View Author
scopus: 24370074800

McAleer, M.J.

(Michael McAleer)


model volatility forecast journal price table return market shock garch mcaleer future result tourism estimate paper effect correlation variance error parameter 0.00 1.000 value period growth series tourist number tourist arrivals 1.00 egarch country statistic 0.000 arrival equation condition volatility models level impact capital taiwan estimation index capital charges economic portfolio threshold function multivariate sample variable distribution method forecasting moment inflation approach university section violation figure crude 1.0 management article citation basel 1.3 1.1 exchange strategy research covariance commodity 1.2 process analysis charge




10 Most Recent Publications

Modelling and forecasting noisy realized volatility (Article)
Asai, M. McAleer, M.J. Medeiros, M.
2012-01-01
The Rise and Fall of S&P500 Variance Futures (Research Paper)
Chang, C-L. Jimenez-Martin, J-A. McAleer, M.J. Perez-Amaral, T.
2011-11-16
Moment-based estimation of smooth transition regression models with endogenous variables (Article)
Areosa, W.D. McAleer, M.J. Medeiros, M.
2011-11-03
Moment restriction-based econometric methods: An overview (Article)
Kunitomo, N. McAleer, M.J. Nishiyama, Y.
2011-11-03
How are journal impact, prestige and article influence related? an application to neuroscience (Article)
Chang, C-L. McAleer, M.J. Oxley, L.
2011-11-01
Alternative asymmetric stochastic volatility models (Article)
Asai, M. McAleer, M.J.
2011-09-01
Citations and Impact of ISI Tourism and Hospitality Journals (Research Paper)
Chang, C-L. McAleer, M.J.
2011-07-01
GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies (Research Paper)
Santos, P.A. Jimenez-Martin, J-A. McAleer, M.J. Perez-Amaral, T.
2011-07-01
Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan (Research Paper)
Chang, C-L. McAleer, M.J. Lim, C.H.
2011-07-01
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures (Research Paper)
Casarin, R. Chang, C-L. Jimenez-Martin, J-A. McAleer, M.J. Perez-Amaral, T.
2011-07-01