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In memoriam: Professor Sir Clive Granger, 1934 - 2009

McAleer, Michael; Oxley, Les - In: Journal of economic surveys 23 (2009) 4, pp. 613-616

Persistent link: https://www.econbiz.de/10003873805

On the robustness of alternative rankings methodologies : Australian and New Zealand economics departments, 1988 to 2002

Macri, Joseph; McAleer, Michael; Sinha, Dipendra - In: Applied economics 42 (2010) 10/12, pp. 1257-1268

Persistent link: https://www.econbiz.de/10008658511

International technology diffusion of joint and cross-border patents

Chang, Chia-Lin; McAleer, Michael; Tang, Ju-Ting - 2013

Persistent link: https://www.econbiz.de/10009781938

Herding, information cascades and volatility spillovers in futures markets

McAleer, Michael; Radalj, Kim - 2013

Persistent link: https://www.econbiz.de/10009781942

Asymptotic and finite sample properties for multivariate rotated GARCH models

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; … - In: Econometrics : open access journal 9 (2021) 2, pp. 1-21

This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From the definition of RBEKK, the unconditional covariance matrix is estimated in the first step to rotate the observed variables in order to have the identity...

Persistent link: https://www.econbiz.de/10012547429

Forecasting volatility and co-volatility of crude oil and gold futures : effects of leverage, jumps, spillovers, and geopolitical risks

Asai, Manabu; Gupta, Rangan; McAleer, Michael - In: International journal of forecasting 36 (2020) 3, pp. 933-948

Persistent link: https://www.econbiz.de/10012497080

Asset investment diversification, bankruptcy risk and the mediating role of business diversification

Vu Huu Thanh; Nguyen Minh Ha; McAleer, Michael - In: Annals of financial economics 16 (2021) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10012650173

Zero-inflated poisson regression models : aplications in the sciences and social sciences

Truong, Buu-chau; Pho, Kim-Hung; Dinh, Cong-chanh; … - In: Annals of financial economics 16 (2021) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10012656863

Evaluating the efficiency of Vietnam banks using data envelopment analysis

Do Thi Thanh Nhan; Pho, Kim-Hung; Anh, Dang Thi Van; … - In: Annals of financial economics 16 (2021) 2, pp. 1-17

Persistent link: https://www.econbiz.de/10012657666

Connecting VIX and stock index ETF with VAR and diagonal BEKK

Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-25

As stock market indexes are not tradeable, the importance and trading volume of Exchange-Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index...

Persistent link: https://www.econbiz.de/10011961446