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Citations of
Michael McAleer

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

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Working papers

  1. Michael McAleer & Marcelo Cunha Medeiros, 2006. "Realized volatility: a review," Textos para discussão 531 Publication status: F, Department of Economics PUC-Rio (Brazil). [Downloadable!]
    Published as:

    Cited by:

    1. Makoto Takahashi & Yasuhiro Omori & Toshiaki Watanabe, 2007. "Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously," CIRJE F-Series CIRJE-F-515, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    2. Marcel Scharth & Marcelo Cunha Medeiros, 2006. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," Textos para discussão 532, Department of Economics PUC-Rio (Brazil). [Downloadable!]

  2. Manabu Asai & Michael McAleer, 2005. "Asymmetric Multivariate Stochastic Volatility," DEA Working Papers 12, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]

    Cited by:

    1. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    2. Fulvia Focker & Umberto Triacca, 2006. "A new proxy of the average volatility of a basket of returns: A Monte Carlo study," Economics Bulletin, Economics Bulletin, vol. 3(15), pages 1-14. [Downloadable!]

  3. Michael McAleer & Riaz Shareef & Bernardo da Veiga, 2005. "Risk Management of Daily Tourist Tax Revenues for the Maldives," Working Papers 2005.137, Fondazione Eni Enrico Mattei. [Downloadable!]

    Cited by:

    1. Guido Candela & Paolo Figini & Antonello E. Scorcu, 2005. "The Economics of Local Tourist Systems," Working Papers 2005.138, Fondazione Eni Enrico Mattei. [Downloadable!]

  4. Matteo Manera & Alessandro Lanza & Michael McAleer, 2004. "Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns," Working Papers 2004.72, Fondazione Eni Enrico Mattei. [Downloadable!]
    Published as:

    Cited by:

    1. Vargas, Gregorio A., 2008. "What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?," MPRA Paper 7174, University Library of Munich, Germany. [Downloadable!]

  5. Suhejla Hoti & Michael McAleer & Laurent L. Pauwels, 2004. "Modelling Environmental Risk," HEI Working Papers 08-2004, Economics Section, The Graduate Institute of International Studies. [Downloadable!]

    Cited by:

    1. Steven Cook, 2001. "Observations on the practice of data-mining: comments on the JEM symposium," Journal of Economic Methodology, Taylor and Francis Journals, vol. 8(3), pages 415-419, November. [Downloadable!] (restricted)

  6. Felix Chan & Michael McAleer, 2003. "On the Structure, Asymptotic Theory and Applications of STAR-GARCH Models," CIRJE F-Series CIRJE-F-216, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

    Cited by:

    1. Andreea Halunga & Chris D. Orme, 2007. "First order asymptotic theory for parametric misspecification tests of GARCH models," The School of Economics Discussion Paper Series 0721, Economics, The University of Manchester. [Downloadable!]

  7. Zhaoyong Zhang & Kiyotaka Sato & Michael McAleer, 2003. "Asian Monetary Integration: A Structural VAR Approach," CIRJE F-Series CIRJE-F-212, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

    Cited by:

    1. Foresti, Pasquale, 2007. "Is Latin America an Optimal Currency Area? Evidence from a Structural Vector Auto-regression analysis," MPRA Paper 2961, University Library of Munich, Germany, revised Apr 2008. [Downloadable!]

  8. Peter Verhoeven & Michael McAleer, 2003. "Fat Tails and Asymmetry in Financial Volatility Models," CIRJE F-Series CIRJE-F-211, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

    Cited by:

    1. Paola Palmitesta & Corrado Provasi, 2004. "GARCH-type Models with Generalized Secant Hyperbolic Innovations," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 8(2), pages 1212-1212. [Downloadable!] (restricted)
    2. Gamini Premaratne & Prabhath Jayasinghe, 2005. "Exchange rate exposure of stock returns at firm level," International Finance 0503004, EconWPA. [Downloadable!]
    3. Fulvio Corsi & Uta Kretschmer & Stefan Mittnik & Christian Pigorsch, 2005. "The Volatility of Realized Volatility," CFS Working Paper Series 2005/33, Center for Financial Studies. [Downloadable!]

  9. Shiqing Ling & W. K. Li & Michael McAleer, 2003. "Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence," CIRJE F-Series CIRJE-F-207, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

    Cited by:

    1. Paulo M. M. Rodrigues & Antonio Rubia, 2004. "On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates," Econometrics 0405004, EconWPA. [Downloadable!]
      Other versions:
    2. Marco Barassi, 2005. "On KPSS with GARCH errors," Economics Bulletin, Economics Bulletin, vol. 3(55), pages 1-12. [Downloadable!]
    3. Chor-yiu SIN, 2004. "Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE," Econometric Society 2004 Australasian Meetings 92, Econometric Society. [Downloadable!]
    4. Chor-yiu SIN, 2004. "Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE," Econometric Society 2004 North American Summer Meetings 476, Econometric Society. [Downloadable!]
    5. Álvaro Escribano & Juan Ignacio Peña & Pablo Villaplana, 2002. "Modeling Electricity Prices: International Evidence," Economics Working Papers we022708, Universidad Carlos III, Departamento de Economía. [Downloadable!]

  10. Suhejla Hoti & Felix Chan & Michael McAleer, 2003. "Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings," CIRJE F-Series CIRJE-F-203, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

    Cited by:

    1. Suhejla Hoiti & Esfandiar Maasoumi & Michael McAleer & Daniel Slottje, 2005. "Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments," DEA Working Papers 14, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]
    2. Suhejla Hoti & Michael McAleer & Laurent L. Pauwels, 2004. "Modelling Environmental Risk," HEI Working Papers 08-2004, Economics Section, The Graduate Institute of International Studies. [Downloadable!]
    3. Matteo Manera & Michael McAleer & Margherita Grasso, 2006. "Modelling time-varying conditional correlations in the volatility of Tapis oil spot and forward returns," Applied Financial Economics, Taylor and Francis Journals, vol. 16(7), pages 525-533, April. [Downloadable!] (restricted)
    4. Matteo Manera & Alessandro Lanza & Michael McAleer, 2004. "Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns," Working Papers 2004.72, Fondazione Eni Enrico Mattei. [Downloadable!]
      Other versions:
    5. Soultanaeva, Albina, 2008. "Impact of Political News on the Baltic State Stock Markets," UmeÃ¥ Economic Studies 735, Umeå University, Department of Economics. [Downloadable!]
    6. Massimiliano Caporin & Michael McAleer, 2008. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," "Marco Fanno" Working Papers 0064, Dipartimento di Scienze Economiche "Marco Fanno". [Downloadable!]

  11. Lee Kian Lim & Michael McAleer, 2003. "Convergence and Catching Up in ASEAN: A Comparative Analysis," CIRJE F-Series CIRJE-F-218, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    Published as:

    Cited by:

    1. Matsuki, Takashi & Usami, Ryoichi, 2007. "China's Regional Convergence in Panels with Multiple Structural Breaks," MPRA Paper 10167, University Library of Munich, Germany, revised 17 May 2008. [Downloadable!]
    2. Peter Wilson & Choy Keen Meng, 2006. "Prospects For Enhanced Exchange Rate Cooperation in East Asia: Some Preliminary Findings from Generalized PPP Theory," SCAPE Policy Research Working Paper Series 0601, National University of Singapore, Department of Economics, SCAPE. [Downloadable!]
      Other versions:
    3. Kazuhiko Kakamu & Mototsugu Fukushige, 2006. "Productivity convergence of manufacturing industries in Japanese MEA," Applied Economics Letters, Taylor and Francis Journals, vol. 13(10), pages 649-653, August. [Downloadable!] (restricted)
    4. Ji Kim, 2005. "Convergence hypothesis of regional income in Korea," Applied Economics Letters, Taylor and Francis Journals, vol. 12(7), pages 431-435, June. [Downloadable!] (restricted)
    5. Matsuki, Takashi & Usami, Ryoichi, 2008. "Long-run growth patterns within Asian NIEs: Empirical analysis based on the panel unit root test, allowing the heterogeneity of time trend and endogenous multiple structural breaks," MPRA Paper 11541, University Library of Munich, Germany. [Downloadable!]

  12. Clinton WATKINS & Michael McALEER, 2002. "Volatility of a Market Index and its Components: An Application to Commodity Markets," Computing in Economics and Finance 2002 18, Society for Computational Economics. [Downloadable!]

    Cited by:

    1. Dipankor Coondoo & Paramita Mukherjee, 2004. "Components of volatility and their empirical measures: a note," Applied Financial Economics, Taylor and Francis Journals, vol. 14(18), pages 1313-1318, December. [Downloadable!] (restricted)

  13. Franses, P.H. & McAleer, M., 1995. "Testing for Unit Roots and Non-Linear Transformations," Papers 9507/a, Erasmus University of Rotterdam - Econometric Institute.

    Cited by:

    1. J. Breitung & C. Gouriéroux, . "Rank Tests for Unit Roots," Sonderforschungsbereich 373 1996-9, Humboldt Universitaet Berlin.
      Other versions:
    2. Mark J. Holmes, 2005. "New evidence on long-run output convergence among Latin American countries," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 299-219, November. [Downloadable!]
    3. Valentina Corradi & Norman R. Swanson, 2003. "The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test," Departmental Working Papers 200322, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    4. Felipe M. Aparicio Acosta, 2003. "On The Record Properties Of Integrated Time Series," Statistics and Econometrics Working Papers ws036414, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]

  14. Barten, A.P. & Mcaleer, M., 1991. "Comparing The Empirical Perfomance Of Alternative Demand Systems," Papers 9002a, Tilburg - Center for Economic Research.
    Other versions:

    Cited by:

    1. Matteo Manera & Bruno Sitzia, 2005. "Empirical factor demands and flexible functional forms: a bayesian approach," Economic Systems Research, Taylor and Francis Journals, vol. 17(1), pages 57-75, March. [Downloadable!] (restricted)

  15. McAleer, M. & Smith, J., 1990. "Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing," Papers 219, Australian National University - Department of Economics.
    Published as:

    Cited by:

    1. Paul Frijters & John P. Haisken-DeNew & Michael Shields, 2003. "How Well Do Individuals Predict Their Future Life Satisfaction? Rationality and Learning Following a Nationwide Exogenous Shock," CEPR Discussion Papers 468, Centre for Economic Policy Research, Research School of Social Sciences, Australian National University. [Downloadable!]
    2. Troy Matheson & James Mitchell & Brian Silverstone, 2007. "Nowcasting and predicting data revisions in real time using qualitative panel survey data," Reserve Bank of New Zealand Discussion Paper Series DP2007/02, Reserve Bank of New Zealand. [Downloadable!]
    3. Frijters, Paul & Haisken-DeNew, John P. & Shields, Michael A., 2002. "Individual Rationality and Learning: Welfare Expectations in East Germany Post-Reunification," IZA Discussion Papers 498, Institute for the Study of Labor (IZA). [Downloadable!]
    4. Kevin Lee & Kalvinder Shields, 2004. "Business survey forecasts and measurement of output trends in five European economies," Money Macro and Finance (MMF) Research Group Conference 2003 52, Money Macro and Finance Research Group. [Downloadable!]
    5. Ciaran Driver & Katsushi Imai & Paul Temple & Giovanni Urga, 2002. "The Effect of Uncertainty on UK Investment Authorisation: Pooled Estimators vs. Heterogeneous Estimators1," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B3-4, International Conferences on Panel Data. [Downloadable!]
    6. Christian Müller & Aniela Wirz & Nora Sydow, 2007. "A Note on the Carlson-Parkin Method of Quantifying Qualitative Data Evidence Based on a New Data Set," Working papers 07-168, KOF Swiss Economic Institute, ETH Zurich, revised May 2007. [Downloadable!]
    7. Ciaran Driver & Paul Temple & Giovanni Urga, 2005. "Contrasts Between Classes of Assets in Fixed Investment Equations as a Way of Testing Real Option Theory," Department of Economics Discussion Papers 0805, Department of Economics, University of Surrey. [Downloadable!]
    8. James Mitchell & Richard J. Smith & Martin R. Weale, 2002. "Quantification of Qualitative Firm-Level Survey Data," Economic Journal, Royal Economic Society, vol. 112(478), pages C117-C135, March. [Downloadable!] (restricted)
      Other versions:
    9. Richard de Abreu Lourenco & Philip Lowe, 1994. "Demand Shocks, Inflation and the Business Cycle," RBA Research Discussion Papers rdp9411, Reserve Bank of Australia. [Downloadable!]
    10. Kevin Lee & Nilss Olekalns & Kalvinder Shields, 2008. "Nowcasting, Business Cycle Dating and the Interpretation of New Information when Real Time Data are Available," Discussion Papers in Economics 08/17, Department of Economics, University of Leicester. [Downloadable!]
    11. Kevin Lee & Kalvinder Shields, . "Information, Business Survey Forecasts and Measurement of Output Trends in Six European Economies," Discussion Papers in European Economics 99/7, Department of Economics, University of Leicester. [Downloadable!]

  16. McKensie, C.R. & McAleer, M., 1990. "On Efficient Estimation and Correct Inference in Models with Generated Regressions: A General Approach," Papers 211, Australian National University - Department of Economics.

    Cited by:

    1. Pieter Serneels, 2004. "The Nature of Unemployment in Urban Ethiopia," Development and Comp Systems 0409042, EconWPA. [Downloadable!]
    2. Michael McAleer & Marcelo Cunha Medeiros, 2006. "Realized volatility: a review," Textos para discussão 531 Publication status: F, Department of Economics PUC-Rio (Brazil). [Downloadable!]
      Other versions:
    3. Yihui Lan, 2003. "The Long-Term Behaviour of Exchange Rates, Part V: The Stationarity of Exchange Rates," Economics Discussion / Working Papers 03-09, The University of Western Australia, Department of Economics. [Downloadable!]

  17. Mcaleer, M. & Mckenzie, C.R., 1990. "Keynesian And New Classical Models Of Unemployment Revisited," Papers 9006, Tilburg - Center for Economic Research.
    Published as:

    Cited by:

    1. Florian PELGRIN & Alain GUAY & Richard LUGER, 2004. "The New Keynesian Phillips Curve: An empirical assessment," Econometric Society 2004 North American Summer Meetings 418, Econometric Society. [Downloadable!]
      Other versions:
    2. D.P. Doessel & Abbas Valadkhani, 2002. "Public Finance and The Size of Government: A Literature Review and Econometric Results for Fiji," School of Economics and Finance Discussion Papers and Working Papers Series 108, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    3. Prof. Neil D. Karunaratne, 1999. "Rival Macroeconomic Models And Australian Stylised Facts," Discussion Papers Series 261, School of Economics, University of Queensland, Australia. [Downloadable!]

  18. Bai, J. & Jakeman, A.J. & Mcaleer, M., 1989. "A New Approach To Maximum Likelihood Estimation Of The Three-Paramater Gamma And Weibull Distributions," Papers 191, Australian National University - Department of Economics.

    Cited by:

    1. Tea-Yuan Hwang & Ping-Huang Huang, 2002. "On New Moment Estimation of Parameters of the Gamma Distribution Using its Characterization," Annals of the Institute of Statistical Mathematics, Springer, vol. 54(4), pages 840-847, December. [Downloadable!] (restricted)

  19. McALEER, M. & DASTOOR, N.K., 1988. "Some Power Comparisons Of Joint And Paired Tests For Non-Nested Models Under Local Hypotheses," Papers 168, Australian National University - Department of Economics.

    Cited by:

    1. Hidetoshi Shimodaira, 1998. "An Application of Multiple Comparison Techniques to Model Selection," Annals of the Institute of Statistical Mathematics, Springer, vol. 50(1), pages 1-13, March. [Downloadable!] (restricted)

  20. McAleer, Michael & Pagan, Adrian, 1985. "What Will Take the Con Out of Econometrics?," CEPR Discussion Papers 39, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Published as:

    Cited by:

    1. Jeffrey Edwards & Alfred Sams & Benhua Yang, 2006. "A Refinement in the Specification of Empirical Macroeconomic Models as an Extension to the EBA Procedure," Topics in Macroeconomics, Berkeley Electronic Press, vol. 6(2), pages 1410-1410. [Downloadable!] (restricted)
    2. Martin Zelder, 2008. "Why the Con Hasn't Been Taken Out of Econometrics," Eastern Economic Journal, Palgrave Macmillan Journals, vol. 34(1), pages 115-125, Winter. [Downloadable!] (restricted)
    3. Adam Fforde, 2004. "Persuasion: Reflections on Economics, Data and the 'Homogeneity Assumption'," Department of Economics - Working Papers Series 919, The University of Melbourne. [Downloadable!]
    4. Stéphane Straub, 2000. "Factores determinantes empíricos de las buenas instituciones: ¿sabemos algo a ciencia cierta?," RES Working Papers 4216, Inter-American Development Bank, Research Department. [Downloadable!]
    5. W. Robert Reed, 2006. "The Determinants of U. S. State Economic Growth: A Less Extreme Bounds Analysis," Working Papers in Economics 06/05, University of Canterbury, Department of Economics. [Downloadable!]
    6. Clarke, George, 2001. "How the quality of institutions affects technological deepening in developing countries," Policy Research Working Paper Series 2603, The World Bank. [Downloadable!]
    7. Donald W.K. Andrews, 1986. "Power in Econometric Applications," Cowles Foundation Discussion Papers 800, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    8. Peter C.B. Phillips, 1988. "Reflections on Econometric Methodology," Cowles Foundation Discussion Papers 893, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    9. Stéphane Straub, 2000. "Empirical Determinants of Good Institutions: Do We Know Anything?," RES Working Papers 4215, Inter-American Development Bank, Research Department. [Downloadable!]
    10. William A. Brock & Steven N. Durlauf & Kenneth D. West, 2003. "Policy Evaluation in Uncertain Economic Environments," NBER Working Papers 10025, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    11. Adam Fforde, 2005. "Persuasion: Reflections on economics, data, and the 'homogeneity assumption'," Journal of Economic Methodology, Taylor and Francis Journals, vol. 12(1), pages 63-91, March. [Downloadable!] (restricted)
    12. J.G. Hirschberg & D.J. Slottje, 2002. "Bounding Estimates of Wage Discrimination," Department of Economics - Working Papers Series 854, The University of Melbourne. [Downloadable!]
      Other versions:
    13. Robert L. Basmann & Michael McAleer & Daniel Slottje, 2003. "Patent Activity and Technical Change," CIRJE F-Series CIRJE-F-217, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
      Other versions:
    14. Peter Sandholt Jensen & Allan H. Würtz, 2006. "On determining the importance of a regressor with small and undersized samples," Economics Working Papers 2006-08, School of Economics and Management, University of Aarhus. [Downloadable!]
    15. Kevin D. Hoover & Mark V. Siegler, 2005. "Sound and Fury: McCloskey and Significance Testing in Economics," Econometrics 0511018, EconWPA. [Downloadable!]
      Other versions:
    16. Peter Sandholt Jensen & Allan H. Würtz, 2005. "The Ill-Posed Problem in Growth Empirics," CAM Working Papers 2005-11, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics. [Downloadable!]
    17. Levine, Ross & Renelt, David, 1991. "A sensitivity analysis of cross-country growth regressions," Policy Research Working Paper Series 609, The World Bank. [Downloadable!]
      Other versions:
    18. Peter Graeff, 2004. "Medien und Korruption : die korruptionsenkende Wirkung der Mediennutzung und der "neuen Medien"," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 73(2), pages 212-225. [Downloadable!] (restricted)
    19. Clarke, George R. G., 1992. "More evidence on income distribution and growth," Policy Research Working Paper Series 1064, The World Bank. [Downloadable!]
      Other versions:
    20. Hashem Dezhbakhsh & Paul Rubin, 2007. "From the “Econometrics of Capital Punishment” to the “Capital Punishment” of Econometrics: On the Use and Abuse of Sensitivity Analysis," Emory Economics 0715, Department of Economics, Emory University (Atlanta). [Downloadable!]
    21. Mumtaz Hussain & Oscar Brookins, 2001. "On the determinants of national saving: An extreme-bounds analysis," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 137(1), pages 150-174, March. [Downloadable!] (restricted)

  21. Mcaleer, M. & Fisher, G. & Volker, P., 1982. "Separate Misspecified Regressions and the U.S. Long Run Demand for Money Function," Cahiers de recherche 8217, Universite de Montreal, Departement de sciences economiques.
    Published as:

    Cited by:

    1. D.P. Doessel & Abbas Valadkhani, 2002. "Public Finance and The Size of Government: A Literature Review and Econometric Results for Fiji," School of Economics and Finance Discussion Papers and Working Papers Series 108, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    2. J. Paul Elhorst, 1998. "A note on the linear, logit and probit functional form of the labour force participation rate equation," ERSA conference papers ersa98p111, European Regional Science Association. [Downloadable!]

  22. Gordon Fisher & Michael McAleer, 1981. "Alternative Procedures and Associated Tests of Significance for Non-Nested Hypotheses," Working Papers 420, Queen's University, Department of Economics.
    Published as:

    Cited by:

    1. Yi-Ting Chen & Chung-Ming Kuan, 2000. "The Pseudo-True Score Encompassing Test for Non-Nested Hypothesis," Econometric Society World Congress 2000 Contributed Papers 1723, Econometric Society. [Downloadable!]
      Other versions:
    2. Richard Luger, 2004. "Exact Permutation Tests for Non-nested Non-linear Regression Models," Emory Economics 0419, Department of Economics, Emory University (Atlanta). [Downloadable!]
    3. D.P. Doessel & Abbas Valadkhani, 2002. "Public Finance and The Size of Government: A Literature Review and Econometric Results for Fiji," School of Economics and Finance Discussion Papers and Working Papers Series 108, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    4. Jim Malley & Hassan Molana, 1997. "The Permanent Income Hypothesis Revisited. Reconciling Evidence from Aggregate Data with the Representative Consumer Behaviour," Working Papers 9708, Department of Economics, University of Glasgow. [Downloadable!]
      Other versions:
    5. Jim Malley & Hassan Molana, 2002. "The Life-Cycle-Permanent-Income Model: A Reinterpretation and Supporting Evidence," Working Papers 2002_17, Department of Economics, University of Glasgow. [Downloadable!]
    6. Campa, Jose M. & Gonzalez, Jose M., 2002. "Differences in exchange rate pass-through in the euro area," IESE Research Papers D/479, IESE Business School. [Downloadable!]
      Other versions:
    7. Godwin Nwaobi, 2001. "A Vector Error Correction And Nonnested Modelling Of Money Demand Function In Nigeria," Econometrics 0111004, EconWPA. [Downloadable!]
      Other versions:
    8. Taisuke Otsu & Yoon-Jae Whang, 2005. "Testing for Non-nested Conditional Moment Retrictions via Conditional Empirical Likelihood," Cowles Foundation Discussion Papers 1533, Cowles Foundation, Yale University. [Downloadable!]
    9. J. M. C. Santos Silva, 2001. "A score test for non-nested hypotheses with applications to discrete data models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(5), pages 577-597. [Downloadable!]
      Other versions:
    10. Kenneth G. Stewart, 1998. "Gauss-Newton, Milliken-Graybill, and Exact Misspecification Testing Using Artificial Regressions," Econometrics Working Papers 9811, Department of Economics, University of Victoria. [Downloadable!]
    11. J. Paul Elhorst, 1998. "A note on the linear, logit and probit functional form of the labour force participation rate equation," ERSA conference papers ersa98p111, European Regional Science Association. [Downloadable!]
    12. Jim Malley & Hassan Molana, 2006. "Further Evidence from Aggregate Data on the Life-Cycle-Permanent-Income Model," Empirical Economics, Springer, vol. 31(4), pages 1025-1041, November. [Downloadable!] (restricted)
    13. Maria Demertzis & Andrew Hallett, 1996. "Regional Inequalities and the Business Cycle: An Explanation of the Rise in European Unemployment," Regional Studies, Taylor and Francis Journals, vol. 30(1), pages 15-29, February. [Downloadable!] (restricted)

  23. Michael McAleer, 1981. "Exact Tests of a Model Against Non-Nested Alternatives," Working Papers 431, Queen's University, Department of Economics.

    Cited by:

    1. Kenneth G. Stewart, 1998. "Gauss-Newton, Milliken-Graybill, and Exact Misspecification Testing Using Artificial Regressions," Econometrics Working Papers 9811, Department of Economics, University of Victoria. [Downloadable!]

  24. Michael McAleer & Gordon Fisher, 1981. "Separate Misspecified Regressions," Working Papers 424, Queen's University, Department of Economics.

    Cited by:

    1. D.P. Doessel & Abbas Valadkhani, 2002. "Public Finance and The Size of Government: A Literature Review and Econometric Results for Fiji," School of Economics and Finance Discussion Papers and Working Papers Series 108, School of Economics and Finance, Queensland University of Technology. [Downloadable!]

  25. Gordon Fisher & Michael McAleer, 1980. "The Interpretation of the Cox Test in Econometrics," Working Papers 371, Queen's University, Department of Economics.

    Cited by:

    1. Keunkwan Ryu & Kuo-yuan Liang, 1992. "Relationship of Forecast Encompassing to Composite Forecasts with Simulations and an Application," UCLA Economics Working Papers 668, UCLA Department of Economics. [Downloadable!]
    2. J. M. C. Santos Silva, 2001. "A score test for non-nested hypotheses with applications to discrete data models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(5), pages 577-597. [Downloadable!]
      Other versions:

  26. Gordon Fisher & Michael McAleer, 1980. "Principles and Methods in the Testing of Alternative Models," Working Papers 400, Queen's University, Department of Economics.

    Cited by:

Articles

  1. Michael McAleer & Marcelo Medeiros, 2008. "Realized Volatility: A Review," Econometric Reviews, Taylor and Francis Journals, vol. 27(1-3), pages 10-45. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  2. McAleer, Michael & Chan, Felix & Marinova, Dora, 2007. "An econometric analysis of asymmetric volatility: Theory and application to patents," Journal of Econometrics, Elsevier, vol. 139(2), pages 259-284, August. [Downloadable!] (restricted)

    Cited by:

    1. Suhejla Hoiti & Esfandiar Maasoumi & Michael McAleer & Daniel Slottje, 2005. "Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments," DEA Working Papers 14, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]
    2. Suhejla Hoti & Michael McAleer & Laurent L. Pauwels, 2004. "Modelling Environmental Risk," HEI Working Papers 08-2004, Economics Section, The Graduate Institute of International Studies. [Downloadable!]
    3. Matteo Manera & Michael McAleer & Margherita Grasso, 2006. "Modelling time-varying conditional correlations in the volatility of Tapis oil spot and forward returns," Applied Financial Economics, Taylor and Francis Journals, vol. 16(7), pages 525-533, April. [Downloadable!] (restricted)
    4. Matteo Manera & Alessandro Lanza & Michael McAleer, 2004. "Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns," Working Papers 2004.72, Fondazione Eni Enrico Mattei. [Downloadable!]
      Other versions:
    5. Stanislav Anatolyev, 2006. "Dynamic modeling under linear-exponential loss," Working Papers w0092, Center for Economic and Financial Research (CEFIR). [Downloadable!]
    6. Robert L. Basmann & Michael McAleer & Daniel Slottje, 2003. "Patent Activity and Technical Change," CIRJE F-Series CIRJE-F-217, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
      Other versions:
    7. Massimiliano Caporin & Michael McAleer, 2008. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," "Marco Fanno" Working Papers 0064, Dipartimento di Scienze Economiche "Marco Fanno". [Downloadable!]
    8. Felix Chan & Dora Marinova & Michael McAleer, 2003. "Modelling the Asymmetric Volatility of Electronics Patents in the USA," CIRJE F-Series CIRJE-F-208, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

  3. Matteo Manera & Michael McAleer & Margherita Grasso, 2006. "Modelling time-varying conditional correlations in the volatility of Tapis oil spot and forward returns," Applied Financial Economics, Taylor and Francis Journals, vol. 16(7), pages 525-533, April. [Downloadable!] (restricted)

    Cited by:

    1. Vargas, Gregorio A., 2008. "What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?," MPRA Paper 7174, University Library of Munich, Germany. [Downloadable!]

  4. Lanza, Alessandro & Manera, Matteo & McAleer, Michael, 2006. "Modeling dynamic conditional correlations in WTI oil forward and futures returns," Finance Research Letters, Elsevier, vol. 3(2), pages 114-132, June. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  5. Massimiliano Caporin & Michael McAleer, 2006. "Dynamic Asymmetric GARCH," Journal of Financial Econometrics, Oxford University Press, vol. 4(3), pages 385-412. [Downloadable!] (restricted)

    Cited by:

    1. Monica Billio & Massimiliano Caporin, 2006. "A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation," Working Papers 2006_53, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]

  6. Michael McAleer, 2005. "The ten commandments for ranking university quality," Journal of Economic Surveys, Blackwell Publishing, vol. 19(4), pages 649-653, 09. [Downloadable!] (restricted)

    Cited by:

    1. Sinha, Dipendra & Macri, Joseph & McAleer, Michael, 2007. "On the Robustness of Alternative Rankings Methodologies: Australian and New Zealand Economics Departments, 1988-2002," MPRA Paper 2881, University Library of Munich, Germany. [Downloadable!]

  7. McAleer, Michael, 2005. "Automated Inference And Learning In Modeling Financial Volatility," Econometric Theory, Cambridge University Press, vol. 21(01), pages 232-261, February. [Downloadable!]

    Cited by:

    1. Luc Bauwens & Genaro Sucarrat, 2008. "General to specific modelling of exchange rate volatility : a forecast evaluation," Economics Working Papers we081810, Universidad Carlos III, Departamento de Economía. [Downloadable!]
      Other versions:
    2. Michael McAleer & Riaz Shareef & Bernardo da Veiga, 2005. "Managing Value-at-Risk in Daily Tourist Tax Revenues for the Maldives," DEA Working Papers 11, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]
    3. Michael McAleer & Marcelo Cunha Medeiros, 2006. "Realized volatility: a review," Textos para discussão 531 Publication status: F, Department of Economics PUC-Rio (Brazil). [Downloadable!]
      Other versions:
    4. M. Hashem Pesaran & Christoph Schleicher & Paolo Zaffaroni, 2008. "Model Averaging in Risk Management with an Application to Futures Markets," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
      Other versions:
    5. Pesaran, M Hashem & Zaffaroni, Paolo, 2005. "Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management," CEPR Discussion Papers 5279, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    6. Massimiliano Caporin & Michael McAleer, 2008. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," "Marco Fanno" Working Papers 0064, Dipartimento di Scienze Economiche "Marco Fanno". [Downloadable!]
    7. Manabu Asai & Michael McAleer, 2005. "Asymmetric Multivariate Stochastic Volatility," DEA Working Papers 12, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]
    8. Monica Billio & Massimiliano Caporin, 2006. "A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation," Working Papers 2006_53, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
    9. Robert L. Basmann & Michael McAleer & Daniel Slottje, 2007. "Patent Activity and Technical Change," DEA Working Papers 27, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]
      Other versions:
    10. T. W. Anderson & Naoto Kunitomo & Yukitoshi Matsushita, 2008. "On Finite Sample Properties of Alternative Estimators of Coefficients in a Structural Equation with Many Instruments," CIRJE F-Series CIRJE-F-577, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

  8. Clinton Watkins & Michael McAleer, 2004. "Econometric modelling of non-ferrous metal prices," Journal of Economic Surveys, Blackwell Publishing, vol. 18(5), pages 651-701, December. [Downloadable!] (restricted)

    Cited by:

    1. Sergio Lehmann & David Moreno & Patricio Jaramillo, 2007. "China, Commodity Prices and Latin American Performance: A Few Stylized Facts," Working Papers Central Bank of Chile 424, Central Bank of Chile. [Downloadable!]

  9. Ng, Hock Guan & McAleer, Michael, 2004. "Recursive modelling of symmetric and asymmetric volatility in the presence of extreme observations," International Journal of Forecasting, Elsevier, vol. 20(1), pages 115-129. [Downloadable!] (restricted)

    Cited by:

    1. Mathieu Gatumel & Dominique Guegan, 2008. "Dynamic Analysis of the Insurance Linked Securities Index," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00320378_v1, HAL. [Downloadable!]
      Other versions:
    2. Caiado, Jorge, 2004. "Modelling and forecasting the volatility of the portuguese stock index PSI-20," MPRA Paper 2077, University Library of Munich, Germany. [Downloadable!]
    3. Felix Chan & Dora Marinova & Michael McAleer, 2003. "Modelling the Asymmetric Volatility of Electronics Patents in the USA," CIRJE F-Series CIRJE-F-208, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

  10. Suhejla Hoti & Michael McAleer, 2004. "An Empirical Assessment of Country Risk Ratings and Associated Models," Journal of Economic Surveys, Blackwell Publishing, vol. 18(4), pages 539-588, 09. [Downloadable!] (restricted)

    Cited by:

    1. Suhejla Hoti & Michael McAleer & Laurent L. Pauwels, 2004. "Modelling Environmental Risk," HEI Working Papers 08-2004, Economics Section, The Graduate Institute of International Studies. [Downloadable!]
    2. Rod Tyers & Jane Golley, 2006. "China's Growth to 2030: The Roles of Demographic Change and Investment Risk," ANUCBE School of Economics Working Papers 2006-461, Australian National University, College of Business and Economics, School of Economics. [Downloadable!]
    3. Rod Tyers & Jane Golley, 2006. "China's Growth to 2030: The Roles of Demographic Change and Investment Premia," PGDA Working Papers 1206, Program on the Global Demography of Aging. [Downloadable!]
    4. fratostiteanu, cosmin & tanasie, anca, 2007. "The Country Risk For Romania," MPRA Paper 5857, University Library of Munich, Germany. [Downloadable!]
    5. Luís Francisco Aguiar-Conraria & Gulamhussen, Mohamed Azzim, 2006. "Foreign Direct Investment in Brazil and Home Country Risk," NIPE Working Papers 7/2006, NIPE - Universidade do Minho. [Downloadable!]

  11. Lee Kian Lim & Michael McAleer, 2004. "Convergence and catching up in ASEAN: a comparative analysis," Applied Economics, Taylor and Francis Journals, vol. 36(2), pages 137-153, February. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  12. Felix Chan & Michael McAleer, 2003. "Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers," Applied Financial Economics, Taylor and Francis Journals, vol. 13(8), pages 581-592, January. [Downloadable!] (restricted)

    Cited by:

    1. Giorgio Busetti & Matteo Manera, 2003. "STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US," Working Papers 2003.43, Fondazione Eni Enrico Mattei. [Downloadable!]
    2. Felix Chan & Dora Marinova & Michael McAleer, 2003. "Modelling the Asymmetric Volatility of Electronics Patents in the USA," CIRJE F-Series CIRJE-F-208, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

  13. Ling, Shiqing & McAleer, Michael, 2003. "Asymptotic Theory For A Vector Arma-Garch Model," Econometric Theory, Cambridge University Press, vol. 19(02), pages 280-310, January. [Downloadable!]

    Cited by:

    1. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2004. "Spurious And Hidden Volatility," Statistics and Econometrics Working Papers ws042007, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
      Other versions:
    2. Suhejla Hoiti & Esfandiar Maasoumi & Michael McAleer & Daniel Slottje, 2005. "Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments," DEA Working Papers 14, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]
    3. Suhejla Hoti & Michael McAleer & Laurent L. Pauwels, 2004. "Modelling Environmental Risk," HEI Working Papers 08-2004, Economics Section, The Graduate Institute of International Studies. [Downloadable!]
    4. Monica Billio & Massimiliano Caporin, 2007. "Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion," Working Papers 2007_18, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
    5. Giorgio Busetti & Matteo Manera, 2003. "STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US," Working Papers 2003.43, Fondazione Eni Enrico Mattei. [Downloadable!]
    6. Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Multivariate GARCH models," CREATES Research Papers 2008-06, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    7. Christian Conrad & Menelaos Karanasos, 2008. "Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model," Working papers 08-189, KOF Swiss Economic Institute, ETH Zurich. [Downloadable!]
    8. Matteo Manera & Alessandro Lanza & Michael McAleer, 2004. "Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns," Working Papers 2004.72, Fondazione Eni Enrico Mattei. [Downloadable!]
      Other versions:
    9. Mika Meitz & Pentti Saikkonen, 2007. "Stability of nonlinear AR-GARCH models," Economics Series Working Papers 328, University of Oxford, Department of Economics. [Downloadable!]
      Other versions:
    10. Oscar Martinez & Jose Olmo, 2008. "A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences," City University Economics Discussion Papers 08/08, Department of Economics, City University, London. [Downloadable!]
    11. Nakatani, Tomoaki & Teräsvirta, Timo, 2007. "Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model," Working Paper Series in Economics and Finance 649, Stockholm School of Economics, revised 24 Jan 2007. [Downloadable!]
    12. Caporin Massimiliano & Paruolo Paolo, 2005. "Spatial effects in multivariate ARCH," Economics and Quantitative Methods qf0501, Department of Economics, University of Insubria. [Downloadable!]
    13. Christian M. Dahl & Emma M. Iglesias, 2008. "The limiting properties of the QMLE in a general class of asymmetric volatility models," CREATES Research Papers 2008-38, School of Economics and Management, University of Aarhus. [Downloadable!]
    14. Enrique Sentana & Gabriele Fiorentini, 2007. "On The Efficiency And Consistency Of Likelihood Estimation In Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2007_0713, CEMFI. [Downloadable!]
      Other versions:
    15. Chor-yiu SIN, 2004. "Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE," Econometric Society 2004 Australasian Meetings 92, Econometric Society. [Downloadable!]
    16. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109. [Downloadable!]
    17. Menelaos Karanasos, . "The Covariance Structure of Component and Multivariate Garch Models," Discussion Papers 99/12, Department of Economics, University of York. [Downloadable!]
    18. Francesco Audrino & Marcelo C. Medeiros, 2008. "Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process," University of St. Gallen Department of Economics working paper series 2008 2008-16, Department of Economics, University of St. Gallen. [Downloadable!]
    19. Heung Wong & W. Li & Shiqing Ling, 2005. "Joint modeling of cointegration and conditional heteroscedasticity with applications," Annals of the Institute of Statistical Mathematics, Springer, vol. 57(1), pages 83-103, March. [Downloadable!] (restricted)
    20. Menelaos Karanasos, . "Some Exact Formulae for the Constant Correlation and Diagonal M - Garch Models," Discussion Papers 00/14, Department of Economics, University of York. [Downloadable!]
    21. Mika Meitz & Pentti Saikkonen, 2008. "Parameter Estimation in Nonlinear AR-GARCH Models," Economics Working Papers ECO2008/25, European University Institute. [Downloadable!]
      Other versions:
    22. Monica Billio & Massimiliano Caporin, 2006. "A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation," Working Papers 2006_53, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
    23. Christian Hafner & Helmut Herwartz, 2008. "Analytical quasi maximum likelihood inference in multivariate volatility models," Metrika, Springer, vol. 67(2), pages 219-239, March. [Downloadable!] (restricted)
      Other versions:
    24. Meitz, Mika & Saikkonen, Pentti, 2004. "Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models," Working Paper Series in Economics and Finance 573, Stockholm School of Economics, revised 20 Apr 2007. [Downloadable!]
      Other versions:
    25. Andreea Halunga & Chris D. Orme, 2007. "First order asymptotic theory for parametric misspecification tests of GARCH models," The School of Economics Discussion Paper Series 0721, Economics, The University of Manchester. [Downloadable!]
    26. Christina Amado & Timo Teräsvirta, 2008. "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," CREATES Research Papers 2008-08, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    27. Chor-yiu SIN, 2004. "Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE," Econometric Society 2004 North American Summer Meetings 476, Econometric Society. [Downloadable!]
    28. Peter M Robinson & Paolo Zaffaroni, 2005. "Pseudo-Maximum Likelihood Estimation of ARCH(8) Models," STICERD - Econometrics Paper Series /2005/495, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    29. Dietmar Bauer, 2004. "Using Subspace Methods for Estimating ARMA Models for Multivariate Time Series with Conditionally Heteroskedastic Innovations," Cowles Foundation Discussion Papers 1452, Cowles Foundation, Yale University. [Downloadable!]

  14. McAleer, Michael & McKenzie, Colin, 2002. " The International Congress on Modelling and Simulation: Hamilton, New Zealand, December 1999," Journal of Economic Surveys, Blackwell Publishing, vol. 16(1), pages 111-21, February. [Downloadable!] (restricted)

    Cited by:

    1. John M. Sequeira & Pang Chia Chiat & Michael McAleer, 2003. "Volatility Models of Currency Futures in Developed and Emerging Markets," CIRJE F-Series CIRJE-F-210, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

  15. Li, W K & Ling, Shiqing & McAleer, Michael, 2002. " Recent Theoretical Results for Time Series Models with GARCH Errors," Journal of Economic Surveys, Blackwell Publishing, vol. 16(3), pages 245-69, July. [Downloadable!] (restricted)

    Cited by:

    1. Paulo M. M. Rodrigues & Antonio Rubia, 2004. "On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates," Econometrics 0405004, EconWPA. [Downloadable!]
      Other versions:
    2. Suhejla Hoti & Michael McAleer & Laurent L. Pauwels, 2004. "Modelling Environmental Risk," HEI Working Papers 08-2004, Economics Section, The Graduate Institute of International Studies. [Downloadable!]
    3. Michael McAleer & Riaz Shareef & Bernardo da Veiga, 2005. "Managing Value-at-Risk in Daily Tourist Tax Revenues for the Maldives," DEA Working Papers 11, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]
    4. Steven Cook, 2006. "The robustness of modified unit root tests in the presence of GARCH," Quantitative Finance, Taylor and Francis Journals, vol. 6(4), pages 359-363, August. [Downloadable!] (restricted)
    5. Felix Chan & Dora Marinova & Michael McAleer, 2004. "Trends and volatilities in foreign patents registered in the USA," Applied Economics, Taylor and Francis Journals, vol. 36(6), pages 585-592, April. [Downloadable!] (restricted)
    6. Stavros Degiannakis, 2004. "Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model," Applied Financial Economics, Taylor and Francis Journals, vol. 14(18), pages 1333-1342, December. [Downloadable!] (restricted)
    7. Juan Carlos Escanciano & Jose Olmo, 2007. "Backtesting Parametric Value-at-Risk with Estimation Risk," Caepr Working Papers 2007-005_updated, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington. [Downloadable!]
    8. Shiqing Ling & W. K. Li & Michael McAleer, 2003. "Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence," CIRJE F-Series CIRJE-F-207, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    9. Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585R, Cowles Foundation, Yale University, revised Nov 2006. [Downloadable!]
      Other versions:
    10. Robert Engle, 2002. "New frontiers for arch models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 425-446. [Downloadable!]
    11. Suhejla Hoti & Felix Chan & Michael McAleer, 2003. "Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings," CIRJE F-Series CIRJE-F-203, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    12. J. Carlos Escanciano & Jose Olmo, 2007. "Estimation risk effects on backtesting for parametric value-at-risk models," City University Economics Discussion Papers 07/11, Department of Economics, City University, London. [Downloadable!]
    13. Felix Chan & Dora Marinova & Michael McAleer, 2003. "Modelling the Asymmetric Volatility of Electronics Patents in the USA," CIRJE F-Series CIRJE-F-208, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    14. Andrea Silvestrini & David Veredas, 2008. "Temporal aggregation of univariate and multivariate time series models: A survey," Temi di discussione (Economic working papers) 685, Bank of Italy, Economic Research Department. [Downloadable!]
    15. Teräsvirta, Timo, 2006. "An introduction to univariate GARCH models," Working Paper Series in Economics and Finance 646, Stockholm School of Economics. [Downloadable!]

  16. Felix Chan & Michael McAleer, 2002. "Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 509-534. [Downloadable!]

    Cited by:

    1. G. Dufrenot & L. Mathieu & V. Mignon, & A. Peguin-Feissolle, 2002. "Persistent misalignments of the European exchange rates : some evidence from nonlinear cointegration," THEMA Working Papers 2002-29, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
      Other versions:
    2. Andreea Halunga & Chris D. Orme, 2007. "First order asymptotic theory for parametric misspecification tests of GARCH models," The School of Economics Discussion Paper Series 0721, Economics, The University of Manchester. [Downloadable!]

  17. Ling, Shiqing & McAleer, Michael, 2002. "Stationarity and the existence of moments of a family of GARCH processes," Journal of Econometrics, Elsevier, vol. 106(1), pages 109-117, January. [Downloadable!] (restricted)

    Cited by:

    1. Suhejla Hoiti & Esfandiar Maasoumi & Michael McAleer & Daniel Slottje, 2005. "Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments," DEA Working Papers 14, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]
    2. Suhejla Hoti & Michael McAleer & Laurent L. Pauwels, 2004. "Modelling Environmental Risk," HEI Working Papers 08-2004, Economics Section, The Graduate Institute of International Studies. [Downloadable!]
    3. Elena Andreou & Eric Ghysels, 2001. "Detecting Mutiple Breaks in Financial Market Volatility Dynamics," CIRANO Working Papers 2001s-65, CIRANO. [Downloadable!]
      Other versions:
    4. Matteo Manera & Michael McAleer & Margherita Grasso, 2006. "Modelling time-varying conditional correlations in the volatility of Tapis oil spot and forward returns," Applied Financial Economics, Taylor and Francis Journals, vol. 16(7), pages 525-533, April. [Downloadable!] (restricted)
    5. Peter Verhoeven & Michael McAleer, 2003. "Fat Tails and Asymmetry in Financial Volatility Models," CIRJE F-Series CIRJE-F-211, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    6. Matteo Manera & Alessandro Lanza & Michael McAleer, 2004. "Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns," Working Papers 2004.72, Fondazione Eni Enrico Mattei. [Downloadable!]
      Other versions:
    7. Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany. [Downloadable!]
    8. Felix Chan & Dora Marinova & Michael McAleer, 2004. "Trends and volatilities in foreign patents registered in the USA," Applied Economics, Taylor and Francis Journals, vol. 36(6), pages 585-592, April. [Downloadable!] (restricted)
    9. Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Parameterizing unconditional skewness in models for financial time series," CREATES Research Papers 2008-07, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    10. Robert Engle, 2002. "New frontiers for arch models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 425-446. [Downloadable!]
    11. Suhejla Hoti & Felix Chan & Michael McAleer, 2003. "Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings," CIRJE F-Series CIRJE-F-203, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    12. Meitz, Mika & Saikkonen, Pentti, 2004. "Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models," Working Paper Series in Economics and Finance 573, Stockholm School of Economics, revised 20 Apr 2007. [Downloadable!]
      Other versions:
    13. Harvey, A. & Chakravarty, T., 2008. "Beta-t-(E)GARCH," Cambridge Working Papers in Economics 0840, Faculty of Economics, University of Cambridge. [Downloadable!]
    14. Andreu Sansó & Vicent Aragó & Josep Lluís Carrion, 2003. "Testing for Changes in the Unconditional Variance of Financial Time Series," DEA Working Papers 5, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]
    15. Felix Chan & Dora Marinova & Michael McAleer, 2003. "Modelling the Asymmetric Volatility of Electronics Patents in the USA," CIRJE F-Series CIRJE-F-208, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    16. Felix Chan & Michael McAleer, 2002. "Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 509-534. [Downloadable!]

  18. Ling, Shiqing & McAleer, Michael, 2002. "NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS," Econometric Theory, Cambridge University Press, vol. 18(03), pages 722-729, May. [Downloadable!]

    Cited by:

    1. Guglielmo Maria Caporale & Christos Ntantamis & Theologos Pantelidis & Nikitas Pittis, 2004. "The Bds Test As A Test For The Adequacy Of A Garch(1,1) Specification: A Monte Carlo Study," Public Policy Discussion Papers 04-14, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
      Other versions:
    2. Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany. [Downloadable!]
    3. Feng, Yuanhua & Beran, Jan & Yu, Keming, 2006. "Modelling financial time series with SEMIFAR-GARCH model," MPRA Paper 1593, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    4. M. Hashem Pesaran & Christoph Schleicher & Paolo Zaffaroni, 2008. "Model Averaging in Risk Management with an Application to Futures Markets," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
      Other versions:
    5. Feng, Yuanhua, 2006. "A local dynamic conditional correlation model," MPRA Paper 1592, University Library of Munich, Germany. [Downloadable!]

  19. Sequeira, John M & McAleer, Michael & Chow, Ying-Foon, 2001. "Efficient Estimation and Testing of Alternative Models of Currency Futures Contracts," The Economic Record, The Economic Society of Australia, vol. 77(238), pages 270-82, September. [Downloadable!] (restricted)

    Cited by:

    1. John M. Sequeira & Pang Chia Chiat & Michael McAleer, 2003. "Volatility Models of Currency Futures in Developed and Emerging Markets," CIRJE F-Series CIRJE-F-210, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

  20. Lim, Christine & McAleer, Michael, 2001. "Cointegration Analysis of Quarterly Tourism Demand by Hong Kong and Singapore for Australia," Applied Economics, Taylor and Francis Journals, vol. 33(12), pages 1599-1619, October. [Downloadable!] (restricted)

    Cited by:

    1. Egon Smeral & Michael Wüger, 2004. "Does Complexity Matter? Methods for Improving Forecasting Accuracy in Tourism," WIFO Working Papers 225, WIFO. [Downloadable!]
    2. George Athanasopoulos & Rob J. Hyndman, 2006. "Modelling and forecasting Australian domestic tourism," Monash Econometrics and Business Statistics Working Papers 19/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    3. Paresh Kumar Narayan, 2006. "Are Australia's tourism markets converging?," Applied Economics, Taylor and Francis Journals, vol. 38(10), pages 1153-1162, June. [Downloadable!] (restricted)

  21. Kazumitsu Nawata & Michael McAleer, 2001. "Size Characteristics Of Tests For Sample Selection Bias: A Monte Carlo Comparison And Empirical Example," Econometric Reviews, Taylor and Francis Journals, vol. 20(1), pages 105-112. [Downloadable!] (restricted)

    Cited by:

    1. Yamagata. T., 2005. "On Testing Sample Selection Bias under the Multicollinearity Problem," Cambridge Working Papers in Economics 0522, Faculty of Economics, University of Cambridge. [Downloadable!]
    2. Rosalie Viney & Marion Haas & Rochelle Belkar & Denzil G. Fiebig, 2004. "Why worry about awareness in choice problems? Econometric analysis of screening for cervical cancer," Econometric Society 2004 Australasian Meetings 109, Econometric Society. [Downloadable!]
      Other versions:
    3. Kazumitsu Nawata, 2007. "A monte carlo analysis of the type II tobit maximum likelihood estimator when the true model is the type I tobit model," Economics Bulletin, Economics Bulletin, vol. 3(54), pages 1-10. [Downloadable!]
    4. Maria Ana Odejar & Kostas Mavromaras & Mandy Ryan, 2004. "Messy Data Modelling in Health Care Contingent Valuation Studies," Econometric Society 2004 North American Summer Meetings 406, Econometric Society. [Downloadable!]

  22. Chow, Ying-Foon & McAleer, Michael & Sequeira, John M, 2000. " Pricing of Forward and Futures Contracts," Journal of Economic Surveys, Blackwell Publishing, vol. 14(2), pages 215-53, April. [Downloadable!] (restricted)

    Cited by:

    1. Clinton Watkins & Michael McAleer, 2003. "Pricing of Non-ferrous Metals Futures on the London Metal Exchange," CIRJE F-Series CIRJE-F-213, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
      Other versions:
    2. Chris D'Souza, 2002. "How Do Canadian Banks That Deal in Foreign Exchange Hedge Their Exposure to Risk?," Working Papers 02-34, Bank of Canada. [Downloadable!]

  23. Lim, Christine & McAleer, Michael, 2000. "A Seasonal Analysis of Asian Tourist Arrivals to Australia," Applied Economics, Taylor and Francis Journals, vol. 32(4), pages 499-509, March. [Downloadable!] (restricted)

    Cited by:

    1. Artur C. B. da Silva Lopes, 2004. "Deterministic Seasonality in Dickey-Fuller Tests: Should We Care?," Econometrics 0402007, EconWPA, revised 18 Mar 2004. [Downloadable!]
      Other versions:
    2. Christine Lim & Michael McAleer, 2003. "Modelling International Travel Demand from Singapore to Australia," CIRJE F-Series CIRJE-F-214, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

  24. Madsen, Jakob B. & Mcaleer, Michael, 2000. "Direct Tests of the Permanent Income Hypothesis under Uncertainty, Inflationary Expectations and Liquidity Constraints," Journal of Macroeconomics, Elsevier, vol. 22(2), pages 229-252, April. [Downloadable!] (restricted)

    Cited by:

    1. Paz, Lourenço S. & Gomes, Fábio A. R., 2008. "Consumption in South America: myopia or liquidity constraints?," Ibmec Working Papers wpe_146, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
    2. Lourenço Senne Paz, 2006. "Consumption in Brazil: myopia or liquidity constraints? A simple test using quarterly data," Applied Economics Letters, Taylor and Francis Journals, vol. 13(15), pages 961-964, December. [Downloadable!] (restricted)

  25. Kobayashi, Masahito & McAleer, Michael, 1999. "Analytical Power Comparisons Of Nested And Nonnested Tests For Linear And Loglinear Regression Models," Econometric Theory, Cambridge University Press, vol. 15(01), pages 99-113, February. [Downloadable!]

    Cited by:

    1. Valentina Corradi & Norman R. Swanson, 2003. "The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test," Departmental Working Papers 200322, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:

  26. Franses, Philip Hans & McAleer, Michael, 1998. " Cointegration Analysis of Seasonal Time Series," Journal of Economic Surveys, Blackwell Publishing, vol. 12(5), pages 651-78, December. [Downloadable!] (restricted)

    Cited by:

    1. Cubadda, Gianluca & Omtzigt, Pieter, 2003. "Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems," Economics & Statistics Discussion Papers esdp03012, University of Molise, Dept. SEGeS. [Downloadable!]
      Other versions:
    2. Jan Marc Berk & Gerbert Hebbink, 2006. "The anchoring of European inflation expectations," DNB Working Papers 116, Netherlands Central Bank, Research Department. [Downloadable!]
    3. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics 0507014, EconWPA. [Downloadable!]
    4. Olivier Darné, 2003. "Maximum likelihood seasonal cointegration tests for daily data," Economics Bulletin, Economics Bulletin, vol. 3(18), pages 1-8. [Downloadable!]
    5. Fabio Busetti, 2006. "Tests of seasonal integration and cointegration in multivariate unobserved component models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 419-438. [Downloadable!]
      Other versions:
    6. Peter C.B. Phillips & Zhijie Xiao, 1998. "A Primer on Unit Root Testing," Cowles Foundation Discussion Papers 1189, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:

  27. Smith, Jeremy & McAleer, Michael, 1995. "Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 165-85, April-Jun. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  28. McAleer, Michael, 1995. "The significance of testing empirical non-nested models," Journal of Econometrics, Elsevier, vol. 67(1), pages 149-171, May. [Downloadable!] (restricted)

    Cited by:

    1. Yi-Ting Chen & Chung-Ming Kuan, 2000. "The Pseudo-True Score Encompassing Test for Non-Nested Hypothesis," Econometric Society World Congress 2000 Contributed Papers 1723, Econometric Society. [Downloadable!]
      Other versions:
    2. Kenneth D. West, 2000. "Encompassing Tests When No Model Is Encompassing," NBER Technical Working Papers 0256, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. Choi, Hwan-sik & Kiefer, Nicholas M., 2006. "Robust Model Selection in Dynamic Models with an Application to Comparing Predictive Accuracy," Working Papers 06-09, Cornell University, Center for Analytic Economics. [Downloadable!]
    4. Russell Davidson & James MacKinnon, 2002. "Fast Double Bootstrap Tests Of Nonnested Linear Regression Models," Econometric Reviews, Taylor and Francis Journals, vol. 21(4), pages 419-429. [Downloadable!] (restricted)

  29. McKenzie, C R & McAleer, Michael, 1994. "On the Effects of Misspecification Errors in Models with Generated Regressors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(4), pages 441-55, November.

    Cited by:

    1. Uluc Aysun & Melanie Guldi, 2008. "Increasing Derivatives Market Activity in Emerging Markets and Exchange Rate Exposure," Working papers 2008-06, University of Connecticut, Department of Economics, revised Oct 2008. [Downloadable!]

  30. Smith, Jeremy & McAleer, Michael, 1994. "Newey-West Covariance Matrix Estimates for Models with Generated Regressors," Applied Economics, Taylor and Francis Journals, vol. 26(6), pages 635-40, June.

    Cited by:

    1. Schclarek, Alfredo, 2003. "Fiscal Policy and Private Consumption in Industrial and Developing Countries," Working Papers 2003:20, Lund University, Department of Economics, revised 30 Sep 2005. [Downloadable!]
      Other versions:
      • Schclarek, Alfredo, 2007. "