Browsing All of EconStor by Author McAleer, Michael

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Year of PublicationTitleAuthor(s)
2001 Regression quantiles for unstable autoregressive modelsLing, Shiqing; McAleer, Michael
2004 Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures ReturnsManera, Matteo; Lanza, Alessandro; McAleer, Michael
2005 Risk Management of Daily Tourist Tax Revenues for the MaldivesMcAleer, Michael; Shareef, Riaz; da Veiga, Bernardo
2005 Structure and asymptotic theory for STAR(1)-GARCH(1,1) modelsChan, Felix; McAleer, Michael; Medeiros, Marcelo C.
2006 Realized volatility: a reviewMcAleer, Michael; Medeiros, Marcelo C.
2007 A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetriesMcAleer, Michael; Medeiros, Marcelo C.
2009 Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?McAleer, Michael; Jimenez-Martin, Juan-Angel; PĂ©rez-Amaral, Teodosio
2010 Moment-based estimation of smooth transition regression models with endogenous variablesAreosa, Waldyr Dutra; McAleer, Michael; Medeiros, Marcelo C.
2010 Forecasting Realized Volatility with Linear and Nonlinear ModelsMcAleer, Michael; Medeiros, Marcelo C.
2012 Modelling the effects of oil prices on global fertilizer prices and volatilityChen, Ping-yu; Chang, Chia-lin; Chen, Chi-chung; McAleer, Michael
2012 Statistical Modelling of Recent Changes in Extreme Rainfall in TaiwanChu, Lan-Fen; McAleer, Michael; Wang, Szu-Hua
2013 The Journal of Risk and Financial Management in open accessMcAleer, Michael
2013 A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500Allen, David E.; McAleer, Michael; Powell, Robert; Singh, Abhay K.
2013 Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in TourismChang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael
2013 Are Forecast Updates Progressive?Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael
2013 A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500Allen, David E.; McAleer, Michael; Powell, Robert; Singh, Abhay K.
2013 Analyzing Fixed-Event Forecast RevisionsChang, Chia-Lin; de Bruijn, Bert; Franses, Philip Hans; McAleer, Michael
2013 Robust Estimation and Forecasting of the Capital Asset Pricing ModelBian, Guorui; McAleer, Michael; Wong, Wing-Keung
2013 Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility ModelsAsai, Manabu; Caporin, Massimiliano; McAleer, Michael
2013 What Do Experts Know About Forecasting Journal Quality? A Comparison with ISI Research Impact in FinanceChang, Chia-Lin; McAleer, Michael