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Number of items: 102.

Allen, David E. and McAleer, Michael and Powell, Robert J. and Singh, Abhay K. (2013) A Capital Adequacy Buffer Model. [Working Paper or Technical Report] (Unpublished)

McAleer, Michael and Jiménez Martín, Juan Ángel and Pérez Amaral, Teodosio (2009) A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk. [Working Paper or Technical Report] (Unpublished)

Asai, Manabu and McAleer, Michael (2013) A Fractionally Integrated Wishart Stochastic Volatility Model. [Working Paper or Technical Report] (Unpublished)

Caporin, Massimiliano and McAleer, Michael (2009) A Scientific Classification of Volatility Models. [Working Paper or Technical Report] (Unpublished)

Wiphatthanananthakul, Chatayan and McAleer, Michael (2009) A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Hsu, Hui-Kuang and McAleer, Michael (2014) A Tourism Conditions Index. [Working Paper or Technical Report] (Unpublished)

Allen, David E. and Kramadibrata, A. and McAleer, Michael and Powell, R. and Singh, A. K. (2012) A non-parametric and entropy based analysis of the relationship between the VIX and S&P500. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael (2011) Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Bruijn, Bert de and Franses, Philip Hans and McAleer, Michael (2013) Analyzing Fixed-event Forecast Revisions. [Working Paper or Technical Report] (Unpublished)

Franses, Philip Hans and Chang, Chia-Lin and McAleer, Michael (2011) Analyzing Fixed-event Forecast Revisions. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Franses, Philip Hans and McAleer, Michael (2011) Are Forecast Updates Progressive? [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Chen, Li-Hsueh and Hammoudeh, Shawkat and McAleer, Michael (2012) Asymmetric Adjustments in the Ethanol and Grains Markets. [Working Paper or Technical Report] (Unpublished)

Asai, Manabu and McAleer, Michael and Medeiros, Marcelo C. (2011) Asymmetry and Long Memory in Volatility Modelling. [Working Paper or Technical Report] (Unpublished)

Sari, Ramazan and Hammoudeh, Shawkat and Chang, Chia-Lin and McAleer, Michael (2011) Causality Between Market Liquidity and Depth for Energy and Grains. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael (2011) Citations and Impact of ISI Tourism and Hospitality Journals. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael and Oxley, Les (2013) Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael and Tansuchat, Roengchai (2011) Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns. [Working Paper or Technical Report] (Unpublished)

Caporin, Massimiliano and McAleer, Michael (2009) Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models. [Working Paper or Technical Report] (Unpublished)

Asai, Manabu and McAleer, Michael (2011) Dynamic Conditional Correlations for Asymmetric Processes. [Working Paper or Technical Report] (Unpublished)

Jaskowski, Marcin and McAleer, Michael (2012) Estimating Implied Recovery Rates from the Term Structure of CDS Spreads. [Working Paper or Technical Report] (Unpublished)

Jaskowski, Marcin and McAleer, Michael (2012) Estimating Implied Recovery Rates from the Term Structure of CDS Spreads. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Khamkaew, Thanchanok and McAleer, Michael (2012) Estimating Price Effects in an Almost Ideal Demand Model of Outbound Thai Tourism to East Asia. [Working Paper or Technical Report] (Submitted)

Kuo, Hsiao-I and Chen, Chi-Chung and McAleer, Michael (2011) Estimating the Impact of Whaling on Global Whale Watching. [Working Paper or Technical Report] (Unpublished)

Ishida , Isao and McAleer, Michael and Oya, Kosuke (2011) Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Franses, Philip Hans and McAleer, Michael (2011) Evaluating Individual and Mean Non-Replicable Forecasts. [Working Paper or Technical Report] (Unpublished)

Franses, Philip Hans and McAleer, Michael and Legerstee, Rianne (2012) Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments. [Working Paper or Technical Report] (Unpublished)

Franses, Philip Hans and McAleer, Michael and Legerstee, Rianne (2011) Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments. [Working Paper or Technical Report] (Unpublished)

Allen, David E. and Ashraf, Mohammad.A. and McAleer, Michael and Powell, Robert J. and Singh, Abhay K. (2013) Financial Dependence Analysis: Applications of Vine Copulae. [Working Paper or Technical Report] (Unpublished)

Asai, Manabu and McAleer, Michael (2014) Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance. [Working Paper or Technical Report] (Unpublished)

Asai, Manabu and Caporin, Massimiliano and McAleer, Michael (2012) Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models. [Working Paper or Technical Report] (Submitted)

Chen, Cathy W. S. and Gerlach, Richard and Hwang, Bruce B. K. and McAleer, Michael (2011) Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range. [Working Paper or Technical Report] (Unpublished)

McAleer, Michael and Jiménez Martín, Juan Ángel and Pérez Amaral, Teodosio (2010) GFC-Robust Risk Management Strategies under the Basel Accord. [Working Paper or Technical Report] (Unpublished)

Santos, Paulo Araújo and Jiménez Martín, Juan Ángel and McAleer, Michael and Pérez Amaral, Teodosio (2011) GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Chen, Sung-Po and McAleer, Michael (2012) Globalization and Knowledge Spillover: International Direct Investment, Exports and Patents. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael and Oxley, Les (2011) Great Expectatrics: Great Papers, Great Journals, Great Econometrics. [Working Paper or Technical Report] (Unpublished)

McAleer, Michael and Jiménez-Martín, Juan-Ángel and Pérez-Amaral, Teodosio (2012) Has the Basel Accord Improved Risk Management During the Global Financial Crisis? [Working Paper or Technical Report] (Unpublished)

McAleer, Michael and Jiménez Martín, Juan Ángel and Pérez Amaral, Teodosio (2009) Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis? [Working Paper or Technical Report] (Unpublished)

McAleer, Michael and Radalj , Kim (2013) Herding, Information Cascades and Volatility Spillovers in Futures Markets. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael (2011) How Should Journal Quality be Ranked? An Application to Agricultural, Energy, Environmental and Resource Economics. [Working Paper or Technical Report] (Submitted)

Chu, Lan-Fen and McAleer, Michael (2012) How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy? [Working Paper or Technical Report] (Unpublished)

Chu, LanFen and McAleer, Michael and Chen, Chi-Chung (2011) How Volatile is ENSO? [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael and Oxley, Les (2011) How are Journal Impact, Prestige and Article Influence Related? An Application to Neuroscience. [Working Paper or Technical Report] (Unpublished)

McAleer, Michael and Jiménez Martín, Juan Ángel and Pérez Amaral, Teodosio (2011) International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael and Tang, Ju-Ting (2013) International Technology Diffusion of Joint and Cross-border Patents. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Hsu, Hui-Kuang and McAleer, Michael (2013) Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael and Oxley, Les (2012) Journal Impact Factor, Eigenfactor, Journal Influence and Article Influence. [Working Paper or Technical Report] (Unpublished)

Asai, Manabu and McAleer, Michael (2013) Leverage and Feedback Eects on Multifactor Wishart Stochastic Volatility for Option Pricing. [Working Paper or Technical Report] (Unpublished)

Allen, David E. and McAleer, Michael and Singh, Abhay K. (2014) Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series. [Working Paper or Technical Report] (Unpublished)

García Hiernaux, Alfredo and David E. , Guerrero and McAleer, Michael (2013) Market Integration Dynamics and Asymptotic Price Convergence in Distribution. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael and Slottje, Dan (2009) Modelling International Tourist Arrivals and Volatility: An Application to Taiwan. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael and Tansuchat, Roengchai (2012) Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. [Working Paper or Technical Report] (Unpublished)

Divino, Jose Angelo and McAleer, Michael (2009) Modelling Sustainable International Tourism Demand to the Brazilian Amazon. [Working Paper or Technical Report] (Unpublished)

Asai, Manabu and McAleer, Michael and Medeiros, Marcelo C. (2011) Modelling and Forecasting Noisy Realized Volatility. [Working Paper or Technical Report] (Submitted)

McAleer, Michael and Chan, Felix and Oxley, Les (2013) Modelling and Simulation: An Overview. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Huang, Biing-Wen and Chen, Meng-Gu and McAleer, Michael (2009) Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO. [Working Paper or Technical Report] (Unpublished)

Chen, Ping-Yu and Chang, Chia-Lin and Chen, Chi-Chung and McAleer, Michael (2013) Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility. [Working Paper or Technical Report] (Unpublished)

Divino, Jose Angelo and McAleer, Michael (2009) Modelling the Growth and Volatility in Daily International Mass Tourism to Peru. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael and Lim, Christine (2011) Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael and Lim, Christine (2011) Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan. [Working Paper or Technical Report] (Unpublished)

Allen, David E. and McAleer, Michael and Powell, Robert J. and Singh, Abhay K. (2013) Nonparametric Multiple Change Point Analysis of the Global Financial Crisis. [Working Paper or Technical Report] (Unpublished)

McAleer, Michael and Jiménez Martín, Juan Ángel and Pérez Amaral, Teodosio (2009) Optimal Risk Management Before, During and After the 2008-09 Financial Crisis. [Working Paper or Technical Report] (Unpublished)

McAleer, Michael and Suen, John and Wong, Wing-Keung (2013) Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael (2014) Quality Weighted Citations Versus Total Citations in the Sciences and Social Sciences. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael (2014) Ranking Economics and Econometrics ISI Journals by Quality Weighted Citations. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael (2012) Ranking Journal Quality by Harmonic Mean of Ranks: An Application to ISI Statistics & Probability. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael (2013) Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc. [Working Paper or Technical Report] (Unpublished)

Caporin, Massimiliano and McAleer, Michael (2011) Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation. [Working Paper or Technical Report] (Unpublished)

Allen, David E. and McAleer, Michael and Scharth, Marcel (2013) Realized volatility risk. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Allen, David E. and McAleer, Michael (2013) Recent Developments in Financial Economics and Econometrics: An Overview. [Working Paper or Technical Report] (Unpublished)

Hammoudeh, Shawkat and McAleer, Michael (2012) Risk Management and Financial Derivatives: An Overview. [Working Paper or Technical Report] (Unpublished)

Hammoudeh, Shawkat and Malik, Farooq and McAleer, Michael (2011) Risk Management of Precious Metals. [Working Paper or Technical Report] (Unpublished)

Casarin, Roberto and Chang, Chia-Lin and Jiménez Martín, Juan Ángel and McAleer, Michael and Pérez Amaral, Teodosio (2011) Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures. [Working Paper or Technical Report] (Unpublished)

Chang , Chia-Lin and Jiménez Martín, Juan Ángel and McAleer, Michael and Pérez Amaral, Teodosio (2011) Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Allen, David E. and McAleer, Michael and Pérez Amaral, Teodosio (2013) Risk Modelling and Management: An Overview. [Working Paper or Technical Report] (Unpublished)

Hammoudeh, Shawkat and Liu, Tengdong and Chang, Chia-Lin and McAleer, Michael (2011) Risk Spillovers in Oil-Related CDS, Stock and Credit Markets. [Working Paper or Technical Report] (Unpublished)

Lean, Hooi Hooi and McAleer, Michael and Wong, Wing-Keung (2013) Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures. [Working Paper or Technical Report] (Unpublished)

Bian, Guorui and McAleer, Michael and Wong, Wing-Keung (2012) Robust Estimation and Forecasting of the Capital Asset Pricing Model. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Maasoumi, Esfandiar and McAleer, Michael (2012) Robust Ranking of Journal Quality: An Application to Economics. [Working Paper or Technical Report] (Unpublished)

Caporin, Massimiliano and McAleer, Michael (2012) Robust Ranking of Multivariate GARCH Models by Problem Dimension. [Working Paper or Technical Report] (Unpublished)

Chu, Lan-Fen and McAleer, Michael and Chang, Ching-Chung (2012) Statistical Modelling of Extreme Rainfall in Taiwan. [Working Paper or Technical Report] (Unpublished)

Chu, Lan-Fen and McAleer, Michael and Wang, Szu-Hua (2012) Statistical Modelling of Recent Changes in Extreme Rainfall in Taiwan. [Working Paper or Technical Report] (Unpublished)

Bai, Zhidong and Li, Hua and McAleer, Michael and Wong, Wing-Keung (2012) Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China. [Working Paper or Technical Report] (Unpublished)

Caporin, Massimiliano and McAleer, Michael (2013) Ten Things You Should Know About DCC. [Working Paper or Technical Report] (Unpublished)

Caporin, Massimiliano and McAleer, Michael (2013) Ten Things You Should Know About the Dynamic Conditional Correlation Representation. [Working Paper or Technical Report] (Unpublished)

Caporin, Massimiliano and McAleer, Michael (2013) Ten Things You Should Know About the Dynamic Conditional Correlation Representation. [Working Paper or Technical Report] (Unpublished)

Huang, Jian and Kobayashi, Masahito and McAleer, Michael (2011) Testing the Box-Cox Parameter for an Integrated Process. [Working Paper or Technical Report] (Unpublished)

Hammoudeh, Shawkat and Sarafrazi, Soodabeh and Chang, Chia-Lin and McAleer, Michael (2011) The Dynamics of Energy-Grain Prices with Open Interest. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Hsu, Hui-Kuang and McAleer, Michael (2013) The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry. [Working Paper or Technical Report] (Unpublished)

Nawata , Kazumitsu and McAleer, Michael (2013) The Maximum Number of Parameters for the Hausman Test When the Estimators are from Different Sets of Equations. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Jiménez Martín, Juan Ángel and McAleer, Michael and Pérez Amaral, Teodosio (2011) The Rise and Fall of S&P500 Variance Futures. [Working Paper or Technical Report] (Submitted)

Chang, Chia-Lin and Jiménez Martín, Juan Ángel and McAleer, Michael and Pérez Amaral, Teodosio (2011) The Rise and Fall of S&P500 Variance Futures. [Working Paper or Technical Report] (Submitted)

Jiménez Martín, Juan Ángel and McAleer, Michael and Pérez Amaral, Teodosio (2009) The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord. [Working Paper or Technical Report]

McAleer, Michael (2009) The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges. [Working Paper or Technical Report] (Unpublished)

Allen, David E. and Singh, Abhay K. and Powell, Robert J. and McAleer, Michael and Taylor, James (2012) The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions. [Working Paper or Technical Report] (Unpublished)

Caporin, Massimiliano and McAleer, Michael (2009) Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH. [Working Paper or Technical Report] (Unpublished)

Jaskowski, Marcin and McAleer, Michael (2013) Volatility Smirk as an Externality of Agency Conict and Growing Debt. [Working Paper or Technical Report] (Unpublished)

Allen, David E. and Amram, Ron and McAleer, Michael (2011) Volatility Spillovers from the Chinese Stock Market to Economic Neighbours. [Working Paper or Technical Report] (Submitted)

Allen, David E. and McAleer, Michael and Powell, R. J. and Singh, A. K. (2012) Volatility Spillovers from the US to Australia and China across the GFC. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael (2013) What Do Experts Know About Forecasting Journal Quality? A Comparison with ISI Research Impact in Finance. [Working Paper or Technical Report] (Unpublished)

Jiménez Martín, Juan Ángel and McAleer, Michael and Pérez Amaral, Teodosio (2009) What Happened to Risk Management During the 2008-09 Financial Crisis? [Working Paper or Technical Report] (Unpublished)

McAleer, Michael and Jiménez Martín, Juan Ángel and Pérez Amaral, Teodosio (2009) What Happened to Risk Management During the 2008-09 Financial Crisis? [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael (2012) What do Experts Know About Ranking Journal Quality? A Comparison with ISI Research Impact in Finance. [Working Paper or Technical Report] (Submitted)

This list was generated on Sat Apr 19 02:24:34 2014 CEST.