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Nonlinear time series and neural-network models of echange rates between the US Dollar and major currencies

Allen, David E.; McAleer, Michael; Peiris, Shelton; … - In: Risks : open access journal 4 (2016) 1, pp. 1-14

in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models …

Persistent link: https://www.econbiz.de/10011443686

Down-side risk metrics as portfolio diversification strategies across the global financial crisis

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-18

investment strategies and a variety of hold-out periods and backtests. We commence by using four two-year estimation periods and …

Persistent link: https://www.econbiz.de/10011543960

Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan

Chang, Chia-Lin; McAleer, Michael - In: The Korean economic review 50 (2009) 2, pp. 241-267

Persistent link: https://www.econbiz.de/10003926815

Aggregation, heterogeneous autoregression and volatility of daily international tourist arrivals and exchange rates

Chang, Chia-Lin; McAleer, Michael - In: The Japanese economic review : the journal of the … 63 (2012) 3, pp. 397-419

Persistent link: https://www.econbiz.de/10009666576

Corporate financial distress of industry level listings in Vietnam

Duc Hong Vo; Binh Ninh Vo Pham; Chi Minh Ho; McAleer, … - In: Journal of risk and financial management : JRFM 12 (2019) 4/155, pp. 1-17

Any critical analysis of the corporate financial distress of listed firms in international exchange would be incomplete without a serious dissection at the industry level, because of the different levels of risks concerned. This paper considers the financial distress of listed firms at the...

Persistent link: https://www.econbiz.de/10012173012

Non-parametric multiple change point analysis of the global financial crisis

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Annals of financial economics 13 (2018) 2, pp. 1-23

Persistent link: https://www.econbiz.de/10011931167

A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises

Guo, Xu; McAleer, Michael; Wong, Wing Keung; Zhu, Lixing - In: The North American journal of economics and finance : a … 42 (2017), pp. 346-358

Persistent link: https://www.econbiz.de/10011938136

International evidence on GFC-robust forecasts for risk management under the Basel Accord

McAleer, Michael; Jiménez-Martín, Juan-Ángel; Pérez … - In: Journal of forecasting 32 (2013) 3, pp. 267-288

Persistent link: https://www.econbiz.de/10009758640

GFC-robust risk management strategies under the Basel Accord

McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - In: International review of economics & finance : IREF 27 (2013), pp. 97-111

Persistent link: https://www.econbiz.de/10009740861

Has the Basel Accord improved risk management during the global financial crisis?

McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - In: The North American journal of economics and finance : a … 26 (2013), pp. 250-265

Persistent link: https://www.econbiz.de/10010365769