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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

Allen, David E.; McAleer, Michael; Scharth, Marcel - In: Journal of risk and financial management : JRFM 7 (2014) 2, pp. 80-109

In this paper, we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...

Persistent link: https://www.econbiz.de/10011553303

Econometric analysis of financial derivatives: an overview

Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 403-407

Persistent link: https://www.econbiz.de/10011499624

Risk management and financial derivatives : an overview

Hammoudeh, Shawkat; McAleer, Michael - In: The North American journal of economics and finance : a … 25 (2013), pp. 109-115

Persistent link: https://www.econbiz.de/10009777841

The fundamental equation in tourism finance

McAleer, Michael - In: Journal of risk and financial management : JRFM 8 (2015) 4, pp. 369-374

tourism expenditure. The paper will concentrate on daily tourism expenditure, regardless of whether such data might be readily …

Persistent link: https://www.econbiz.de/10011545065

Structure and asymptotic theory for multivariate asymmetric conditional volatility

McAleer, Michael; Hoti, Suhejla; Chan, Felix - In: Econometric reviews 28 (2009) 5, pp. 422-440

Persistent link: https://www.econbiz.de/10003873066

Realized volatility : a review

McAleer, Michael; Medeiros, Marcelo C. - In: Econometric reviews 27 (2008) 1/3, pp. 10-45

Persistent link: https://www.econbiz.de/10003761211

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

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

Recent developments in financial economics and econometrics : an overview

Chang, Chia-Lin; Allen, David E.; McAleer, Michael - In: The North American journal of economics and finance : a … 26 (2013), pp. 217-226

Persistent link: https://www.econbiz.de/10010365773