Prof. Michael McAleer
Erasmus University Rotterdam, Netherlands
Email: michael.mcaleer@gmail.com
Qualifications
1981 Ph.D., Queen's University, Ontario, Canada
1977 M.Ec., Monash University, Melbourne, Australia
1974 B.Ec., Monash University, Melbourne, Australia
Publications (Selected)
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“A general asymptotic theory for time series models”, Statistica Neerlandica, 64(1), 2010, 97-111 (with S. Ling).
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“A scientific classification of volatility models”, Journal of Economic Surveys, 24(1), 2010, 192-195 (with M. Caporin).
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“The Ten Commandments for managing investment”, Journal of Economic Surveys, 24(1), 2010, 196-200 (with M. Caporin).
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“Modelling the interactions across international stock, bond and foreign exchange markets”, Applied Economics, 42(7), 2010, 825-850 (with A. Hakim).
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“On the robustness of alternative rankings methodologies: Australian and New Zealand economics departments, 1988-2002”, Applied Economics, 42(10), 2010, 1257-1268 (with J. Macri and D. Sinha).
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“A simple expected volatility (SEV) index: application to SET50 index options”, Mathematics and Computers in Simulation, 80, 2010, 2079-2090 (with C. Wiphatthanananthakul).
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“Modelling and forecasting daily international mass tourism to Peru”, Tourism Management, 31, 2010, 846-854 (with J.A. Divino).
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“Precious metals-exchange rate volatility transmissions and hedging strategies”, International Review of Economics and Finance, 19, 2010, 633-647 (with S. Hammoudeh, Y. Yuan and M. Thompson).
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“Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach”, Energy Economics, 32, 2010, 979-986 (with H.H. Lean and W.-K. Wong).
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“A decision rule to minimize daily capital charges in forecasting value-at-risk”, Journal of Forecasting, 29, 2010, 617-634 (with J.-A. Jimenez-Martin and T. Perez-Amaral).
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“Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets”, Energy Economics, 32, 2010, 1445-1455 (with C.L. Chang and R. Tansuchat).
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”Forecasting realized volatility with linear and nonlinear univariate models”, Journal of Economic Surveys,25(1), 2011, 6-18 (with M. Medeiros).
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“Ten things we should know about time series”, Journal of Economic Surveys, 25(1), 2011, 185-188 (with L. Oxley).
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“A trinomial test for paired data when there are many ties”, Mathematics and Computers in Simulation, 81(6), 2011, 1153-1160 (with G. Ban and W.K. Wong).
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“Monte Carlo option pricing with asymmetric realized volatility dynamics”, Mathematics and Computers in Simulation, 81(7), 2011, 1247-1256 (with D. Allen and M. Scharth).
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“Identifying shocks in regionally integrated East Asian economies with structural VAR and block exogeneity”,Mathematics and Computers in Simulation, 81(7), 2011, 1253-1264 (with Z. Zhang and K. Sato).
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“Value-at-risk for country risk ratings”, Mathematics and Computers in Simulation, 81(7), 2011, 1454-1463 (with B. da Veiga and S. Hoti).
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“Modelling conditional correlations in the volatility of Asian rubber spot and futures returns”, Mathematics and Computers in Simulation, 81(7), 2011, 1482-1490 (with C.-L. Chang, T. Khamkaew and R. Tansuchat).
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“Modelling the asymmetric volatility in hog prices in Taiwan: The impact of joining the WTO”, Mathematics and Computers in Simulation, 81(7), 2011, 1491-1506 (with C.-L. Chang, B.-W. Huang and M.-G. Chen).
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“What makes a great journal great in economics? The singer not the song”, Journal of Economic Surveys, 25(2), 2011, 326-361 (with C.-L. Chang and L. Oxley).
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“What makes a great journal great in the sciences? Which came first, the chicken or the egg?”, Scientometrics, 87(1), 2011, 17-40 (with C.-L. Chang and L. Oxley).
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“Alternative asymmetric stochastic volatility models”, Econometric Reviews, 30(5), 2011, 548-564 (with M. Asai).
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“Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH”, Statistica Neerlandica, 65(2), 2011, 125-163 (with M. Caporin).
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“Interdependence of international tourism demand and volatility in leading ASEAN destinations”, Tourism Economics, 17(3), 2011, 481-507 (with C.-L. Chang, T. Khamkaew and R. Tansuchat).
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“Great expectatrics: Great papers, great journals, great econometrics”, Econometric Reviews, 30(6), 2011, 583-619 (with C.-L. Chang and L. Oxley).
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“How accurate are government forecasts of economic fundamentals? The case of Taiwan”, International Journal of Forecasting, 27(4), 2011, 1066-1075 (with C.-L. Chang and P.H. Franses).
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“Crude oil hedging strategies using dynamic multivariate GARCH”, Energy Economics, 33(5), 2011, 912-923 (with C.-L. Chang and R. Tansuchat).
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“Moment restriction-based econometric methods: An overview”, Journal of Econometrics, 165(1), 2011, 1-4 (withN. Kunitomo and Y. Nishiyama).
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“Moment-based estimation of smooth transition regression models with endogenous variables”, Journal of Econometrics, 165(1), 2011, 100-111 (with W. Areosa and M. Medeiros).
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“Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX data”, Managerial Finance, 37(11), 2011, 1048-1067 (with I. Ishida and K. Oya).
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“Risk management of risk under the Basel Accord: Forecasting value-at-risk of VIX futures”, Managerial Finance, 37(11), 2011, 1088-1106 (with C.-L. Chang, J.-A. Jimenez-Martin and T. Perez Amaral).
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“How are journal impact, prestige and article influence related? An application to neuroscience”, Journal of Applied Statistics, 38(11), 2011, 2563-2573 (with C.-L. Chang and L. Oxley).
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“Risk management of precious metals”, Quarterly Review of Economics and Finance, 51, 2011, 435-441 (with S. Hammoudeh and F. Malik).
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“Dynamic conditional correlations for asymmetric processes”, Journal of the Japan Statistical Society, 41(2), 2011, 143-157 (with M. Asai).
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“Modelling and forecasting noisy realized volatility” Computational Statistics & Data Analysis, 56(1), 2012, 217-239 (with M. Asai and M. Medeiros).
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“It pays to violate: How effective are the Basel Accord penalties in encouraging risk management?”, Accounting and Finance, 52(1), 2012, 95-116 (with B. da Veiga and F. Chan).
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“Citations and impact of ISI tourism and hospitality journals”, Tourism Management Perspectives, 1(1), 2012, 2-8 (with C.-L. Chang).
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“IV estimation of a panel threshold model of tourism specialization and economic development”, Tourism Economics, 18(1), 2012, 5-41 (with C.-L. Chang and T. Khamkaew).
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“Forecasting value-at-risk using nonlinear regression quantiles and the intra-day range”, International Journal of Forecasting, 28(3), 2012, 557-574 (with W.S. Chen, R. Gerlach and B.K. Hwang).
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“Asymmetry and long memory in volatility modelling”, Journal of Financial Econometrics, 10(3), 21012, 495-512 (with M. Asai and M. Medeiros).
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“Causality between market liquidity and depth for energy and grains”, Energy Economics, 34, 2012, 1683-1692 (with M. Sari, S. Hammoudeh and C.-L. Chang).
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“Do we really need both BEKK and DCC? A tale of two multivariate GARCH models”, Journal of Economic Surveys, 26(4), 2012, 736-751 (with M. Caporin).
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“Estimating the impact of whaling on global whale watching”, Tourism Management, 33(6), 2012, 1321-1328 (with C.-C. Chen and H.-I Kuo).
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“Aggregation, heterogeneous autoregression and volatility of daily international tourist arrivals and exchange rates”, Japanese Economic Review, 63(3), 2012, 397-419 (with C.-L. Chang).