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Capital market returns
26
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18
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9
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McAleer, Michael
26
Chang, Chia-Lin
12
Asai, Manabu
5
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3
Hsieh, Tai-Lin
2
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2
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2
Powell, Robert
2
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2
Singh, Abhay Kumar
2
Wang, Yu-Ann
2
Zopiatis, Anastasios
2
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1
Chen, Jinghui
1
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1
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Econometric Institute research papers
The review of financial studies
125
Working paper / National Bureau of Economic Research, Inc.
102
NBER working paper series
94
Journal of financial and quantitative analysis : JFQA
90
NBER Working Paper
77
Discussion paper / Centre for Economic Policy Research
72
The journal of futures markets
52
The journal of finance : the journal of the American Finance Association
51
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48
Finance research letters
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Pacific-Basin finance journal
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International review of financial analysis
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Corporate finance : Finanzierung, Kapitalmarkt, Bewertung, Mergers & Acquisitions
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Energy economics
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Discussion paper / Tinbergen Institute
24
Journal of empirical finance
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Finance India : the quarterly journal of Indian Institute of Finance
22
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21
Journal of international financial markets, institutions & money
21
The journal of financial research
21
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19
International review of economics & finance : IREF
18
Review of finance : journal of the European Finance Association
18
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Portfolio construction, measurement, and efficiency : essays in honor of Jack Treynor
17
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An event study of Chinese tourists to Taiwan
Chang, Chia-Lin
;
Hsu, Shu-Han
;
McAleer, Michael
-
2018
Persistent link: https://www.econbiz.de/10011785180
Saved in:
2
Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu
;
McAleer, Michael
-
2018
Persistent link: https://www.econbiz.de/10011823293
Saved in:
3
Market timing with moving averages for fossil fuel and renewable energy stocks
Chang, Chia-Lin
;
Ilomäki, Jukka
;
Laurila, Hannu
; …
-
2018
Persistent link: https://www.econbiz.de/10011920543
Saved in:
4
Long run returns predictability and volatility with moving averages
Chang, Chia-Lin
;
Ilomäki, Jukka
;
Laurila, Hannu
; …
-
2018
Persistent link: https://www.econbiz.de/10011920696
Saved in:
5
Connecting VIX and stock index ETF with VAR and diagonal BEKK
Chang, Chia-Lin
;
Hsieh, Tai-Lin
;
McAleer, Michael
-
2018
-
Revised: September 2018
Persistent link: https://www.econbiz.de/10011920700
Saved in:
6
Simple market timing with moving averages
Ilomäki, Jukka
;
Laurila, Hannu
;
McAleer, Michael
-
2018
Persistent link: https://www.econbiz.de/10011863543
Saved in:
7
Market timing with moving averages
Ilomäki, Jukka
;
Laurila, Hannu
;
McAleer, Michael
-
2018
-
Revised: June 2018
Persistent link: https://www.econbiz.de/10011915058
Saved in:
8
Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2017
-
Revised: April 2017
Persistent link: https://www.econbiz.de/10011659228
Saved in:
9
Theoretical and empirical differences between diagonal and full BEKK for risk management
Allen, David E.
;
McAleer, Michael
-
2017
Persistent link: https://www.econbiz.de/10011734887
Saved in:
10
A tourism financial conditions index for tourism finance
Chang, Chia-Lin
;
Hsu, Hui-Kuang
;
McAleer, Michael
-
2017
-
Revised: August 2017
Persistent link: https://www.econbiz.de/10011734895
Saved in:
11
Connecting VIX and stock index ETF
Chang, Chia-Lin
;
Hsieh, Tai-Lin
;
McAleer, Michael
-
2017
-
Revised: January 2017
Persistent link: https://www.econbiz.de/10011823316
Saved in:
12
Forecasting the volatility of Nikkei 225 futures
Asai, Manabu
;
McAleer, Michael
-
2017
-
Revised: January 2017
Persistent link: https://www.econbiz.de/10011823321
Saved in:
13
Tourism stocks in times of crises : an econometric investigation of unexpected non-macroeconomic factors
Zopiatis, Anastasios
;
Savva, Christos S.
;
Lambertides, …
-
2017
-
Revised: June 2017
Persistent link: https://www.econbiz.de/10011668137
Saved in:
14
Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
Caporin, Massimiliano
;
Chang, Chia-Lin
;
McAleer, Michael
-
2016
Persistent link: https://www.econbiz.de/10011432792
Saved in:
15
Modelling volatility spillovers for bio-ethanol, sugarcane and corn
Chang, Chia-Lin
;
McAleer, Michael
;
Wang, Yu-Ann
-
2016
-
Revised
Persistent link: https://www.econbiz.de/10011448000
Saved in:
16
Testing for a common volatility process and information spillovers in bivariate financial time series models
Chen, Jinghui
;
Kobayashi, Masahito
;
McAleer, Michael
-
2016
-
Revised
Persistent link: https://www.econbiz.de/10011448006
Saved in:
17
Volatility spillover and multivariate volatility impulse response analysis of GFC news events
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
-
2016
Persistent link: https://www.econbiz.de/10011823323
Saved in:
18
Tourism stocks in times of crises : an econometric investigation of non-macro factors
Zopiatis, Anastasios
;
Savva, Christos S.
;
Lambertides, …
-
2016
Persistent link: https://www.econbiz.de/10011823329
Saved in:
19
Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2016
Persistent link: https://www.econbiz.de/10011631770
Saved in:
20
Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices
Chang, Chia-Lin
;
McAleer, Michael
;
Wang, Yu-Ann
-
2016
-
Revised: December 2016
Persistent link: https://www.econbiz.de/10011631784
Saved in:
21
Multivariate volatility impulse response analysis of GFC news events
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
-
2015
Persistent link: https://www.econbiz.de/10011432589
Saved in:
22
On the Invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan
;
McAleer, Michael
-
2015
-
Revised: February 2015
Persistent link: https://www.econbiz.de/10011346214
Saved in:
23
The impact of jumps and leverage in forecasting co-volatility
Asai, Manabu
;
McAleer, Michael
-
2015
Persistent link: https://www.econbiz.de/10011346236
Saved in:
24
Econometric analysis of financial derivatives : an overview
Chang, Chia-Lin
;
McAleer, Michael
-
2015
Persistent link: https://www.econbiz.de/10011346289
Saved in:
25
On the Invertibility of EGARCH
Martinet, Guillaume Gaetan
;
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010438059
Saved in:
26
A one line derivation of EGARCH
McAleer, Michael
;
Hafner, Christian M.
-
2014
Persistent link: https://www.econbiz.de/10010438068
Saved in:
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