RECENT SCHOLAR PUBLICATIONS
- Drawbacks in the 3-factor approach of Fama and French (2018)DE Allen, M McAleerAnnals of Financial Economics 18 (01), 2240001 2023
- Impact of COVID-19 on returns-volatility spillovers in national and regional carbon markets in ChinaTK Mai, AM Foley, M McAleer, CL ChangRenewable and Sustainable Energy Reviews 169, 112861 2022
- Influence of input costs and levelised cost of energy on wind power growthB Johnston, A Foley, J Doran, T Littler, M McAleerJournal of Cleaner Production 373, 133407 2022
- Spectrally-corrected estimation for high-dimensional Markowitz mean-variance optimizationH Li, Z Bai, WK Wong, M McAleerEconometrics and Statistics 24, 133-150 2022
- Multivariate Hyper-Rotated GARCH-BEKKM Asai, M McAleerJournal of Time Series Econometrics 14 (2), 175-198 2022
- A new structural multivariate GARCH-BEKK model: causality of green, sustainable and fossil energy ETFsM Asai, CL Chang, M McAleer, L PauwelsCommunications in Statistics: Case Studies, Data Analysis and Applications 8 2022
- Trump’s COVID-19 tweets and Dr. Fauci’s emailsDE Allen, M McAleerScientometrics 127 (3), 1643-1655 2022
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spilloversM Asai, CL Chang, M McAleerJournal of Econometrics 227 (1), 285-304 2022
- “Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Some Antecedents on CausalityDE Allen, M McAleerJournal of the American Statistical Association 117 (537), 214-224 2022
- Bayesian analysis of realized matrix-exponential GARCH modelsM Asai, M McAleerComputational Economics 59 (1), 103-123 2022
- Review on market efficiency and anomaliesW Wong, WOOK Yin, AUW Kwong, M McAleer, K HON Tai Yuen 2022
- Impact of Covid-19 on Returns-Volatility Spillovers in National and Regional Carbon Markets in China (preprint)TK Mai, M McAleer, CL Chang 2022
- Market efficiency, behavioural finance, and anomaliesW Wong, WOOK Yin, AUW Kwong, K HON Tai Yuen, M McAleerIstanbul: KSP Books 2022
- Common mental disorders and economic uncertainty: evidence from the COVID-19 pandemic in the USWW Tham, E Sojli, R Bryant, M McAleerPlos one 16 (12), e0260726 2021
- A Nonlinear Autoregressive Distributed Lag (nardl) Analysis of the ftse and s&p500 IndexesDE Allen, M McAleerRisks 9 (11), 195 2021
- CARF Working PaperH Chen, M Shintani 2021
- Perspectives on Topical Medical Research in the COVID-19 EraM McAleerSci 3 (4), 38 2021
- Spurious relationships for nearly non-stationary seriesY Cheng, Y Hui, M McAleer, WK WongJournal of Risk and Financial Management 14 (8), 366 2021
- COVID-19 restrictions and age-specific mental health—US probability-based panel evidenceE Sojli, WW Tham, R Bryant, M McAleerTranslational Psychiatry 11 (1), 418 2021
- Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks (vol 36, pg 933, 2021)M Asai, R Gupta, M McAleerINTERNATIONAL JOURNAL OF FORECASTING 37 (3), 1326-1326 2021