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Biography

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)

  1. “A general asymptotic theory for time series models”, Statistica Neerlandica, 64(1), 2010, 97-111 (with S. Ling).
  2. “A scientific classification of volatility models”, Journal of Economic Surveys, 24(1), 2010, 192-195 (with M. Caporin).
  3. “The Ten Commandments for managing investment”, Journal of Economic Surveys, 24(1), 2010, 196-200 (with M. Caporin).
  4. “Modelling the interactions across international stock, bond and foreign exchange markets”, Applied Economics, 42(7), 2010, 825-850 (with A. Hakim).
  5. “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).
  6. “A simple expected volatility (SEV) index: application to SET50 index options”, Mathematics and Computers in Simulation, 80, 2010, 2079-2090 (with C. Wiphatthanananthakul).
  7. “Modelling and forecasting daily international mass tourism to Peru”, Tourism Management, 31, 2010, 846-854 (with J.A. Divino).
  8. “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).
  9. “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).
  10. “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).
  11. “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).
  12. ”Forecasting realized volatility with linear and nonlinear univariate models”, Journal of Economic Surveys,25(1), 2011, 6-18 (with M. Medeiros).
  13. “Ten things we should know about time series”, Journal of Economic Surveys, 25(1), 2011, 185-188 (with L. Oxley).
  14. “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).
  15. “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).
  16. “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).
  17. “Value-at-risk for country risk ratings”, Mathematics and Computers in Simulation, 81(7), 2011, 1454-1463 (with B. da Veiga and S. Hoti).
  18. “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).
  19. “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).
  20. “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).
  21. “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).
  22. “Alternative asymmetric stochastic volatility models”, Econometric Reviews, 30(5), 2011, 548-564 (with M. Asai).
  23. “Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH”, Statistica Neerlandica, 65(2), 2011, 125-163 (with M. Caporin).
  24. “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).
  25. “Great expectatrics: Great papers, great journals, great econometrics”, Econometric Reviews, 30(6), 2011, 583-619 (with C.-L. Chang and L. Oxley).
  26. “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).
  27. “Crude oil hedging strategies using dynamic multivariate GARCH”, Energy Economics, 33(5), 2011, 912-923 (with C.-L. Chang and R. Tansuchat).
  28. “Moment restriction-based econometric methods: An overview”, Journal of Econometrics, 165(1), 2011, 1-4 (withN. Kunitomo and Y. Nishiyama).
  29. “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).
  30. “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).
  31. “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).
  32. “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).
  33. “Risk management of precious metals”, Quarterly Review of Economics and Finance, 51, 2011, 435-441 (with S. Hammoudeh and F. Malik).
  34. “Dynamic conditional correlations for asymmetric processes”, Journal of the Japan Statistical Society, 41(2), 2011, 143-157 (with M. Asai).
  35. “Modelling and forecasting noisy realized volatility” Computational Statistics & Data Analysis, 56(1), 2012, 217-239 (with M. Asai and M. Medeiros).
  36. “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).
  37. “Citations and impact of ISI tourism and hospitality journals”, Tourism Management Perspectives, 1(1), 2012, 2-8 (with C.-L. Chang).
  38. “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).
  39. “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).
  40. “Asymmetry and long memory in volatility modelling”, Journal of Financial Econometrics, 10(3), 21012, 495-512 (with M. Asai and M. Medeiros).
  41. “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).
  42. “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).
  43. “Estimating the impact of whaling on global whale watching”, Tourism Management, 33(6), 2012, 1321-1328 (with C.-C. Chen and H.-I Kuo).
  44. “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).