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

117

DOWNLOADS
Rank 668

SSRN RANKINGS

Top 668

in Total Papers Downloads

59,600

SSRN CITATIONS
Rank 4,944

SSRN RANKINGS

Top 4,944

in Total Papers Citations

219

CROSSREF CITATIONS

155

Scholarly Papers (117)

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 3,562 (6,196)
Citation 3

Abstract:

Loading...

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 3,022 (8,006)
Citation 15

Abstract:

Loading...

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.

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 1,258 (31,326)
Citation 13

Abstract:

Loading...

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

4.

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 1,249 (31,658)
Citation 2

Abstract:

Loading...

Volatility spillovers, multivariate GARCH, conditional correlations, crude oil spot prices, spot returns, forward returns, futures 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 1,196 (33,710)
Citation 6

Abstract:

Loading...

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

6.

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 1,178 (34,401)
Citation 23

Abstract:

Loading...

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

7.

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 1,152 (35,505)
Citation 11

Abstract:

Loading...

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

8.

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 1,131 (36,442)
Citation 18

Abstract:

Loading...

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

9.

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
Drexel University - Lebow College of Business, Drexel University - Bennett S. LeBow College of Business and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 1,107 (37,582)
Citation 4

Abstract:

Loading...

Multivariate GARCH, shocks, volatility, transmission, portfolio weights

10.

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 1,107 (37,582)
Citation 2

Abstract:

Loading...

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

11.

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 1,087 (38,641)
Citation 2

Abstract:

Loading...

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

12.

Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies

Number of pages: 41 Posted: 31 Oct 2009
Drexel University - Lebow College of Business, affiliation not provided to SSRN, Texas Tech University - Rawls College of Business and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 1,078 (39,112)
Citation 6

Abstract:

Loading...

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

13.

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 1,066 (39,733)
Citation 8

Abstract:

Loading...

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

14.

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 994 (43,915)
Citation 2

Abstract:

Loading...

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

15.

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 949 (46,778)
Citation 7

Abstract:

Loading...

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

16.

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 938 (47,557)
Citation 3

Abstract:

Loading...

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

17.

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 933 (47,882)
Citation 4

Abstract:

Loading...

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

18.

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 915 (49,216)
Citation 1

Abstract:

Loading...

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

19.

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 883 (51,731)
Citation 7

Abstract:

Loading...

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.

20.

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 870 (52,760)
Citation 2

Abstract:

Loading...

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 863 (53,339)
Citation 16

Abstract:

Loading...

22.

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 814 (57,712)

Abstract:

Loading...

VaR, Portfolio GARCH, Basel II

23.

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 812 (57,891)
Citation 1

Abstract:

Loading...

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

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 782 (61,000)
Citation 1

Abstract:

Loading...

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, Drexel University - Lebow College of Business and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 781 (61,098)

Abstract:

Loading...

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 771 (62,133)
Citation 2

Abstract:

Loading...

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

27.

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 745 (65,038)
Citation 10

Abstract:

Loading...

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

28.

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 718 (68,186)
Citation 4

Abstract:

Loading...

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)

29.

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 685 (72,445)
Citation 7

Abstract:

Loading...

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

30.

Modelling Dynamic Conditional Correlations in Wti Oil Forward and Futures Returns

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 666 (75,093)
Citation 2

Abstract:

Loading...

Constant conditional correlations, Dynamic conditional correlations, Multivariate

31.

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 655 (76,694)
Citation 6

Abstract:

Loading...

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

32.

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 619 (82,284)
Citation 10

Abstract:

Loading...

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

33.

Causality Between Market Liquidity and Depth for Energy and Grains

Number of pages: 43 Posted: 18 May 2011
Middle East Technical University (METU), Drexel University - 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 608 (84,133)
Citation 3

Abstract:

Loading...

Causality, market liquidity, depth, energy, grains

34.

The Dynamics of Energy-Grain Prices with Open Interest

Number of pages: 35 Posted: 29 May 2011
Drexel University - Lebow College of Business, 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 588 (87,800)

Abstract:

Loading...

35.

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 The University of Illinois at Urbana-Champaign
Downloads 586 (88,224)

Abstract:

Loading...

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

36.

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 583 (88,767)

Abstract:

Loading...

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

37.

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 581 (89,119)
Citation 3

Abstract:

Loading...

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

38.

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 580 (89,310)
Citation 1

Abstract:

Loading...

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

39.

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 579 (89,513)

Abstract:

Loading...

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

40.

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 575 (90,265)
Citation 1

Abstract:

Loading...

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

41.

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 567 (91,903)
Citation 4

Abstract:

Loading...

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

42.

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 545 (96,602)
Citation 9

Abstract:

Loading...

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

43.

'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 521 (102,146)

Abstract:

Loading...

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

44.

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 512 (104,319)
Citation 3

Abstract:

Loading...

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

45.

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 509 (105,074)
Citation 2

Abstract:

Loading...

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

46.

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 485 (111,397)

Abstract:

Loading...

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

47.

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 485 (111,397)
Citation 1

Abstract:

Loading...

Global Whale Watching, Whaling, Delay-Difference Equation Model

48.

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 481 (112,501)
Citation 2

Abstract:

Loading...

Daily International Tourim, Conditional Mean Models, Conditional Volatility Models

49.

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

Number of pages: 42 Posted: 29 May 2011
Drexel University - Lebow College of Business, 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 475 (114,130)
Citation 1

Abstract:

Loading...

50.

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 The University of Illinois at Urbana-Champaign
Downloads 466 (116,817)

Abstract:

Loading...

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

51.

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 The University of Illinois at Urbana-Champaign
Downloads 464 (117,404)
Citation 4

Abstract:

Loading...

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

52.

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 462 (117,993)
Citation 1

Abstract:

Loading...

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

53.

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 454 (120,472)
Citation 3

Abstract:

Loading...

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

54.

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 454 (120,472)

Abstract:

Loading...

Volatility, taxonomy, GARCH, stochastic volatility, realized volatility

55.

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 450 (121,740)
Citation 18

Abstract:

Loading...

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

56.

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 450 (121,740)

Abstract:

Loading...

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

57.

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 441 (124,683)

Abstract:

Loading...

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

58.

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 440 (124,999)
Citation 15

Abstract:

Loading...

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

59.

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 Business & Law, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, University of Oxford - Said Business School and University of Southampton - School of Management
Downloads 427 (129,406)
Citation 5

Abstract:

Loading...

Return-Volatility relationship, quantile regression, copula, copula quantile regression, volatility index, tail dependence

60.

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 401 (139,108)

Abstract:

Loading...

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

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 247 (230,823)
Citation 1

Abstract:

Loading...

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: 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 102 (489,929)

Abstract:

Loading...

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 44 (777,554)
Citation 1

Abstract:

Loading...

Sentiment Analysis, Polarity, Bootstrapped t Tests, Sign Tests

62.

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 393 (142,323)
Citation 3

Abstract:

Loading...

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

63.

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 389 (143,948)

Abstract:

Loading...

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

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 388 (144,395)
Citation 40

Abstract:

Loading...

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

65.

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 378 (148,597)
Citation 2

Abstract:

Loading...

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

66.

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 373 (150,886)

Abstract:

Loading...

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

67.

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 373 (150,886)
Citation 3

Abstract:

Loading...

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

68.

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 364 (155,030)

Abstract:

Loading...

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

69.

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 359 (157,417)

Abstract:

Loading...

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

70.

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 338 (167,942)
Citation 8

Abstract:

Loading...

block structures; multivariate stochastic volatility; curse of dimensionality

71.

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 325 (175,138)
Citation 3

Abstract:

Loading...

Almost Ideal Demand (AID) Model, Tourism Demand, Price Competitiveness, Compensated Prices, Uncompensated Prices, Substitutes, Complements, Budget Shares, Error Correction, Monthly Frequency

72.

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 325 (175,138)

Abstract:

Loading...

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

73.

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 312 (182,788)

Abstract:

Loading...

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

74.

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 296 (193,359)
Citation 2

Abstract:

Loading...

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

75.

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 278 (206,134)

Abstract:

Loading...

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

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 266 (215,579)
Citation 4

Abstract:

Loading...

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 260 (220,419)

Abstract:

Loading...

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 248 (231,072)
Citation 8

Abstract:

Loading...

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

79.

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 242 (236,651)
Citation 3

Abstract:

Loading...

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

80.

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 238 (240,593)

Abstract:

Loading...

intra-day seasonality, ACD models, density forecasts

81.

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 234 (244,502)

Abstract:

Loading...

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

82.

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 Business & Law and Edith Cowan University
Downloads 231 (247,419)

Abstract:

Loading...

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

83.

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 229 (249,600)
Citation 4

Abstract:

Loading...

Maximum Likelihood Estimators, Modified Maximum Likelihood Estimators, Student’s T Family, Capital Asset Pricing Model, Robustness

84.

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 220 (259,195)

Abstract:

Loading...

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

85.

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 212 (268,311)

Abstract:

Loading...

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

86.

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 160 (344,463)

Abstract:

Loading...

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

87.

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

Number of pages: 28 Posted: 07 Sep 2009
Macquarie University - Department of Economics, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Macquarie University, AustraliaRitsumeikan Asia Pacific University, Japan
Downloads 139 (386,007)

Abstract:

Loading...

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

88.

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 126 (416,537)

Abstract:

Loading...

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

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 121 (429,384)
Citation 6

Abstract:

Loading...

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

90.

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 Business & Law and Edith Cowan University
Downloads 119 (434,882)
Citation 3

Abstract:

Loading...

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

91.

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 118 (437,551)

Abstract:

Loading...

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

92.

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 117 (440,449)
Citation 11

Abstract:

Loading...

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

93.

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 117 (440,449)
Citation 2

Abstract:

Loading...

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

94.

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 116 (443,185)

Abstract:

Loading...

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

95.

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, Guangdong University of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 114 (448,917)
Citation 1

Abstract:

Loading...

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

96.

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 111 (457,987)

Abstract:

Loading...

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

97.

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 111 (457,987)

Abstract:

Loading...

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

98.

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 111 (457,987)
Citation 1

Abstract:

Loading...

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

99.

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 110 (461,065)
Citation 3

Abstract:

Loading...

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

100.

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 110 (461,065)

Abstract:

Loading...

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

101.

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 110 (461,065)
Citation 6

Abstract:

Loading...

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

102.

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 Business & Law and Edith Cowan University
Downloads 110 (461,065)
Citation 1

Abstract:

Loading...

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

103.

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 108 (467,131)

Abstract:

Loading...

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

104.

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 National Formosa University
Downloads 107 (470,277)
Citation 3

Abstract:

Loading...

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

105.

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 107 (470,277)
Citation 3

Abstract:

Loading...

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

106.

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 106 (473,413)

Abstract:

Loading...

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

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, Guangdong University of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 104 (480,107)

Abstract:

Loading...

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

108.

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 103 (483,279)

Abstract:

Loading...

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

109.

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 103 (483,279)
Citation 1

Abstract:

Loading...

Industrial penetration, Internet intensity, Sample selection, Incidental truncation

110.

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 101 (489,848)

Abstract:

Loading...

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

111.

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 88 (535,221)

Abstract:

Loading...

text mining, sentiment analysis, word cloud, emotional valence

112.

Do We Need Stochastic Volatility and GARCH? Comparing Squared End-of-Day Returns on FTSE

Number of pages: 29 Posted: 26 Nov 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 81 (562,822)

Abstract:

Loading...

Stochastic Volatility, GARCH(1,1), FTSE, RV 5 Min, HAR Model, Demeaned Daily Squared Returns

113.

Developing Formulas for Quick Calculation of Polyhedron Volume in Spatial Geometry: Application to Vietnam

Number of pages: 53 Posted: 01 Nov 2019
Can Tho University, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, affiliation not provided to SSRN and Ton Duc Thang University
Downloads 65 (635,217)

Abstract:

Loading...

Leadership, Knowledge Production, Polyhedron, Volume, Spatial Geometry, Quick calculation

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 Last Revised: 10 Jun 2020
National University of Mongolia, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Asia University and Asia University, Department of Finance
Downloads 62 (650,651)
Citation 3

Abstract:

Loading...

herding behaviour; Confucian background; emerging market; frontier market; China market; Taiwan market

115.

Impact of Covid-19 on Returns-Volatility Spillovers in National and Regional Carbon Markets in China

Number of pages: 60 Posted: 01 Apr 2022
Te-Ke Mai, Aoife Foley, Michael McAleer and Chia-Lin Chang
Guangdong University of Finance, The University of Manchester, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and National Chung Hsing University - Department of Applied Economics, Department of Finance
Downloads 26 (903,503)
Citation 1

Abstract:

Loading...

Carbon Markets, China, Diagonal BEKK, Volatility, spillovers, Risk, COVID-19, Euro zone

116.

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

Abstract:

Loading...

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

117.

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

Abstract:

Loading...

asymmetric volatility, DAGARCH, stationarity conditions, threshold GARCH