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Single-index and portfolio models for forecasting value-at-risk thresholds

McAleer, Michael; Da Veiga, Bernardo - In: Journal of forecasting 27 (2008) 3, pp. 217-235

Persistent link: https://www.econbiz.de/10003738590

Managing value-at-risk in daily tourist tax revenues for the Maledives

McAleer, Michael; Shareef, Riaz; Da Veiga, Bernardo - In: Tourism and sustainable economic development : …, (pp. 145-164). 2008

Persistent link: https://www.econbiz.de/10003697582

Management science, economics and finance : a connection

Chang, Chia-Lin; McAleer, Michael; Wong, Wing Keung - 2016

Persistent link: https://www.econbiz.de/10011541142

Volatility spillovers for spot, futures, and ETF prices in Energy and Agriculture

Chang, Chia-Lin; Liu, Chia-Ping; McAleer, Michael - 2016 - Revised: June, 2016

Persistent link: https://www.econbiz.de/10011541148

Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China

Chang, Chia-Lin; McAleer, Michael; Tian, Jiarong - 2016 - Revised: June, 2016

Persistent link: https://www.econbiz.de/10011541151

A multivariate asymmetric long memory conditional volatility model with x, regularity and asymptotics

Asai, Manabu; McAleer, Michael - 2016

Persistent link: https://www.econbiz.de/10011541169

Asymptotic theory for extended asymmetric multivariate GARCH processes

Asai, Manabu; McAleer, Michael - 2016

Persistent link: https://www.econbiz.de/10011541171

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

This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically-compounded returns, in...

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

From disorder to order

Yue, Xiaoguang; Cao, Yong; McAleer, Michael - In: Theoretical economics letters 6 (2016) 2, pp. 282-288

Persistent link: https://www.econbiz.de/10011545643

Spectrally-corrected estimation for high-dimensional Markowitz mean-variance optimization

Bai, Zhidong; Li, Hua; McAleer, Michael; Wong, Wing Keung - 2016

Persistent link: https://www.econbiz.de/10011477196