BankGanDay

@bankganday.com

Bank Gan Day



                                                  

https://researchid.co/bankganday

được thành lập với mục đích chia sẻ các kiến thức liên quan về tài chính ngân hàng. Nhằm mang tới những thông tin bổ ích nhất để bạn đọc có thể hiểu rõ hơn về các dịch vụ tiện ích cũng như các vấn đề liên quan.

27701

Scholar Citations

81

Scholar h-index

382

Scholar i10-index

RECENT SCHOLAR PUBLICATIONS

  • Drawbacks in the 3-factor approach of Fama and French (2018)
    DE Allen, M McAleer
    Annals of Financial Economics 18 (01), 2240001 2023

  • Impact of COVID-19 on returns-volatility spillovers in national and regional carbon markets in China
    TK Mai, AM Foley, M McAleer, CL Chang
    Renewable and Sustainable Energy Reviews 169, 112861 2022

  • Influence of input costs and levelised cost of energy on wind power growth
    B Johnston, A Foley, J Doran, T Littler, M McAleer
    Journal of Cleaner Production 373, 133407 2022

  • Spectrally-corrected estimation for high-dimensional Markowitz mean-variance optimization
    H Li, Z Bai, WK Wong, M McAleer
    Econometrics and Statistics 24, 133-150 2022

  • Multivariate Hyper-Rotated GARCH-BEKK
    M Asai, M McAleer
    Journal of Time Series Econometrics 14 (2), 175-198 2022

  • A new structural multivariate GARCH-BEKK model: causality of green, sustainable and fossil energy ETFs
    M Asai, CL Chang, M McAleer, L Pauwels
    Communications in Statistics: Case Studies, Data Analysis and Applications 8 2022

  • Trump’s COVID-19 tweets and Dr. Fauci’s emails
    DE Allen, M McAleer
    Scientometrics 127 (3), 1643-1655 2022

  • Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
    M Asai, CL Chang, M McAleer
    Journal of Econometrics 227 (1), 285-304 2022

  • “Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Some Antecedents on Causality
    DE Allen, M McAleer
    Journal of the American Statistical Association 117 (537), 214-224 2022

  • Bayesian analysis of realized matrix-exponential GARCH models
    M Asai, M McAleer
    Computational Economics 59 (1), 103-123 2022

  • Review on market efficiency and anomalies
    W 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 anomalies
    W Wong, WOOK Yin, AUW Kwong, K HON Tai Yuen, M McAleer
    Istanbul: KSP Books 2022

  • Common mental disorders and economic uncertainty: evidence from the COVID-19 pandemic in the US
    WW Tham, E Sojli, R Bryant, M McAleer
    Plos one 16 (12), e0260726 2021

  • A Nonlinear Autoregressive Distributed Lag (nardl) Analysis of the ftse and s&p500 Indexes
    DE Allen, M McAleer
    Risks 9 (11), 195 2021

  • CARF Working Paper
    H Chen, M Shintani
     2021

  • Perspectives on Topical Medical Research in the COVID-19 Era
    M McAleer
    Sci 3 (4), 38 2021

  • Spurious relationships for nearly non-stationary series
    Y Cheng, Y Hui, M McAleer, WK Wong
    Journal of Risk and Financial Management 14 (8), 366 2021

  • COVID-19 restrictions and age-specific mental health—US probability-based panel evidence
    E Sojli, WW Tham, R Bryant, M McAleer
    Translational 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 McAleer
    INTERNATIONAL JOURNAL OF FORECASTING 37 (3), 1326-1326 2021

MOST CITED SCHOLAR PUBLICATIONS

  • Asymptotic theory for a vector ARMA-GARCH model
    S Ling, M McAleer
    Econometric theory 19 (2), 280-310 2003
    Citations: 1175

  • Risk management of COVID-19 by universities in China
    C Wang, Z Cheng, XG Yue, M McAleer
    Journal of Risk and Financial Management 13 (2), 36 2020
    Citations: 678

  • Realized volatility: A review
    M McAleer, MC Medeiros
    Econometric reviews 27 (1-3), 10-45 2008
    Citations: 662

  • Time series forecasts of international travel demand for Australia
    C Lim, M McAleer
    Tourism management 23 (4), 389-396 2002
    Citations: 488

  • Multivariate stochastic volatility: a review
    M Asai, M McAleer, J Yu
    Econometric Reviews 25 (2-3), 145-175 2006
    Citations: 449

  • Automated inference and learning in modeling financial volatility
    M McAleer
    Econometric Theory 21 (1), 232-261 2005
    Citations: 447

  • Stationarity and the existence of moments of a family of GARCH processes
    S Ling, M McAleer
    Journal of Econometrics 106 (1), 109-117 2002
    Citations: 433

  • A charter for sustainable tourism after COVID-19
    CL Chang, M McAleer, V Ramos
    Sustainability 12 (9), 3671 2020
    Citations: 409

  • Crude oil hedging strategies using dynamic multivariate GARCH
    CL Chang, M McAleer, R Tansuchat
    Energy Economics 33 (5), 912-923 2011
    Citations: 395

  • Recent theoretical results for time series models with GARCH errors
    WK Li, S Ling, M McAleer
    Journal of Economic Surveys 16 (3), 245-269 2002
    Citations: 391

  • Necessary and sufficient moment conditions for the GARCH (r, s) and asymmetric power GARCH (r, s) models
    S Ling, M McAleer
    Econometric theory 18 (3), 722-729 2002
    Citations: 379

  • Modelling multivariate international tourism demand and volatility
    F Chan, C Lim, M McAleer
    Tourism Management 26 (3), 459-471 2005
    Citations: 357

  • What will take the con out of econometrics?
    M McAleer, AR Pagan, PA Volker
    The American Economic Review 75 (3), 293-307 1985
    Citations: 345

  • Alternative procedures and associated tests of significance for non-nested hypotheses
    GR Fisher, M McAleer
    Journal of Econometrics 16 (1), 103-119 1981
    Citations: 344

  • Conditional correlations and volatility spillovers between crude oil and stock index returns
    CL Chang, M McAleer, R Tansuchat
    The North American Journal of Economics and Finance 25, 116-138 2013
    Citations: 325

  • Monthly seasonal variations: Asian tourism to Australia
    C Lim, M McAleer
    Annals of Tourism Research 28 (1), 68-82 2001
    Citations: 303

  • Precious metals–exchange rate volatility transmissions and hedging strategies
    SM Hammoudeh, Y Yuan, M McAleer, MA Thompson
    International Review of Economics & Finance 19 (4), 633-647 2010
    Citations: 281

  • Structure and asymptotic theory for multivariate asymmetric conditional volatility
    M McAleer, S Hoti, F Chan
    Econometric Reviews 28 (5), 422-440 2009
    Citations: 280

  • An econometric analysis of asymmetric volatility: theory and application to patents
    M McAleer, F Chan, D Marinova
    Journal of Econometrics 139 (2), 259-284 2007
    Citations: 248

  • A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
    M McAleer, MC Medeiros
    Journal of Econometrics 147 (1), 104-119 2008
    Citations: 234