros
Soka University - Faculty of Economics, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics
Downloads 428 (66,705)

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Asymmetry, leverage, realized volatility, integrated volatility, measurement errors, forecasts

49.

Modelling and Forecasting Noisy Realized Volatility

Number of pages: 47 Posted: 21 Sep 2009
Manabu Asai, Michael McAleer and Marcelo C. Medeiros
Soka University - Faculty of Economics, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics
Downloads 425 (67,268)

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realized volatility, diffusion, financial econometrics, measurement errors, forecasting, model evaluation, goodness-of-fit

50.

Great Expectatrics: Great Papers, Great Journals, Great Econometrics

Number of pages: 46 Posted: 01 Jun 2010
Chia-Lin Chang, Michael McAleer and Leslie T. Oxley
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and University of Canterbury
Downloads 424 (67,445)
Citation 2

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Research Assessment Measures, Impact Factors, Immediacy, Eigenfactor Score, Article Influence, H-Index, C3PO, Zinfluence, PI-BETA

51.

Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO

Number of pages: 37 Posted: 11 Mar 2009
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, National Chung Hsing University and National Chung Hsing University - Department of Applied Economics
Downloads 420 (68,225)

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Hog prices, joining the WTO, conditional volatility models, asymmetry, leverage, moment conditions

52.

Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach

Number of pages: 30 Posted: 18 Jan 2010
Hooi Hooi Lean, Michael McAleer and Wing-Keung Wong
Universiti Sains Malaysia, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Asia University, Department of Finance
Downloads 419 (68,397)

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Stochastic dominance, risk averter, oil futures market, market efficiency

53.

Combining Non-Replicable Forecasts

Number of pages: 32 Posted: 03 Jun 2010
Chia-Lin Chang, Philip Hans Franses and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 415 (69,221)

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Combined forecasts, efficient estimation, generated regressors, replicable forecasts, non-replicable forecasts, expert’s intuition

54.

Modelling the Growth and Volatility in Daily International Mass Tourism to Peru

Number of pages: 31 Posted: 18 Mar 2009
Jose Angelo Divino and Michael McAleer
Catholic University of Brasilia and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 414 (69,429)
Citation 2

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Daily International Tourim, Conditional Mean Models, Conditional Volatility Models

A Scientific Classification of Volatility Models

Number of pages: 7 Posted: 10 Dec 2008 Last Revised: 24 Mar 2009
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 409 (69,847)

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Volatility, taxonomy, GARCH, stochastic volatility, realized volatility

A Scientific Classification of Volatility Models

Journal of Economic Surveys, Vol. 24, Issue 1, pp. 192-195, February 2010
Number of pages: 4 Posted: 06 Jan 2010
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
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56.

A General Asymptotic Theory for Time Series Models

Number of pages: 16 Posted: 01 Nov 2009
Shiqing Ling and Michael McAleer
Hong Kong University of Science & Technology (HKUST) and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 372 (78,673)

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Asymptotic normality, estimation, rate of strong convergence, strong consistency, time series models.

57.

Ranking Multivariate GARCH Models by Problem Dimension

Number of pages: 107 Posted: 09 May 2010 Last Revised: 16 Oct 2010
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 363 (80,999)
Citation 14

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Covariance forecasting, model confidence set, model ranking, MGARCH, model comparison

58.

Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns

Number of pages: 18 Posted: 01 Nov 2009
Maejo University- Faculty of Economics, Faculty of Economics - Chiang Mai University, National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 357 (82,575)

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multivariate GARCH, volatility spillovers, conditional correlations, Asian rubber prices, spot returns, futures returns

59.

Alternative Asymmetric Stochastic Volatility Models

Number of pages: 25 Posted: 02 Sep 2009
Manabu Asai and Michael McAleer
Soka University - Faculty of Economics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 347 (85,319)

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Stochastic volatility, leverage, size effects, asymmetry, GJR, EGARCH, efficient importance sampling

What Makes a Great Journal Great in Economics? The Singer Not the Song

Number of pages: 36 Posted: 08 Jul 2010
Chia-Lin Chang, Michael McAleer and Leslie T. Oxley
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and University of Canterbury
Downloads 336 (87,879)

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Research assessment measures, impact factors, Immediacy, Eigenfactor, Article Influence, h-index, C3PO, Zinfluence, PI-BETA, STAR, IFI

What Makes a Great Journal Great in Economics? The Singer Not the Song

Journal of Economic Surveys, Vol. 25, Issue 2, pp. 326-361, 2011
Number of pages: 36 Posted: 07 Mar 2011
Chia-Lin Chang, Michael McAleer and Les Oxley
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and University of Canterbury - Economics and Finance
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Article influence, C3PO, Eigenfactor, h-index, IFI, Immediacy, Impact factors, PI-BETA, Research assessment measures, STAR, Zinfluence

61.

Globalization and Knowledge Spillover: International Direct Investment, Exports and Patents

Number of pages: 39 Posted: 16 Sep 2010
Chia-Lin Chang, Sung-Po Chen and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance, affiliation not provided to SSRN and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 335 (88,787)

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International direct investment, Export, Triadic Patent, Outward Direct Investment, Inward Direct Investment, R&D, negative binomial model

62.

Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression

Number of pages: 25 Posted: 18 Apr 2013
School of Mathematics and Statistics, The University of Sydney, Edith Cowan University, Edith Cowan University - School of Accounting, Finance and Economics, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, University of Oxford - Said Business School and University of Southampton - School of Management
Downloads 327 (91,212)
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Return-Volatility relationship, quantile regression, copula, copula quantile regression, volatility index, tail dependence

63.

A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options

Number of pages: 39 Posted: 18 Mar 2009
Chatayan Wiphatthanananthakul and Michael McAleer
Chulachomklao Royal Military Academy and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 318 (94,045)

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Financial markets, model selection, new products, price forecasting, time series, volatility forecasting

64.

Realized Volatility Risk

Number of pages: 38 Posted: 11 Dec 2009 Last Revised: 25 Jan 2010
David E. Allen, Michael McAleer and Marcel Scharth
School of Mathematics and Statistics, The University of Sydney, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and The University of Sydney
Downloads 312 (96,065)
Citation 7

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Realized volatility, volatility of volatility, volatility risk, value-at-risk, forecasting, conditional heteroskedasticity

65.

IV Estimation of a Panel Threshold Model of Tourism Specialization and Economic Development

Number of pages: 49 Posted: 05 Apr 2010
Chia-Lin Chang, Thanchanok Khamkaew and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance, Maejo University- Faculty of Economics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 311 (96,422)
Citation 2

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International tourism, economic development, tourism specialization, threshold regression, instrumental variables, panel data, cross-sectional data

66.

Model Selection and Testing of Conditional and Stochastic Volatility Models

Number of pages: 30 Posted: 14 Sep 2010
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 310 (96,749)
Citation 2

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Volatility Model Selection, Volatility Model Comparison, Non-Nested Models, Model Confidence Set, Value-At-Risk Forecasts, Asymmetry, Leverage

67.

Block Structure Multivariate Stochastic Volatility Models

Number of pages: 35 Posted: 18 Dec 2009
Manabu Asai, Massimiliano Caporin and Michael McAleer
Soka University - Faculty of Economics, University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 310 (96,749)
Citation 5

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block structures; multivariate stochastic volatility; curse of dimensionality

68.

Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates

Number of pages: 45 Posted: 16 Feb 2010
Chia-Lin Chang and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 304 (98,760)

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International tourist arrivals, exchange rates, global financial crisis, GARCH, GJR, EGARCH, HAR, approximate long memory, temporal aggregation, spatial aggregation, daily effects, weekly effects, asymmetry, leverage

69.

Estimating Price Effects in an Almost Ideal Demand Model of Outbound Thai Tourism to East Asia

Number of pages: 43 Posted: 11 Apr 2010
Chia-Lin Chang, Thanchanok Khamkaew and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance, Maejo University- Faculty of Economics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 265 (114,416)
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Almost Ideal Demand (AID) Model, Tourism Demand, Price Competitiveness, Compensated Prices, Uncompensated Prices, Substitutes, Complements, Budget Shares, Error Correction, Monthly Frequency

70.

How Volatile is ENSO

Number of pages: 31 Posted: 02 Aug 2009 Last Revised: 04 Sep 2009
Lan-Fen Chu, Michael McAleer and Chi-Chung Chen
The Institute of Economics, Academia Sinica, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and National Chung Hsing University
Downloads 257 (118,107)

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ENSO, SOI, SOT, Volatility, GARCH, GJR, EGARCH

71.

Volatility Spillovers from the Chinese Stock Market to Economic Neighbours

Number of pages: 24 Posted: 24 Dec 2011
David E. Allen, Ron Amram and Michael McAleer
School of Mathematics and Statistics, The University of Sydney, affiliation not provided to SSRN and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 237 (128,275)
Citation 2

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Volatility spillovers, VARMA-GARCH, VARMA-AGARCH, Chinese stock market

72.
Downloads 236 (128,817)
Citation 1

Ten Things We Should Know About Time Series

Number of pages: 7 Posted: 17 Sep 2010
Michael McAleer and Leslie T. Oxley
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and University of Canterbury
Downloads 232 (130,501)

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Unit roots, fractional integration, long memory, VARFIMA, cointegration, volatility, thresholds, asymmetry, leverage, forecasting models and expertise

Ten Things We Should Know About Time Series

Journal of Economic Surveys, Vol. 25, Issue 1, pp. 185-188, 2011
Number of pages: 4 Posted: 24 Jan 2011
Michael McAleer and Les Oxley
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and University of Canterbury - Economics and Finance
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Asymmetry, Cointegration, Forecasting models and expertise, Fractional integration, Leverage, Long memory, Thresholds, Unit roots, VARFIMA, Volatility

73.

Modelling Intra-Day Seasonality and Forecasting Densities in Financial Duration Data

Number of pages: 25 Posted: 13 Jun 2007
Zdravetz Lazarov and Michael McAleer
Edith Cowan University and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 219 (138,599)

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intra-day seasonality, ACD models, density forecasts

74.

Testing the Box-Cox Parameter in an Integrated Process

Number of pages: 21 Posted: 06 Sep 2009
Jian Huang, Masahito Kobayashi and Michael McAleer
affiliation not provided to SSRN, Yokohama National University - Department of Economics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 208 (145,544)

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Box-Cox transformation, Brownian motion, constant elasticity of volatility, mean reversion, nonstandard distribution

75.

Robust Estimation and Forecasting of the Capital Asset Pricing Model

Number of pages: 24 Posted: 11 Aug 2010 Last Revised: 17 Nov 2010
Guorui Bian, Michael McAleer and Wing-Keung Wong
East China Normal University (ECNU), Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Asia University, Department of Finance
Downloads 207 (146,146)
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Maximum Likelihood Estimators, Modified Maximum Likelihood Estimators, Student’s T Family, Capital Asset Pricing Model, Robustness

76.

A Trinomial Test for Paired Data When There are Many Ties

Number of pages: 17 Posted: 27 May 2009 Last Revised: 12 Feb 2010
Guorui Bian, Michael McAleer and Wing-Keung Wong
East China Normal University (ECNU), Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Asia University, Department of Finance
Downloads 204 (148,227)

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Sign test, trinomial test, non-parametric test, ties, test statistics, hypothesis testing

77.

Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis

Number of pages: 39 Posted: 26 Aug 2012 Last Revised: 25 Jan 2016
Michael McAleer, John Suen and Wing-Keung Wong
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, The Chinese University of Hong Kong (CUHK) - Faculty of Science and Asia University, Department of Finance
Downloads 185 (162,214)

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technical analysis, moving average, buy-and-hold strategy, dot-com bubble, Asian Financial crisis, subprime crisis, moving linear regression, volatility, bubble

78.

Choosing Expected Shortfall Over VaR in Basel III Using Stochastic Dominance

USC-INET Research Paper No. 16-05
Number of pages: 42 Posted: 13 Mar 2016
National Chung Hsing University - Department of Applied Economics, Department of Finance, Complutense University of Madrid, Emory University, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 178 (167,919)
Citation 2

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Stochastic dominance, Welfare, Value-at-Risk, Expected Shortfall, Optimizing strategy, Basel III Accord

79.

A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500

25th Australasian Finance and Banking Conference 2012
Number of pages: 19 Posted: 19 Aug 2012
School of Mathematics and Statistics, The University of Sydney, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan University
Downloads 174 (171,391)

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S&P 500, VIX, Entropy, Non-Parametric Estimation, Quantile Regressions

Fake News and Indifference to Truth: Dissecting Tweets and State of the Union Addresses by Presidents Obama and Trump

Number of pages: 22 Posted: 07 Mar 2018
David E. Allen, Michael McAleer and David McHardy Reid
School of Mathematics and Statistics, The University of Sydney, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Seattle University
Downloads 77 (313,600)

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Sentiment Analysis,Polarity, Bootstrapped t tests, Sign tests

Fake News and Indifference to Truth: Dissecting Tweets and State of the Union Addresses by Presidents Obama and Trump

Tinbergen Institute Discussion Paper 2018-020/III
Number of pages: 24 Posted: 12 Mar 2018
David E. Allen, Michael McAleer and David McHardy Reid
School of Mathematics and Statistics, The University of Sydney, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Seattle University
Downloads 63 (350,877)

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Sentiment Analysis, Polarity, Bootstrapped t tests, Sign tests

Fake News and Indifference to Truth: Dissecting Tweets and State of the Union Addresses by Presidents Obama and Trump

Number of pages: 22 Posted: 12 Mar 2018
David E. Allen, Michael McAleer and David McHardy Reid
School of Mathematics and Statistics, The University of Sydney, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Seattle University
Downloads 16 (563,052)
Citation 1

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Sentiment Analysis, Polarity, Bootstrapped t Tests, Sign Tests

81.

A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies

Number of pages: 24 Posted: 03 Dec 2016
David E. Allen, Michael McAleer and Abhay Kumar Singh
School of Mathematics and Statistics, The University of Sydney, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Edith Cowan University
Downloads 148 (196,603)

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Bio-fuels , time series, cointegration, Markov-switching, VECM, Impulse Responses, Volatility

82.

Simple Market Timing with Moving Averages

Tinbergen Institute Discussion Paper 2018-048/III
Number of pages: 40 Posted: 30 May 2018
Jukka Ilomäki, Hannu Laurila and Michael McAleer
Tampere University - School of Business Administration, Tampere University - School of Business Administration and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 137 (209,289)

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Market timing, Moving averages, Risk-free rate, Returns and volatility

83.

A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices

Number of pages: 24 Posted: 03 Dec 2016
School of Mathematics and Statistics, The University of Sydney, National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Edith Cowan University
Downloads 118 (234,805)

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Bio-fuels , time series, cointegration , Markov-switching , VECM, Impulse Responses, Volatility

84.

Nonparametric Multiple Change Point Analysis of the Global Financial Crisis

Number of pages: 14 Posted: 27 May 2013
School of Mathematics and Statistics, The University of Sydney, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan University
Downloads 114 (240,692)

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Nonparametric Analysis, Multiple Change Points, Cluster Analysis, Global Financial Crisis

85.

Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections

Tinbergen Institute Discussion Paper 2018-024/III
Number of pages: 60 Posted: 19 Mar 2018
Chia-Lin Chang, Michael McAleer and Wing-Keung Wong
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Asia University, Department of Finance
Downloads 112 (243,721)

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decision sciences, economics, finance, business, computing, and big data, theoretical models, econometric and statistical models, applications

86.

Management Information, Decision Sciences, and Financial Economics: A Connection

Tinbergen Institute Discussion Paper 2018-004/III
Number of pages: 33 Posted: 25 Jan 2018
Chia-Lin Chang, Michael McAleer and Wing-Keung Wong
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Asia University, Department of Finance
Downloads 111 (245,264)
Citation 6

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management information, decision sciences, financial economics, theoretical models, econometric models

87.

Pros and Cons of the Impact Factor in a Rapidly Changing Digital World

Tinbergen Institute Discussion Paper 2018-014/III
Number of pages: 36 Posted: 23 Feb 2018
Michael McAleer, Judit Oláh and József Popp
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, University of Debrecen and University of Debrecen
Downloads 110 (246,867)

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Impact Factor, Quality of research, Pros and Cons, Implications, Digital world, Editorial policies, Open access online publishing, SCIE, SSCI

88.

On the Robustness of Alternative Rankings Methodologies for Australian and New Zealand Economics Departments

Number of pages: 28 Posted: 07 Sep 2009
Joseph Macri, Michael McAleer and Dipendra Sinha
Macquarie University - Department of Economics, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Macquarie University, Australia
Downloads 109 (248,532)

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university rankings, citations, economics departments, journal rankings, alternative methodologies

89.

Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections

Tinbergen Institute Discussion Paper 2018-011/III
Number of pages: 57 Posted: 15 Feb 2018
Chia-Lin Chang, Michael McAleer and Wing-Keung Wong
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Asia University, Department of Finance
Downloads 108 (250,107)
Citation 1

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Big Data, Computational Science, Economics, Finance, Management, Theoretical Models, Econometric and Statistical Models, Applications

90.

Volatility Spillovers from Australia's Major Trading Partners Across the GFC

Number of pages: 25 Posted: 16 Aug 2014
School of Mathematics and Statistics, The University of Sydney, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan University
Downloads 107 (251,760)

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Volatility Spillover Index, VAR analysis, Variance Decomposition, Cholesky-GARCH

91.

Bayesian Analysis of Realized Matrix-Exponential GARCH Models

Tinbergen Institute Discussion Paper 2018-005/III
Number of pages: 29 Posted: 25 Jan 2018
Manabu Asai and Michael McAleer
Soka University - Faculty of Economics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 106 (253,413)

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Multivariate GARCH, Realized Measures, Matrix-Exponential, Bayesian Markov Chain Monte Carlo method, Asymmetry

92.

Pricing Carbon Emissions in China

Tinbergen Institute Discussion Paper 2018-001/III
Number of pages: 58 Posted: 17 Jan 2018
Chia-Lin Chang, Te-Ke Mai and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance, National Tsing Hua University and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 106 (253,413)

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Pricing Chinese Carbon Emissions, National Pricing Policy, Energy, Volatility, Energy Finance, Provincial Decisions

93.

Realized Stochastic Volatility with General Asymmetry and Long Memory

TI 2017-038/III Tinbergen Institute Discussion Paper
Number of pages: 38 Posted: 19 Apr 2017
Manabu Asai, Chia-Lin Chang and Michael McAleer
Soka University - Faculty of Economics, National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 106 (253,413)

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Stochastic Volatility; Realized Measure; Long Memory; Asymmetry; Whittle likelihood

94.

'Choosing Factors' by Fama and French (2018): A Comment

Number of pages: 32 Posted: 09 Dec 2018
David E. Allen and Michael McAleer
School of Mathematics and Statistics, The University of Sydney and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 105 (255,125)

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Fama-French Factors, Correct specification, Ramsey's RESET, Hausman tests, Endogeneity, Consistent standard errors

95.

Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory

Tinbergen Institute Discussion Paper 2017-105/III
Number of pages: 27 Posted: 06 Nov 2017
Manabu Asai, Michael McAleer and Shelton Peiris
Soka University - Faculty of Economics, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and The University of Sydney
Downloads 105 (255,125)

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Stochastic Volatility, Realized Volatility Measure, Long Memory, Gegenbauer Polynomial, Seasonality, Whittle Likelihood

96.

The Fiction of Full BEKK

Number of pages: 10 Posted: 20 Jul 2017
Chia-Lin Chang and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 105 (255,125)
Citation 1

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Random coefficient stochastic process, Off-diagonal parametric restrictions, Diagonal BEKK, Full BEKK, Regularity conditions, Asymptotic properties, Conditional volatility, Univariate and multivariate models.

97.

An Event Study of Chinese Tourists to Taiwan

Tinbergen Institute Discussion Paper 2018-003/III
Number of pages: 98 Posted: 17 Jan 2018
Chia-Lin Chang, Shu-Han Hsu and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance, National Chung Hsing University and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 104 (256,767)

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Event study, Abnormal rate of change, Chinese tourists, OLS, GARCH, GJR, EGARCH, Tourism finance.

98.

A New Inequality Measure that is Sensitive to Extreme Values and Asymmetries

Tinbergen Institute Discussion Paper 2017-102/III
Number of pages: 36 Posted: 06 Nov 2017
Michael McAleer, Hang K. Ryu and Daniel J. Slottje
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Chung-Ang University - Department of Economics and Southern Methodist University (SMU) - Department of Economics
Downloads 104 (256,767)

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Inequality Index, Extreme value distributions, Maximum entropy method, Orthonormal basis, Legendre polynomials

99.

Stationarity and Invertibility of a Dynamic Correlation Matrix

Tinbergen Institute Discussion Paper 17082/III (2017)
Number of pages: 21 Posted: 13 Sep 2017
Michael McAleer
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 104 (256,767)
Citation 1

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dynamic conditional correlation, dynamic conditional covariance, vector random coefficient moving average, stationarity, invertibility, asymptotic properties

100.

The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH

Number of pages: 10 Posted: 21 Jul 2017
Chia-Lin Chang and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 104 (256,767)

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Conditional volatility models, random coefficient complex nonlinear moving average process, EGARCH, asymmetry, leverage, regularity condition

101.

Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management

Number of pages: 28 Posted: 20 Jul 2017
David E. Allen and Michael McAleer
School of Mathematics and Statistics, The University of Sydney and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 104 (256,767)

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DBEKK, BEKK, Regularity Conditions, Asymptotic Properties, Non-Parametric, Bias, Quantile regression

102.

Specification Testing of Production in a Stochastic Frontier Model

Tinbergen Institute Discussion Paper 2017-097/III
Number of pages: 24 Posted: 26 Oct 2017
Xu Guo, Gaorong Li, Michael McAleer and Wing-Keung Wong
Beijing Normal University (BNU), Beijing University of Technology, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Asia University, Department of Finance
Downloads 103 (258,504)

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Production Frontier Function, Stochastic Frontier Model, Specification Testing, Wild Bootstrap, Smoothing Process, Empirical Process, Simulations

103.

A Statistical Analysis of Industrial Penetration and Internet Intensity in Taiwan

Tinbergen Institute Discussion Paper 2016-031/III
Number of pages: 51 Posted: 17 Jan 2018
Chia-Lin Chang, Michael McAleer and Yu-Chieh Wu
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and National Chung Hsing University
Downloads 101 (261,963)

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Industrial penetration, Internet intensity, Sample selection, Incidental truncation

104.

The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions

Number of pages: 26 Posted: 07 Mar 2018
Chia-Lin Chang and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 98 (267,256)

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Random Coefficient Stochastic Process, Off-Diagonal Parametric Restrictions, Diagonal BEKK, Full BEKK, Regularity Conditions, Asymptotic Properties, Conditional Volatility, Univariate and Multivariate Models, Fossil Fuels and Carbon Emissions

105.

Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs

Tinbergen Institute Discussion Paper 2018-052/III
Number of pages: 57 Posted: 19 Jun 2018
Chia-Lin Chang, Michael McAleer and Yu-Ann Wang
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and National Chung Hsing University
Downloads 86 (290,533)

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Renewable Energy, Latent Volatility, Granger Causality, Co-volatility Spillovers, Solar, Wind, Water, Nuclear Power

106.

Risk Spillovers in Returns for Chinese and International Tourists to Taiwan

Tinbergen Institute Discussion Paper 2018-031/III
Number of pages: 43 Posted: 11 Apr 2018
Chia-Lin Chang, Shu-Han Hsu and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance, National Chung Hsing University and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 80 (303,575)

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Risk spillovers, International tourism arrivals, Chinese tourist arrivals, Group tourists, Individual tourists, Medical tourists, Co-volatility effects, Diagonal BEKK model

107.

Establishing National Carbon Emission Prices for China

Tinbergen Institute Discussion Paper 2018-028/III
Number of pages: 59 Posted: 09 Apr 2018
Chia-Lin Chang, Te-Ke Mai and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance, National Tsing Hua University and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 79 (305,836)

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Pricing Chinese Carbon Emissions, National Pricing Policy, Energy, Volatility, Energy Finance, Provincial Decisions

108.

Asymmetric Risk Impacts of Chinese Tourists to Taiwan

Tinbergen Institute Discussion Paper 2018-047/III
Number of pages: 43 Posted: 30 May 2018
Chia-Lin Chang, Shu-Han Hsu and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance, National Chung Hsing University and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 72 (322,521)

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asymmetric risk, leverage, risk persistence, tourist revenues, conditional volatility models, Heterogeneous AutoRegressive (HAR) models

109.

Why Did Warrant Markets Close in China but Not Taiwan?

Tinbergen Institute Discussion Paper 2018-051/III
Number of pages: 35 Posted: 17 Jun 2018
Asia University, Department of Finance, Universiti Sains Malaysia, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Asia University
Downloads 65 (340,788)

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Moment Analysis, CAPM Statistics, Stochastic Dominance, Volume Analysis, Arbitrage Opportunity, Market Efficiency, Warrants, China Market, Taiwan Market

110.

A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index

Number of pages: 17 Posted: 01 Jun 2019
David E. Allen and Michael McAleer
School of Mathematics and Statistics, The University of Sydney and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 36 (438,506)

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NARDL, Bounds Tests, WTI, DOW JONES, asymmetries, multiplier effects

111.

Non-Trading Day Effects in Asymmetric Conditional and Stochastic Volatility Models

Econometrics Journal, Vol. 10, No. 1, pp. 113-123, March 2007
Number of pages: 11 Posted: 08 Mar 2007
Manabu Asai and Michael McAleer
Soka University - Faculty of Economics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
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112.

An Empirical Assessment of Country Risk Ratings and Associated Models

Journal of Economic Surveys, Vol. 18, No. 4, pp. 539-588, September 2004
Number of pages: 50 Posted: 29 Sep 2004
Suhejla Hoti and Michael McAleer
University of Western Australia and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
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113.

The Ten Commandments for Presenting a Conference Paper

Journal of Economic Surveys, Vol. 16, pp. 215-218, 2002
Number of pages: 4 Posted: 13 Dec 2002
Michael McAleer and Leslie T. Oxley
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and University of Canterbury
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114.

Confucius and Herding Behaviour in the Stock Markets in China and Taiwan

Sustainability 2018, 10, 4413; doi:10.3390/su10124413
Number of pages: 16 Posted: 01 Jul 2019
National University of Mongolia, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Asia University and Asia University, Department of Finance
Downloads 25 (490,796)
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herding behaviour; Confucian background; emerging market; frontier market; China market; Taiwan market

115.

Fake News and Propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany

Number of pages: 21 Posted: 06 Apr 2019
David E. Allen and Michael McAleer
School of Mathematics and Statistics, The University of Sydney and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 24 (496,363)

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text mining, sentiment analysis, word cloud, emotional valence

116.

Asymptotic Properties of the Estimator of the Long-Run Coefficient in a Dynamic Model with Integrated Regressors and Serially Correlated Errors

Japanese Economic Review, Vol. 54, pp. 420-438, December 2003
Number of pages: 19 Posted: 04 Mar 2004
Zonglu He, Koichi Maekawa and Michael McAleer
Kure University, Hiroshima University - Economics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 23 (501,848)
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117.

The International Congress on Modelling and Simulation: Hamilton, New Zealand, December 1999

Journal of Economic Surveys, Vol. 16, pp. 111-121, 2002
Number of pages: 11 Posted: 12 Dec 2002
Michael McAleer and Colin McKenzie
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Osaka University
Downloads 22 (507,659)
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118.

Intellectual Property Litigation Activity in the USA

Journal of Economic Surveys, Vol. 20, No. 4, pp. 715-729, September 2006
Number of pages: 15 Posted: 31 Aug 2006
Suhejla Hoti, Michael McAleer and Daniel J. Slottje
University of Western Australia, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Southern Methodist University (SMU) - Department of Economics
Downloads 20 (519,268)
Citation 1
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119.

Econometric Modelling of Non-Ferrous Metal Prices

Journal of Economic Surveys, Vol. 18, No. 5, pp. 651-701, December 2004
Number of pages: 52 Posted: 12 Nov 2004
Clinton Watkins and Michael McAleer
Graduate School of Economics, Kobe University and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
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Non-ferrous industrially used metals, Futures markets, Commodity prices, Commodity returns, Empirical models, Econometric critique

120.

The Ten Commandments for Ranking University Quality

Journal of Economic Surveys, Vol. 19, No. 4, pp. 649-653, September 2005
Number of pages: 24 Posted: 05 Sep 2005
Michael McAleer
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 16 (542,564)
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121.

Measuring Risk in Environmental Finance

Journal of Economic Surveys, Vol. 21, Issue 5, pp. 970-998, December 2007
Number of pages: 29 Posted: 17 Oct 2007
Suhejla Hoti, Michael McAleer and Laurent L. Pauwels
University of Western Australia, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and The University of Sydney
Downloads 15 (548,462)
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122.

How Does Country Risk Affect Innovation? An Application to Foreign Patents Registered in the USA

Journal of Economic Surveys, Vol. 20, No. 4, pp. 691-714, September 2006
Number of pages: 24 Posted: 31 Aug 2006
Suhejla Hoti and Michael McAleer
University of Western Australia and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 14 (554,523)
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123.

The Ten Commandments for Academics

Journal of Economic Surveys, Vol. 19, No. 5, pp. 823-826, December 2005
Number of pages: 26 Posted: 22 Dec 2005
Michael McAleer and Leslie T. Oxley
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and University of Canterbury
Downloads 14 (554,523)
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124.

Testing Multiple Non-Nested Factor Demand Systems

Bulletin of Economic Research, Vol. 57, No. 1, pp. 37-66, January 2005
Number of pages: 30 Posted: 31 Dec 2004
Matteo Manera and Michael McAleer
University of Milan-Bicocca, Italy - Department of Economics, Management and Statistics (DEMS) and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 14 (554,523)
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125.

Forecasting Realized Volatility with Linear and Nonlinear Univariate Models

Journal of Economic Surveys, Vol. 25, Issue 1, pp. 6-18, 2011
Number of pages: 13 Posted: 24 Jan 2011
Michael McAleer and Marcelo Medeiros
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and IPEA - Institute for Applied Economic Research
Downloads 3 (626,533)
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Bagging, Financial econometrics, Neural networks, Nonlinear models, Realized volatility, Volatility forecasting

126.

The Ten Commandments for Managing Value at Risk Under the Basel II Accord

Journal of Economic Surveys, Vol. 23, Issue 5, pp. 850-855, December 2009
Number of pages: 6 Posted: 09 Nov 2009
affiliation not provided to SSRN, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and affiliation not provided to SSRN
Downloads 2 (636,413)
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127.

Multivariate Stochastic Volatility, Leverage and News Impact Surfaces

Econometrics Journal, Vol. 12, Issue 2, pp. 292-309, July 2009
Number of pages: 18 Posted: 08 Oct 2009
Manabu Asai and Michael McAleer
Soka University - Faculty of Economics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 2 (636,413)
Citation 4
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128.

Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates

Japanese Economic Review, Vol. 63, Issue 3, pp. 397-419, 2012
Number of pages: 23 Posted: 30 Aug 2012
Chia-Lin Chang and Michael McAleer
affiliation not provided to SSRN and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 1 (649,034)
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129.

Profiteering from the Dot‐Com Bubble, Subprime Crisis and Asian Financial Crisis

The Japanese Economic Review, Vol. 67, Issue 3, pp. 257-279, 2016
Number of pages: 23 Posted: 09 Aug 2016
Michael McAleer, John Suen and Wing‐Keung Wong
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, The Chinese University of Hong Kong (CUHK) - Faculty of Science and Hong Kong Baptist University (HKBU)
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130.

Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments

Journal of Economic Surveys, Vol. 28, Issue 2, pp. 195-208, 2014
Number of pages: 14 Posted: 13 Mar 2014
Philip Hans Franses, Michael McAleer and Rianne Legerstee
Erasmus University Rotterdam (EUR) - Department of Econometrics, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Erasmus University Rotterdam (EUR) - Department of Econometrics
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Macroeconomic forecasts, Econometric models, Human intuition, Biased forecasts, Forecast performance, Forecast evaluation, Forecast comparison

131.

Cointegration Analysis of Seasonal Time Series

Journal of Economic Surveys, Vol. 12, Issue 5, pp. 651-678, 1998
Number of pages: 28 Posted: 13 Sep 2012
Philip Hans Franses and Michael McAleer
Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 0 (666,984)
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132.

Antitrust Environment and Innovation

University of Illinois at Urbana-Champaign's Academy for Entrepreneurial Leadership Historical Research Reference in Entrepreneurship
Posted: 24 Nov 2009
Dora Marinova, Michael McAleer and Daniel J. Slottje
Curtin University, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Southern Methodist University (SMU) - Department of Economics

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U.S. Department of Justice, U.S. Patent & Trademark Office (USPTO), Antitrust laws, Innovation process, Patents, Intellectual property

133.

Dynamic Asymmetric Garch

Journal of Financial Econometrics, Vol. 4, Issue 3, pp. 385-412, 2006
Posted: 29 Feb 2008
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute

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asymmetric volatility, DAGARCH, stationarity conditions, threshold GARCH