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Details about Michael McAleer

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Workplace:Department of Quantitative Finance, National Tsing Hua University, (more information at EDIRC)
Econometrisch Instituut (Econometric Institute), Faculteit der Economische Wetenschappen (Erasmus School of Economics), Erasmus Universiteit Rotterdam (Erasmus University of Rotterdam), (more information at EDIRC)

Access statistics for papers by Michael McAleer.

Last updated 2017-06-23. Update your information in the RePEc Author Service.

Short-id: pmc90


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Working Papers

2017

  1. A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads
  2. Connecting VIX and Stock Index ETF
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2017) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2017) Downloads View citations (8)
  3. Forecasting the Volatility of Nikkei 225 Futures
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2017) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2017) Downloads
  4. Joint and Cross-border Patents as Proxies for International Technology Diffusion
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) Downloads
  5. Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (11)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) Downloads
  6. Re-Opening the Silk Road to Transform Chinese Trade
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2017) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2017) Downloads

    See also Journal Article in Journal of Reviews on Global Economics (2017)
  7. Realized Stochastic Volatility with General Asymmetry and Long Memory
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2017) Downloads
  8. Recent Topical Research on Global, Energy, Health & Medical, and Tourism Economics, and Global Software
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2017) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2017) Downloads
  9. Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2017) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2017) Downloads
  10. The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
  11. The Fiction of Full BEKK
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2017) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2017) Downloads
  12. Theory and Application of an Economic Performance Measure of Risk
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
  13. Theravada Buddhism and Thai Luxury Fashion Consumption
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) Downloads

    See also Journal Article in Journal of Reviews on Global Economics (2017)
  14. Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic Factors
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  15. Tourism stocks in times of crises: An econometric investigation of non-macro factors
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) Downloads
  16. Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2017) Downloads
  17. You've Got Email: A Workflow Management Extraction System
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2017) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2017) Downloads

2016

  1. A Bayesian Approach to Excess Volatility, Short-term Underreaction and Long-term Overreaction During Financial Crises
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) Downloads
  2. A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads
  3. A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads
  4. A Simple Test for Causality in Volatility
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads View citations (2)

    See also Journal Article in Econometrics (2017)
  5. An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads
  6. An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads
  7. Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads View citations (2)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads View citations (2)
  8. Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads View citations (3)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads
  9. Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads
  10. How are VIX and Stock Index ETF Related?
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads View citations (9)
  11. Industrial Penetration and Internet Intensity
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) Downloads
  12. Management Science, Economics and Finance: A Connection
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads
  13. Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (12)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads View citations (12)
  14. Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads
  15. Prediction of Gas Concentration Based on the Opposite Degree Algorithm
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) Downloads

    See also Journal Article in Journal of Reviews on Global Economics (2017)
  16. Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads View citations (1)
  17. Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (4)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads View citations (2)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads
  18. Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads
  19. Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) Downloads
  20. US Antidumping Petitions and Revealed Comparative Advantage of Shrimp Exporting Countries
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads
  21. Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads
  22. Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads

2015

  1. A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (2)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015) Downloads View citations (1)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads View citations (1)
  2. Behavioural, Financial, and Health & Medical Economics: A Connection
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015) Downloads
  3. Bibliometric Rankings of Journals Based on the Thomson Reuters Citations Database
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads View citations (2)

    See also Journal Article in Journal of Reviews on Global Economics (2015)
  4. Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) Downloads
  5. Daily Market News Sentiment and Stock Prices
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads View citations (1)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015) Downloads View citations (5)
  6. Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) Downloads
  7. From Disorder to Order
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015) Downloads
  8. Frontiers in Time Series and Financial Econometrics
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
  9. Frontiers in Time Series and Financial Econometrics: An Overview
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015) Downloads

    See also Journal Article in Journal of Econometrics (2015)
  10. Industrial Agglomeration and Use of the Internet
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) Downloads View citations (1)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads View citations (1)
  11. Informatics, Data Mining, Econometrics and Financial Economics: A Connection
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (3)
  12. International Technology Diffusion of Joint and Cross-border Patents
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads
  13. International Technology Diffusion of Joint and Cross-border Patents (Revised version)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
  14. Market Integration Dynamics and Asymptotic Price Convergence in Distribution
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads

    See also Journal Article in Economic Modelling (2016)
  15. Matching and Winning? The Impact of Upper and Middle Managers on Team Performance
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  16. Multivariate Volatility Impulse Response Analysis of GFC News Events
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads View citations (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) Downloads View citations (1)
  17. Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) Downloads

    See also Journal Article in Risks (2016)
  18. On the Invertibility of EGARCH(p,q)
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) Downloads View citations (14)
  19. Quality Weighted Citations Versus Total Citations in the Sciences and Social Sciences, with an Application to Finance and Accounting
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) Downloads View citations (2)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads View citations (2)

    See also Journal Article in Managerial Finance (2016)
  20. Research Ideas for the Journal of Health & Medical Economics: Opinion
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) Downloads
  21. Research Ideas for the Journal of Informatics and Data Mining: Opinion
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015) Downloads
  22. The Endowment Effect in Games
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  23. The Fundamental Equation in Tourism Finance
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (4)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads View citations (4)

    See also Journal Article in Journal of Risk and Financial Management (2015)
  24. The Impact of Jumps and Leverage in Forecasting Co-Volatility
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) Downloads
  25. Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (28)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) Downloads View citations (32)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads View citations (14)

2014

  1. A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) Downloads View citations (18)
  2. A One Line Derivation of EGARCH
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (39)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads View citations (45)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) Downloads View citations (45)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2014) Downloads View citations (45)

    See also Journal Article in Econometrics (2014)
  3. A Tourism Conditions Index
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) Downloads View citations (1)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads View citations (1)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads View citations (2)
  4. A Tourism Financial Conditions Index
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    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads View citations (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2014) Downloads View citations (1)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) Downloads View citations (1)
  5. Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads

    See also Journal Article in International Review of Economics & Finance (2015)
  6. Asymmetric Realized Volatility Risk
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads

    See also Journal Article in Journal of Risk and Financial Management (2014)
  7. Asymmetry and Leverage in Conditional Volatility Models
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (44)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads View citations (44)

    See also Journal Article in Econometrics (2014)
  8. Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2014) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads
  9. Econometric Analysis of Financial Derivatives
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (5)
  10. Econometric Analysis of Financial Derivatives: An Overview
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) Downloads

    See also Journal Article in Journal of Econometrics (2015)
  11. European Market Portfolio Diversifcation Strategies across the GFC
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (3)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads View citations (1)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads View citations (1)
  12. Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads View citations (7)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2015)
  13. Hedge Fund Portfolio Diversification Strategies Across the GFC
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) Downloads View citations (2)
  14. Just How Good are the Top Three Journals in Finance? An Assessment Based on Quantity and Quality Citations
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (4)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2014) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads

    See also Journal Article in Annals of Financial Economics (AFE) (2014)
  15. Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) Downloads View citations (1)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads View citations (1)
  16. On the Invertibility of EGARCH
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) Downloads View citations (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2014) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads
  17. Quality Weighted Citations Versus Total Citations in the Sciences and Social Sciences
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (5)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads View citations (14)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads View citations (8)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2014) Downloads
  18. Ranking Economics and Econometrics ISI Journals by Quality Weighted Citations
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads View citations (7)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2014) Downloads View citations (1)

    See also Journal Article in Review of Economics (2014)
  19. Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (6)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (3)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads View citations (5)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads View citations (5)

    See also Journal Article in Econometrics (2013)
  20. Risk Measurement and Risk Modelling Using Applications of Vine Copulas
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads View citations (2)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads View citations (2)
  21. Survival Analysis of Very Low Birth Weight Infant Mortality in Taiwan
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2014) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) Downloads
  22. The Maximum Number of Parameters for the Hausman Test When the Estimators are from Different Sets of Equations
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads

    See also Journal Article in Economics Letters (2014)
  23. Volatility Spillovers from Australia's Major Trading Partners across the GFC
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads View citations (1)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) Downloads View citations (3)

    See also Journal Article in International Review of Economics & Finance (2017)

2013

  1. A Capital Adequacy Buffer Model
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads

    See also Journal Article in Applied Economics Letters (2016)
  2. A Fractionally Integrated Wishart Stochastic Volatility Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads

    See also Journal Article in Econometric Reviews (2017)
  3. A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012) Downloads

    See also Journal Article in Journal of Risk and Financial Management (2013)
  4. Analyzing Fixed-Event Forecast Revisions
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads View citations (4)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads

    See also Journal Article in International Journal of Forecasting (2013)
  5. Are Forecast Updates Progressive?
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads View citations (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads View citations (5)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads

    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2013)
  6. Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (12)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads View citations (15)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads View citations (14)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads View citations (25)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) Downloads View citations (26)

    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2013)
  7. Estimating Implied Recovery Rates from the Term Structure of CDS Spreads
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads
  8. Financial Dependence Analysis: Applications of Vine Copulae
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads View citations (5)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads View citations (5)

    See also Journal Article in Statistica Neerlandica (2013)
  9. Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) Downloads

    See also Journal Article in International Review of Economics & Finance (2015)
  10. GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads View citations (3)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads

    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2013)
  11. Has the Basel Accord Improved Risk Management During the Global Financial Crisis
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (17)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (8)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads View citations (3)

    See also Journal Article in The North American Journal of Economics and Finance (2013)
  12. Herding, Information Cascades and Volatility Spillovers in Futures Markets
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads

    See also Journal Article in Journal of Reviews on Global Economics (2013)
  13. How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads

    See also Journal Article in Journal of Reviews on Global Economics (2012)
  14. Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (6)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (5)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads View citations (4)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) Downloads View citations (9)

    See also Journal Article in The North American Journal of Economics and Finance (2013)
  15. Journal Impact Factor, Eigenfactor, Journal Influence and Article Influence
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) Downloads
  16. Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (1)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads View citations (6)

    See also Journal Article in Journal of Econometrics (2015)
  17. Modeling and Simulation: An Overview
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads View citations (13)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads
  18. Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads View citations (2)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads View citations (1)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads View citations (1)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (1)

    See also Journal Article in Journal of Risk and Financial Management (2012)
  19. Nonparametric Multiple Change Point Analysis of the Global Financial Crisis
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (1)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads View citations (1)
  20. Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads View citations (2)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) Downloads

    See also Journal Article in The Japanese Economic Review (2016)
  21. Realized Volatility Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (8)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (6)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) Downloads View citations (7)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (1)
  22. Recent Developments in Financial Economics and Econometrics: An Overview
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (4)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads View citations (4)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) Downloads View citations (4)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (3)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads View citations (4)

    See also Journal Article in The North American Journal of Economics and Finance (2013)
  23. Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
  24. Risk Modeling and Management: An Overview
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads View citations (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads
  25. Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (3)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) Downloads View citations (2)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (2)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads
  26. Robust Estimation and Forecasting of the Capital Asset Pricing Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012) Downloads

    See also Journal Article in Annals of Financial Economics (AFE) (2013)
  27. Robust Ranking of Journal Quality: An Application to Economics
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Emory Economics, Department of Economics, Emory University (Atlanta) (2012) Downloads View citations (40)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads View citations (39)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) Downloads View citations (14)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012) Downloads View citations (6)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) Downloads View citations (12)

    See also Journal Article in Econometric Reviews (2016)
  28. Statistical Modelling of Extreme Rainfall in Taiwan
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012) Downloads
  29. Ten Things You Should Know About DCC
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (2)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) Downloads View citations (4)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads View citations (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads View citations (1)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (1)
  30. Ten Things You Should Know About the Dynamic Conditional Correlation Representation
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (34)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads View citations (34)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads View citations (31)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) Downloads View citations (35)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (29)

    See also Journal Article in Econometrics (2013)
  31. The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads View citations (1)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (1)

    See also Journal Article in The North American Journal of Economics and Finance (2014)
  32. Volatility Smirk as an Externality of Agency Conflict and Growing Debt
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads

    See also Journal Article in International Journal of Economic Theory (2015)
  33. Volatility Spillovers from the US to Australia and China across the GFC
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012) Downloads
  34. What Do Experts Know About Forecasting Journal Quality? A Comparison with ISI Research Impact in Finance
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads View citations (1)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) Downloads View citations (15)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (1)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads View citations (11)

    See also Journal Article in Annals of Financial Economics (AFE) (2013)

2012

  1. Asymmetric Adjustments in the Ethanol and Grains Markets
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (10)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (2)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads

    See also Journal Article in Energy Economics (2012)
  2. Estimating Price Effects in an Almost Ideal Demand Model of Outbound Thai Tourism to East Asia
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
  3. Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (6)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads View citations (6)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) Downloads View citations (6)

    See also Journal Article in Journal of Economic Surveys (2014)
  4. Globalization and Knowledge Spillover: International Direct Investment, Exports and Patents
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (8)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (2)

    See also Journal Article in Economics of Innovation and New Technology (2013)
  5. How Should Journal Quality be Ranked? An Application to Agricultural, Energy, Environmental and Resource Economics
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads

    See also Journal Article in Journal of Reviews on Global Economics (2014)
  6. Modelling Long Memory Volatility in Agricultural Commodity Futures Return
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (9)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads View citations (4)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (6)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) Downloads View citations (5)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012) Downloads View citations (4)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (7)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) Downloads View citations (6)

    See also Journal Article in Annals of Financial Economics (AFE) (2012)
  7. Ranking Journal Quality by Harmonic Mean of Ranks: An Application to ISI Statistics & Probability
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (13)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) Downloads View citations (6)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) Downloads View citations (25)

    See also Journal Article in Statistica Neerlandica (2013)
  8. Risk Management and Financial Derivatives: An Overview
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) Downloads

    See also Journal Article in The North American Journal of Economics and Finance (2013)
  9. Robust Ranking of Multivariate GARCH Models by Problem Dimension
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (2)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) Downloads View citations (4)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) Downloads View citations (3)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads View citations (6)

    See also Journal Article in Computational Statistics & Data Analysis (2014)
  10. Statistical Modeling of Recent Changes in Extreme Rainfall in Taiwan
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2012) Downloads
  11. Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (1)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads View citations (2)

    See also Journal Article in Quantitative Finance (2015)
  12. The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (2)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads View citations (2)
  13. What do Experts Know About Ranking Journal Quality? A Comparison with ISI Research Impact in Finance
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (1)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) Downloads View citations (2)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012) Downloads

2011

  1. Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (1)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) Downloads View citations (1)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (3)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads View citations (1)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (1)

    See also Journal Article in The Japanese Economic Review (2012)
  2. Asymmetry and Long Memory in Volatility Modelling
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (1)

    See also Journal Article in Journal of Financial Econometrics (2012)
  3. Causality Between Market Liquidity and Depth for Energy and Grains
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (1)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads View citations (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads View citations (2)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (2)

    See also Journal Article in Energy Economics (2012)
  4. Citations and Impact of ISI Tourism and Hospitality Journals
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (25)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads View citations (13)
  5. Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (4)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) Downloads View citations (29)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads View citations (7)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) Downloads View citations (18)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (7)

    See also Journal Article in The North American Journal of Economics and Finance (2013)
  6. Dynamic Conditional Correlations for Asymmetric Processes
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (3)
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
  7. Estimating the Impact of Whaling on Global Whale Watching
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
  8. Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 VIX
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (5)
  9. Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (5)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (5)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads View citations (10)

    See also Journal Article in Managerial Finance (2011)
  10. Evaluating Individual and Mean Non-Replicable Forecasts
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads

    See also Journal Article in Journal for Economic Forecasting (2012)
  11. Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) Downloads
  12. Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads

    See also Journal Article in International Journal of Forecasting (2012)
  13. Great Expectatrics: Great Papers, Great Journals, Great Econometrics
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (14)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (57)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (45)

    See also Journal Article in Econometric Reviews (2011)
  14. Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (5)
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (28)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (8)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009) Downloads View citations (6)
  15. How Volatile is ENSO?
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
  16. How are Journal Impact, Prestige and Article Influence Related? An Application to Neuroscience
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (3)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads View citations (3)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (40)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads View citations (35)

    See also Journal Article in Journal of Applied Statistics (2011)
  17. International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (4)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads View citations (19)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads View citations (4)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (9)

    See also Journal Article in Journal of Forecasting (2013)
  18. Investor Preferences for Oil Spot and Futures based on Mean-Variance and Stochastic Dominance
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads View citations (4)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) Downloads
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) Downloads
  19. Modelling and Forecasting Noisy Realized Volatility
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads View citations (1)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads

    See also Journal Article in Computational Statistics & Data Analysis (2012)
  20. Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (2)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (3)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads View citations (1)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads
  21. Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (2)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (2)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads View citations (2)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads View citations (2)
  22. Risk Management of Precious Metals
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (46)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads View citations (31)

    See also Journal Article in The Quarterly Review of Economics and Finance (2011)
  23. Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (7)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (19)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads View citations (7)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads View citations (15)

    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2013)
  24. Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (11)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads View citations (11)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (12)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads View citations (14)

    See also Journal Article in Managerial Finance (2011)
  25. Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (2)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads View citations (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads

    See also Journal Article in Energy Economics (2013)
  26. Structure and Asymptotic theory for Nonlinear Models with GARCH Errors
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (1)

    See also Journal Article in Economia (2015)
  27. Testing the Box-Cox Parameter for an Integrated Process
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads
  28. The Dynamics of Energy-Grain Prices with Open Interest
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (1)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads
  29. The Rise and Fall of S&P500 Variance Futures
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (9)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads View citations (1)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (6)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads View citations (1)

    See also Journal Article in The North American Journal of Economics and Finance (2013)
  30. Volatility Spillovers from the Chinese Stock Market to Economic Neighbours
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (4)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads View citations (4)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads

    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2013)

2010

  1. A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (15)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009) Downloads
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads

    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2010)
  2. A Trinomial Test for Paired Data When There are Many Ties
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads

    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2011)
  3. Alternative Asymmetric Stochastic Volatility Models
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (9)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (1)

    See also Journal Article in Econometric Reviews (2011)
  4. Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (9)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) Downloads View citations (9)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads View citations (4)
  5. Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (44)
    See also Journal Article in Energy Economics (2010)
  6. Article Influence Score = 5YIF divided by 2
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
  7. Block Structure Multivariate Stochastic Volatility Models
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (27)
  8. Combining Non-Replicable Forecasts
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads
  9. Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (5)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads

    See also Journal Article in Energy Economics (2011)
  10. Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (17)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (3)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads View citations (4)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (23)

    See also Journal Article in Journal of Economic Surveys (2012)
  11. Evaluating Combined Non-Replicable Forecast
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads
  12. Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (1)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads
  13. Forecasting Realized Volatility with Linear and Nonlinear Models
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (1)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads
  14. Forecasting Realized Volatility with Linear and Nonlinear Univariate Models
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (1)
    See also Journal Article in Journal of Economic Surveys (2011)
  15. GFC-Robust Risk Management Strategies under the Basel Accord
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (2)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (7)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2010) Downloads View citations (13)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (11)

    See also Journal Article in International Review of Economics & Finance (2013)
  16. How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (16)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (18)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (4)

    See also Journal Article in International Journal of Forecasting (2011)
  17. How does Zinfluence Affect Article Influence?
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads
  18. IV Estimation of a Panel Threshold Model of Tourism Specialization and Economic Development
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (2)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) Downloads View citations (14)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (2)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads View citations (2)
  19. Identifying Shocks in Regionally Integrated East Asian Economies with Structural VAR and Block Exogeneity
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (5)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (9)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads View citations (21)

    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2011)
  20. Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (6)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (3)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (2)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads View citations (5)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (1)
  21. Journal Impact Factor Versus Eigenfactor and Article Influence
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (6)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (6)
  22. Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (21)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (37)

    See also Journal Article in Energy Economics (2010)
  23. Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (11)
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) Downloads View citations (9)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) Downloads View citations (9)
  24. Model Selection and Testing of Conditional and Stochastic Volatility Models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (22)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (29)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (10)
  25. Modeling the Effect of Oil Price on Global Fertilizer Prices
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (2)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (2)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads
  26. Modeling the Volatility in Global Fertilizer Prices
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads
  27. Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (6)
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (1)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads View citations (7)

    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2011)
  28. Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (3)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009) Downloads View citations (3)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads

    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2011)
  29. Moment Restriction-based Econometric Methods: An Overview
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads
  30. Moment-based estimation of smooth transition regression models with endogenous variables
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (1)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (3)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2008) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2011)
  31. Ranking Multivariate GARCH Models by Problem Dimension
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (4)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads View citations (7)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) Downloads View citations (5)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) Downloads View citations (2)
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2010) Downloads View citations (8)
  32. Ten Things We Should Know About Time Series
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (2)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads View citations (1)

    See also Journal Article in Journal of Economic Surveys (2011)
  33. Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (3)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2008) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) Downloads
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) Downloads

    See also Journal Article in Statistica Neerlandica (2011)
  34. Time Series Modelling of Tourism Demand from the USA, Japan and Malaysia to Thailand
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
  35. Value-at-Risk for Country Risk Ratings
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (3)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (2)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads

    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2011)
  36. What Makes a Great Journal Great in Economics? The Singer Not the Song
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (35)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (53)

    See also Journal Article in Journal of Economic Surveys (2011)
  37. What Makes a Great Journal Great in the Sciences? Which Came First, the Chicken or the Egg?
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (1)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (62)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads

2009

  1. A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (48)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2008) Downloads View citations (5)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (12)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009) Downloads View citations (13)
  2. A General Asymptotic Theory for Time Series Models
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    See also Journal Article in Statistica Neerlandica (2010)
  3. A Panel Threshold Model of Tourism Specialization and Economic Development
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (12)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (1)
  4. A Scientific Classification of Volatility Models
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (1)
    See also Journal Article in Journal of Economic Surveys (2010)
  5. An Econometric Analysis of SARS and Avian Flu on International Tourist Arrivals to Asia
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2008) Downloads View citations (8)
  6. Asymmetry and Leverage in Realized Volatility
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2008) Downloads
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (1)
  7. Cruising is Risky Business
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (1)
  8. Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (6)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads View citations (7)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (8)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads View citations (8)

    See also Journal Article in Korean Economic Review (2009)
  9. Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Downloads View citations (61)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009) Downloads View citations (32)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (7)
  10. Does the FOMC Have Expertise, and Can It Forecast?
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2008) Downloads
  11. Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Downloads View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads
  12. Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Downloads View citations (1)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (1)
  13. Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (3)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads View citations (4)
  14. How Accurate are Government Forecast of Economic Fundamentals?
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (2)
  15. It Pays to Violate: How Effective are the Basel Accord Penalties?
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Downloads
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads
  16. Modeling Exchange Rate and Industrial Commodity Volatility Transmissions
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads View citations (4)
  17. Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (14)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads View citations (22)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (11)
  18. Modelling International Tourist Arrivals and Volatility: An Application to Taiwan
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (9)
    Also in "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2009) Downloads View citations (16)
  19. Modelling Short and Long Haul Volatility in Japanese Tourist Arrivals to New Zealand and Taiwan
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (3)
  20. Modelling Sustainable International Tourism Demand to the Brazilian Amazon
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (10)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2008) Downloads View citations (9)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (4)
  21. Modelling and Forecasting Daily International Mass Tourism to Peru
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (22)
  22. Modelling the Growth and Volatility in Daily International Mass Tourism to Peru
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (8)
  23. Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (4)
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (4)

    See also Journal Article in Applied Economics (2010)
  24. On the Robustness of Alternative Rankings Methodologies For Australian and New Zealand Economics Departments
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
  25. Optimal Risk Management Before, During and After the 2008-09 Financial Crisis
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (1)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads
    MPRA Paper, University Library of Munich, Germany (2009) Downloads
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (8)
  26. Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (3)
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads View citations (1)

    See also Journal Article in International Review of Economics & Finance (2010)
  27. Risk Management for International Tourist Arrivals: An Application to the Balearic Islands, Spain
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (2)
  28. Testing the Box-Cox Parameter in an Integrated Process
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
  29. The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    See also Journal Article in Journal of Economic Surveys (2009)
  30. The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (18)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (30)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (19)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2008) Downloads View citations (3)

    See also Journal Article in Journal of Economic Surveys (2009)
  31. VaR Forecast and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (1)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (1)
  32. Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Downloads View citations (9)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (10)
  33. What Happened to Risk Management During the 2008-09 Financial Crisis?
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (2)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (3)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009) Downloads View citations (11)

2008

  1. A simple expected volatility (SEV) index
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
  2. Expert opinion versus expertise in forecasting
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (2)
    See also Journal Article in Statistica Neerlandica (2009)
  3. Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (7)
    See also Journal Article in The Quarterly Review of Economics and Finance (2009)

2007

  1. Econometric modelling in finance and risk management: An overview
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2008)
  2. On the Robustness of Alternative Rankings Methodologies: Australian and New Zealand Economics Departments, 1988-2002
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  3. Patent Activity and Technical Change
    DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada Downloads View citations (4)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2003) Downloads

    See also Journal Article in Journal of Econometrics (2007)

2006

  1. Multivariate Stochastic Volatility
    Microeconomics Working Papers, East Asian Bureau of Economic Research Downloads View citations (57)
  2. Realized volatility: a review
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (46)
    See also Journal Article in Econometric Reviews (2008)

2005

  1. Asymmetric Multivariate Stochastic Volatility
    DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada Downloads View citations (9)
    See also Journal Article in Econometric Reviews (2006)
  2. Managing Value-at-Risk in Daily Tourist Tax Revenues for the Maldives
    DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada Downloads
  3. Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments
    DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada Downloads View citations (3)
    See also Journal Article in Econometric Reviews (2009)
  4. Risk Management of Daily Tourist Tax Revenues for the Maldives
    Working Papers, Fondazione Eni Enrico Mattei Downloads View citations (3)

2004

  1. Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns
    Working Papers, Fondazione Eni Enrico Mattei Downloads View citations (4)
    See also Journal Article in Finance Research Letters (2006)
  2. Modelling Environmental Risk
    IHEID Working Papers, Economics Section, The Graduate Institute of International Studies Downloads View citations (12)

2003

  1. Asian Monetary Integration: A Structural VAR Approach
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (9)
    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2004)
  2. Asymptotic Properties of the Estimator of the Long-run Coefficient in a Dynamic Model with Integrated Regressors and Serially Correlated Errors
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    Also in ISER Discussion Paper, Institute of Social and Economic Research, Osaka University (2001) Downloads

    See also Journal Article in The Japanese Economic Review (2003)
  3. Convergence and Catching Up in ASEAN: A Comparative Analysis
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (3)
    See also Journal Article in Applied Economics (2004)
  4. Ecologically Sustainable Tourism Management
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (2)
  5. Environmental Technology Strengths: International Rankings Based on US Patent Data
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (1)
  6. Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (13)
    Also in ISER Discussion Paper, Institute of Social and Economic Research, Osaka University (2001) Downloads View citations (7)

    See also Journal Article in Econometric Reviews (2003)
  7. Fat Tails and Asymmetry in Financial Volatility Models
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (8)
    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2004)
  8. Input-output Structure and Growth in China
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2004)
  9. Modelling International Travel Demand from Singapore to Australia
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (4)
  10. Modelling the Asymmetric Volatility of Electronics Patents in the USA
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2004)
  11. On the Structure, Asymptotic Theory and Applications of STAR-GARCH Models
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (1)
  12. Pricing of Non-ferrous Metals Futures on the London Metal Exchange
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (1)
    See also Journal Article in Applied Financial Economics (2006)
  13. Regression Quantiles for Unstable Autoregressive Models
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    Also in ISER Discussion Paper, Institute of Social and Economic Research, Osaka University (2001) Downloads

    See also Journal Article in Journal of Multivariate Analysis (2004)
  14. Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (3)
  15. Volatility Models of Currency Futures in Developed and Emerging Markets
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2004)

2002

  1. Volatility of a Market Index and its Components: An Application to Commodity Markets
    Computing in Economics and Finance 2002, Society for Computational Economics Downloads View citations (1)

2001

  1. A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University Downloads View citations (5)
  2. Asymptotic Theory for a Vector ARMA-GARCH Model
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University Downloads
    See also Journal Article in Econometric Theory (2003)
  3. Comparing Tests of Autoregressive Versus Moving Average Errors in Regression Models Using Bahadur's Asymptotic Relative Efficiency
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University Downloads
  4. Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University Downloads
    See also Journal Article in Applied Financial Economics (2003)
  5. Modelling the Determinants of International Tourism Demand to Australia
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University Downloads View citations (4)
  6. Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University Downloads View citations (56)
    See also Journal Article in Econometric Theory (2002)
  7. On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University Downloads View citations (91)
  8. Stationarity and the Existence of Moments of a Family of GARCH Processes
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University Downloads View citations (7)
    See also Journal Article in Journal of Econometrics (2002)
  9. Testing Multiple Non-nested Factor Demand Systems
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University Downloads View citations (2)
  10. Time Series Forecasts of International Tourism Demand for Australia
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University Downloads View citations (17)

1995

  1. Testing Nested and Non-Nested Periodically Integrated Autoregressive Models
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
    Also in Working Papers, Tilburg - Center for Economic Research (1995) View citations (4)

1994

  1. Simplicity, scientific inference and econometric modelling
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (15)

1993

  1. Cointegration and Direct Tests of the Rational Expectations Hypothesis
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (7)

1991

  1. COMPARING THE EMPIRICAL PERFOMANCE OF ALTERNATIVE DEMAND SYSTEMS
    Working Papers, Tilburg - Center for Economic Research
    Also in Working Papers, Tilburg - Center for Economic Research (1991) View citations (4)
    Discussion Paper, Tilburg University, Center for Economic Research (1991) Downloads View citations (2)

1990

  1. A MOTE CARLO COMPARISON OF OLS,IV,FIML AND BOOTSTRAP STANDARD ERRORS IN LINEAR MODELS WITH GENERATED REGRESSORS
    Working Papers, Australian National University - Department of Economics
  2. ALTERNATIVE APPROACHES TO TESTING NON-NESTED MODELS WITH AUTOCORRELATED DISTURBANCES: AN APPLICATION TO MODELS OF U.S. UNEMPLOYMENT
    Working Papers, California Los Angeles - Applied Econometrics
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990)
    Discussion Paper, Tilburg University, Center for Economic Research (1990) Downloads
  3. Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing
    Working Papers, Australian National University - Department of Economics View citations (5)
    See also Journal Article in Journal of Applied Econometrics (1995)
  4. DISCRIMINATION BETWEEN NESTED TWO- AND THREE-PARAMETER DISTRIBUTIONS: AN APPLICATION TO MODELS OF AIR POLLUTION
    Working Papers, Tilburg - Center for Economic Research
    Also in Working Papers, Australian National University - Department of Economics (1990)
    Discussion Paper, Tilburg University, Center for Economic Research (1990) Downloads
  5. DISCRIMINATION PROCEDURES FOR FITTING NESTED AND NON-NESTED DISTRIBUTIONS TO ENVIRONMENTAL QUALITY DATA
    Working Papers, Australian National University - Department of Economics
  6. ESTIMATION AND DISCRIMINATION OF ALTERNATIVE AIR POLLUTION MODELS
    Working Papers, Australian National University - Department of Economics View citations (5)
  7. KEYNESIAN AND NEW CLASSICAL MODELS OF UNEMPLOYMENT REVISITED
    Working Papers, Tilburg - Center for Economic Research
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1990) Downloads

    See also Journal Article in Economic Journal (1991)
  8. ON THE ROBUSTNESS OF BARRO'S NEW CLASSICAL UNEMPLOYMENT MODEL
    Working Papers, Australian National University - Department of Economics View citations (4)
  9. On Efficient Estimation and Correct Inference in Models with Generated Regressions: A General Approach
    Working Papers, Australian National University - Department of Economics View citations (6)
    See also Journal Article in The Japanese Economic Review (1997)
  10. SIMPLE PROCEDURES FOR TESTING AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS
    Working Papers, Australian National University - Department of Economics View citations (1)
    See also Journal Article in The Japanese Economic Review (1999)

1989

  1. A NEW APPROACH TO MAXIMUM LIKELIHOOD ESTIMATION OF THE THREE-PARAMATER GAMMA AND WEIBULL DISTRIBUTIONS
    Working Papers, Australian National University - Department of Economics View citations (2)
  2. ESTIMATING THE PERCENTILES OF SOME MISSPECIFIED NON-NESTED DISTRIBUTIONS
    Working Papers, Australian National University - Department of Economics View citations (1)
  3. JOINT TEST OF NON-NESTED MODELS AND GENERAL ERRO SPECIFICATIONS
    Working Papers, California Los Angeles - Applied Econometrics
  4. JOINT TESTS OF NON-NESTED MODLS AND GENERAL ERROR SPECIFICATIONS
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (1)
  5. ON THE ROBUSTNESS OF TESTS OF OUTLIERS AND FUNCTIONAL FORM
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (1)
  6. THE EFFECTS OF MISSPECIFICATION IN ESTIMATING THE PERCENTILES OF SOME TWO -AND THREE-PARAMETER DISTRIBUTIONS
    Working Papers, Australian National University - Department of Economics View citations (1)
    Also in ISER Discussion Paper, Institute of Social and Economic Research, Osaka University (1989) View citations (1)

    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (1990)

1988

  1. SOME POWER COMPARISONS OF JOINT AND PAIRED TESTS FOR NON-NESTED MODELS UNDER LOCAL HYPOTHESES
    Working Papers, Australian National University - Department of Economics View citations (9)
    See also Journal Article in Econometric Theory (1989)

1985

  1. On the Consistency of Joint and Paired Tests for Non-Nested Regression Models
    Working Papers, Queen's University, Department of Economics View citations (3)
  2. What Will Take the Con Out of Econometrics?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (72)
    See also Journal Article in American Economic Review (1985)

1982

  1. A Note on Identifiability in the Linear Expenditure Family
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
    See also Journal Article in Australian Economic Papers (1982)
  2. Separate Misspecified Regressions and the U.S. Long Run Demand for Money Function
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (2)
    See also Journal Article in The Review of Economics and Statistics (1982)
  3. Testing Separate Regression Models Subject to Specification Error
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (1)
    Also in Working Papers, Queen's University, Department of Economics (1981)

    See also Journal Article in Journal of Econometrics (1982)

1981

  1. Alternative Procedures and Associated Tests of Significance for Non-Nested Hypotheses
    Working Papers, Queen's University, Department of Economics View citations (35)
    See also Journal Article in Journal of Econometrics (1981)
  2. Exact Tests of a Model Against Non-Nested Alternatives
    Working Papers, Queen's University, Department of Economics View citations (5)
  3. Separate Misspecified Regressions
    Working Papers, Queen's University, Department of Economics View citations (2)

1980

  1. Exogeneity and Money Demand in a Small Open Economy: The Canadian Case
    Working Papers, Queen's University, Department of Economics
  2. Interest Rates and Durability in the Linear Expenditure Family
    Working Papers, Queen's University, Department of Economics
    See also Journal Article in Canadian Journal of Economics (1981)
  3. Principles and Methods in the Testing of Alternative Models
    Working Papers, Queen's University, Department of Economics
  4. The Interpretation of the Cox Test in Econometrics
    Working Papers, Queen's University, Department of Economics View citations (2)
  5. Two Papers on Linear Models
    Working Papers, Queen's University, Department of Economics
  6. Two Papers on Model Testing and Discrimination
    Working Papers, Queen's University, Department of Economics

1979

  1. Durable Goods in the Extended Linear Expenditure System: An Empirical Appraisal
    Working Papers, Queen's University, Department of Economics
  2. Estimation of the Consumption Function: A Systems Approach to Employment Effects on the Purchases of Durables
    Working Papers, Queen's University, Department of Economics
  3. Problems of Estimating the Linear Expenditure System and its Related Forms
    Working Papers, Queen's University, Department of Economics
  4. Theory and Econometric Evaluation of a Systems Approach to Money Demand, The Canadian Case
    Working Papers, Queen's University, Department of Economics

1978

  1. Application of Transitional Phase Polynomials to a Model of Trade Union Growth in Canada
    Working Papers, Queen's University, Department of Economics

Undated

  1. Some exact tests for model specification
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    See also Journal Article in The Review of Economics and Statistics (1983)

Journal Articles

2017

  1. A Simple Test for Causality in Volatility
    Econometrics, 2017, 5, (1), 1-5 Downloads View citations (5)
    See also Working Paper (2016)
  2. A fractionally integrated Wishart stochastic volatility model
    Econometric Reviews, 2017, 36, (1-3), 42-59 Downloads
    See also Working Paper (2013)
  3. Prediction of Gas Concentration Based on the Opposite Degree Algorithm
    Journal of Reviews on Global Economics, 2017, 6, 154-162 Downloads
    See also Working Paper (2016)
  4. Re-Opening the Silk Road to Transform Chinese Trade
    Journal of Reviews on Global Economics, 2017, 6, 225-232 Downloads
    See also Working Paper (2017)
  5. Recent Topical Research on Global, Energy, Health & Medical, and Tourism Economics, and Global Software: An Overview
    Journal of Reviews on Global Economics, 2017, 6, 218-224 Downloads
  6. Theravada Buddhism and Thai Luxury Fashion Consumption
    Journal of Reviews on Global Economics, 2017, 6, 58-67 Downloads View citations (2)
    See also Working Paper (2017)
  7. Volatility Spillovers from Australia's major trading partners across the GFC
    International Review of Economics & Finance, 2017, 47, (C), 159-175 Downloads
    See also Working Paper (2014)

2016

  1. A capital adequacy buffer model
    Applied Economics Letters, 2016, 23, (3), 175-179 Downloads
    See also Working Paper (2013)
  2. Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis
    Journal of Risk and Financial Management, 2016, 9, (2), 1-18 Downloads View citations (3)
  3. Market integration dynamics and asymptotic price convergence in distribution
    Economic Modelling, 2016, 52, (PB), 913-925 Downloads
    See also Working Paper (2015)
  4. Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies
    Risks, 2016, 4, (1), 1-14 Downloads
    See also Working Paper (2015)
  5. Profiteering from the Dot-Com Bubble, Subprime Crisis and Asian Financial Crisis
    The Japanese Economic Review, 2016, 67, (3), 257-279 Downloads
    See also Working Paper (2013)
  6. Quality weighted citations versus total citations in the sciences and social sciences, with an application to finance and accounting
    Managerial Finance, 2016, 42, (4), 324-337 Downloads
    See also Working Paper (2015)
  7. Robust Ranking of Journal Quality: An Application to Economics
    Econometric Reviews, 2016, 35, (1), 50-97 Downloads View citations (3)
    See also Working Paper (2013)

2015

  1. Advances in financial risk management and economic policy uncertainty: An overview
    International Review of Economics & Finance, 2015, 40, (C), 1-7 Downloads View citations (8)
    See also Working Paper (2014)
  2. Bibliometric Rankings of Journals Based on the Thomson Reuters Citations Database
    Journal of Reviews on Global Economics, 2015, 4, 120-125 Downloads
    See also Working Paper (2015)
  3. Econometric analysis of financial derivatives: An overview
    Journal of Econometrics, 2015, 187, (2), 403-407 Downloads View citations (1)
    See also Working Paper (2014)
  4. Forecasting Value-at-Risk using block structure multivariate stochastic volatility models
    International Review of Economics & Finance, 2015, 40, (C), 40-50 Downloads View citations (2)
    See also Working Paper (2013)
  5. Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
    Journal of Econometrics, 2015, 189, (2), 251-262 Downloads View citations (8)
    See also Working Paper (2014)
  6. Frontiers in Time Series and Financial Econometrics: An overview
    Journal of Econometrics, 2015, 189, (2), 245-250 Downloads
    See also Working Paper (2015)
  7. Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
    Journal of Econometrics, 2015, 187, (2), 436-446 Downloads View citations (7)
    See also Working Paper (2013)
  8. Preferences of risk-averse and risk-seeking investors for oil spot and futures before, during and after the Global Financial Crisis
    International Review of Economics & Finance, 2015, 40, (C), 204-216 Downloads View citations (7)
  9. Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China
    Quantitative Finance, 2015, 15, (5), 889-900 Downloads View citations (20)
    See also Working Paper (2012)
  10. Structure and asymptotic theory for nonlinear models with GARCH erros
    Economia, 2015, 16, (1), 1_21 Downloads
    See also Working Paper (2011)
  11. The Fundamental Equation in Tourism Finance
    Journal of Risk and Financial Management, 2015, 8, (4), 1-6 Downloads View citations (4)
    See also Working Paper (2015)
  12. Volatility smirk as an externality of agency conflict and growing debt
    International Journal of Economic Theory, 2015, 11, (4), 389-404 Downloads
    See also Working Paper (2013)

2014

  1. A One Line Derivation of EGARCH
    Econometrics, 2014, 2, (2), 1-6 Downloads View citations (45)
    See also Working Paper (2014)
  2. Asymmetric Realized Volatility Risk
    Journal of Risk and Financial Management, 2014, 7, (2), 1-30 Downloads
    See also Working Paper (2014)
  3. Asymmetry and Leverage in Conditional Volatility Models
    Econometrics, 2014, 2, (3), 1-6 Downloads View citations (44)
    See also Working Paper (2014)
  4. Comment
    Journal of Business & Economic Statistics, 2014, 32, (2), 174-175 Downloads
  5. EDITORIAL NOTE: INTRODUCTION TO THE INAUGURAL SPECIAL ISSUE
    Annals of Financial Economics (AFE), 2014, 09, (02), 1-1 Downloads
  6. EVALUATING MACROECONOMIC FORECASTS: A CONCISE REVIEW OF SOME RECENT DEVELOPMENTS
    Journal of Economic Surveys, 2014, 28, (2), 195-208 Downloads
    See also Working Paper (2012)
  7. How Should Journal Quality be Ranked? An Application to Agricultural, Energy, Environmental and Resource Economics
    Journal of Reviews on Global Economics, 2014, 3, 33-47 Downloads View citations (7)
    See also Working Paper (2012)
  8. JUST HOW GOOD ARE THE TOP THREE JOURNALS IN FINANCE? AN ASSESSMENT BASED ON QUANTITY AND QUALITY CITATIONS
    Annals of Financial Economics (AFE), 2014, 09, (01), 1-31 Downloads
    See also Working Paper (2014)
  9. Ranking Economics and Econometrics ISI Journals by Quality Weighted Citations
    Review of Economics, 2014, 65, (1), 35-52 Downloads View citations (9)
    See also Working Paper (2014)
  10. Report on the Fifth International Mathematics in Finance (MiF) Conference 2014, Skukuza, Kruger National Park, South Africa
    Journal of Risk and Financial Management, 2014, 7, (3), 1-3 Downloads
  11. Robust ranking of multivariate GARCH models by problem dimension
    Computational Statistics & Data Analysis, 2014, 76, (C), 172-185 Downloads View citations (5)
    See also Working Paper (2012)
  12. The impact of China on stock returns and volatility in the Taiwan tourism industry
    The North American Journal of Economics and Finance, 2014, 29, (C), 381-401 Downloads View citations (3)
    See also Working Paper (2013)
  13. The maximum number of parameters for the Hausman test when the estimators are from different sets of equations
    Economics Letters, 2014, 123, (3), 291-294 Downloads View citations (1)
    See also Working Paper (2014)

2013

  1. A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
    Journal of Risk and Financial Management, 2013, 6, (1), 1-25 Downloads
    See also Working Paper (2013)
  2. Analyzing fixed-event forecast revisions
    International Journal of Forecasting, 2013, 29, (4), 622-627 Downloads View citations (4)
    See also Working Paper (2013)
  3. Are forecast updates progressive?
    Mathematics and Computers in Simulation (MATCOM), 2013, 93, (C), 9-18 Downloads
    See also Working Paper (2013)
  4. Coercive journal self citations, impact factor, Journal Influence and Article Influence
    Mathematics and Computers in Simulation (MATCOM), 2013, 93, (C), 190-197 Downloads View citations (14)
    See also Working Paper (2013)
  5. Conditional correlations and volatility spillovers between crude oil and stock index returns
    The North American Journal of Economics and Finance, 2013, 25, (C), 116-138 Downloads View citations (43)
    See also Working Paper (2011)
  6. EDITORIAL NOTE — Statement of Intent
    Annals of Financial Economics (AFE), 2013, 08, (02), 1-3 Downloads
  7. Financial dependence analysis: applications of vine copulas
    Statistica Neerlandica, 2013, 67, (4), 403-435 Downloads View citations (7)
    See also Working Paper (2013)
  8. GFC-robust risk management strategies under the Basel Accord
    International Review of Economics & Finance, 2013, 27, (C), 97-111 Downloads View citations (10)
    See also Working Paper (2010)
  9. GFC-robust risk management under the Basel Accord using extreme value methodologies
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 223-237 Downloads
    See also Working Paper (2013)
  10. Globalization and knowledge spillover: international direct investment, exports and patents
    Economics of Innovation and New Technology, 2013, 22, (4), 329-352 Downloads View citations (1)
    See also Working Paper (2012)
  11. Has the Basel Accord improved risk management during the global financial crisis?
    The North American Journal of Economics and Finance, 2013, 26, (C), 250-265 Downloads View citations (19)
    See also Working Paper (2013)
  12. Herding, Information Cascades and Volatility Spillovers in Futures Markets
    Journal of Reviews on Global Economics, 2013, 2, 307-329 Downloads View citations (1)
    See also Working Paper (2013)
  13. International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord
    Journal of Forecasting, 2013, 32, (3), 267-288 View citations (7)
    See also Working Paper (2011)
  14. Is small beautiful? Size effects of volatility spillovers for firm performance and exchange rates in tourism
    The North American Journal of Economics and Finance, 2013, 26, (C), 519-534 Downloads View citations (8)
    See also Working Paper (2013)
  15. ROBUST ESTIMATION AND FORECASTING OF THE CAPITAL ASSET PRICING MODEL
    Annals of Financial Economics (AFE), 2013, 08, (02), 1-18 Downloads
    See also Working Paper (2013)
  16. Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc
    Econometrics, 2013, 1, (3), 1-19 Downloads View citations (13)
    See also Working Paper (2014)
  17. Ranking journal quality by harmonic mean of ranks: an application to ISI statistics & probability
    Statistica Neerlandica, 2013, 67, (1), 27-53 Downloads View citations (6)
    See also Working Paper (2012)
  18. Recent developments in financial economics and econometrics: An overview
    The North American Journal of Economics and Finance, 2013, 26, (C), 217–226 Downloads View citations (4)
    See also Working Paper (2013)
  19. Risk management and financial derivatives: An overview
    The North American Journal of Economics and Finance, 2013, 25, (C), 109-115 Downloads View citations (14)
    See also Working Paper (2012)
  20. Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 183-204 Downloads View citations (3)
    See also Working Paper (2011)
  21. Risk spillovers in oil-related CDS, stock and credit markets
    Energy Economics, 2013, 36, (C), 526-535 Downloads View citations (13)
    See also Working Paper (2011)
  22. Ten Things You Should Know about the Dynamic Conditional Correlation Representation
    Econometrics, 2013, 1, (1), 1-12 Downloads View citations (34)
    See also Working Paper (2013)
  23. The Journal of Risk and Financial Management in Open Access
    Journal of Risk and Financial Management, 2013, 6, (1), 1-3 Downloads
  24. The rise and fall of S&P500 variance futures
    The North American Journal of Economics and Finance, 2013, 25, (C), 151-167 Downloads View citations (1)
    See also Working Paper (2011)
  25. Volatility spillovers from the Chinese stock market to economic neighbours
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 238-257 Downloads View citations (5)
    See also Working Paper (2011)
  26. WHAT DO EXPERTS KNOW ABOUT FORECASTING JOURNAL QUALITY? A COMPARISON WITH ISI RESEARCH IMPACT IN FINANCE
    Annals of Financial Economics (AFE), 2013, 08, (01), 1-30 Downloads
    See also Working Paper (2013)

2012

  1. AGGREGATION, HETEROGENEOUS AUTOREGRESSION AND VOLATILITY OF DAILY INTERNATIONAL TOURIST ARRIVALS AND EXCHANGE RATES
    The Japanese Economic Review, 2012, 63, (3), 397-419 Downloads View citations (7)
    See also Working Paper (2011)
  2. Asymmetric adjustments in the ethanol and grains markets
    Energy Economics, 2012, 34, (6), 1990-2002 Downloads View citations (12)
    See also Working Paper (2012)
  3. Asymmetry and Long Memory in Volatility Modeling
    Journal of Financial Econometrics, 2012, 10, (3), 495-512 Downloads View citations (25)
    See also Working Paper (2011)
  4. Causality between market liquidity and depth for energy and grains
    Energy Economics, 2012, 34, (5), 1683-1692 Downloads View citations (12)
    See also Working Paper (2011)
  5. DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS
    Journal of Economic Surveys, 2012, 26, (4), 736-751 Downloads View citations (57)
    See also Working Paper (2010)
  6. Evaluating Individual and Mean Non-Replicable Forecasts
    Journal for Economic Forecasting, 2012, (3), 22-43 Downloads
    See also Working Paper (2011)
  7. Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range
    International Journal of Forecasting, 2012, 28, (3), 557-574 Downloads View citations (6)
    See also Working Paper (2011)
  8. How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?
    Journal of Reviews on Global Economics, 2012, 1, 1-12 Downloads
    See also Working Paper (2013)
  9. It pays to violate: how effective are the Basel accord penalties in encouraging risk management?
    Accounting and Finance, 2012, 52, (1), 95-116 Downloads View citations (1)
  10. MODELLING LONG MEMORY VOLATILITY IN AGRICULTURAL COMMODITY FUTURES RETURNS
    Annals of Financial Economics (AFE), 2012, 07, (02), 1-27 Downloads
    See also Working Paper (2012)
  11. Modelling and forecasting noisy realized volatility
    Computational Statistics & Data Analysis, 2012, 56, (1), 217-230 Downloads View citations (14)
    See also Working Paper (2011)
  12. Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
    Journal of Risk and Financial Management, 2012, 5, (1), 1-37 Downloads View citations (4)
    See also Working Paper (2013)
  13. Professor Halbert L. White, 1950–2012
    Journal of Economic Surveys, 2012, 26, (4), 551-554 Downloads
  14. Testing for the Box–Cox parameter for an integrated process
    Mathematics and Computers in Simulation (MATCOM), 2012, 83, (C), 1-9 Downloads

2011

  1. A trinomial test for paired data when there are many ties
    Mathematics and Computers in Simulation (MATCOM), 2011, 81, (6), 1153-1160 Downloads
    See also Working Paper (2010)
  2. Alternative Asymmetric Stochastic Volatility Models
    Econometric Reviews, 2011, 30, (5), 548-564 Downloads View citations (13)
    See also Working Paper (2010)
  3. Crude oil hedging strategies using dynamic multivariate GARCH
    Energy Economics, 2011, 33, (5), 912-923 Downloads View citations (99)
    See also Working Paper (2010)
  4. Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX
    Managerial Finance, 2011, 37, (11), 1048-1067 Downloads View citations (7)
    See also Working Paper (2011)
  5. FORECASTING REALIZED VOLATILITY WITH LINEAR AND NONLINEAR UNIVARIATE MODELS
    Journal of Economic Surveys, 2011, 25, (1), 6-18 View citations (4)
    See also Working Paper (2010)
  6. Great Expectatrics: Great Papers, Great Journals, Great Econometrics
    Econometric Reviews, 2011, 30, (6), 583-619 Downloads View citations (7)
    See also Working Paper (2011)
  7. How accurate are government forecasts of economic fundamentals? The case of Taiwan
    International Journal of Forecasting, 2011, 27, (4), 1066-1075 Downloads View citations (19)
    See also Working Paper (2010)
  8. How are journal impact, prestige and article influence related? An application to neuroscience
    Journal of Applied Statistics, 2011, 38, (11), 2563-2573 Downloads View citations (19)
    See also Working Paper (2011)
  9. Identifying shocks in regionally integrated East Asian economies with structural VAR and block exogeneity
    Mathematics and Computers in Simulation (MATCOM), 2011, 81, (7), 1353-1364 Downloads View citations (7)
    See also Working Paper (2010)
  10. Modelling conditional correlations in the volatility of Asian rubber spot and futures returns
    Mathematics and Computers in Simulation (MATCOM), 2011, 81, (7), 1482-1490 Downloads View citations (5)
    See also Working Paper (2010)
  11. Modelling the asymmetric volatility in hog prices in Taiwan: The impact of joining the WTO
    Mathematics and Computers in Simulation (MATCOM), 2011, 81, (7), 1491-1506 Downloads View citations (9)
    See also Working Paper (2010)
  12. Moment-based estimation of smooth transition regression models with endogenous variables
    Journal of Econometrics, 2011, 165, (1), 100-111 Downloads View citations (10)
    See also Working Paper (2010)
  13. Monte Carlo option pricing with asymmetric realized volatility dynamics
    Mathematics and Computers in Simulation (MATCOM), 2011, 81, (7), 1247-1256 Downloads View citations (1)
  14. Risk management of precious metals
    The Quarterly Review of Economics and Finance, 2011, 51, (4), 435-441 Downloads View citations (46)
    See also Working Paper (2011)
  15. Risk management of risk under the Basel Accord: forecasting value-at-risk of VIX futures
    Managerial Finance, 2011, 37, (11), 1088-1106 Downloads View citations (9)
    See also Working Paper (2011)
  16. TEN THINGS WE SHOULD KNOW ABOUT TIME SERIES
    Journal of Economic Surveys, 2011, 25, (1), 185-188
    See also Working Paper (2010)
  17. Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
    Statistica Neerlandica, 2011, 65, (2), 125-163 Downloads View citations (6)
    See also Working Paper (2010)
  18. Value-at-Risk for country risk ratings
    Mathematics and Computers in Simulation (MATCOM), 2011, 81, (7), 1454-1463 Downloads View citations (2)
    See also Working Paper (2010)
  19. WHAT MAKES A GREAT JOURNAL GREAT IN ECONOMICS? THE SINGER NOT THE SONG
    Journal of Economic Surveys, 2011, 25, (2), 326-361 View citations (9)
    See also Working Paper (2010)

2010

  1. A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS
    Journal of Economic Surveys, 2010, 24, (1), 192-195 Downloads View citations (4)
    See also Working Paper (2009)
  2. A general asymptotic theory for time-series models
    Statistica Neerlandica, 2010, 64, (1), 97-111 Downloads View citations (6)
    See also Working Paper (2009)
  3. A simple expected volatility (SEV) index: Application to SET50 index options
    Mathematics and Computers in Simulation (MATCOM), 2010, 80, (10), 2079-2090 Downloads View citations (15)
    See also Working Paper (2010)
  4. Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets
    Energy Economics, 2010, 32, (6), 1445-1455 Downloads View citations (43)
    See also Working Paper (2010)
  5. Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach
    Energy Economics, 2010, 32, (5), 979-986 Downloads View citations (34)
    See also Working Paper (2010)
  6. Modelling the interactions across international stock, bond and foreign exchange markets
    Applied Economics, 2010, 42, (7), 825-850 Downloads View citations (11)
    See also Working Paper (2009)
  7. On the robustness of alternative rankings methodologies: Australian and New Zealand economics departments, 1988 to 2002
    Applied Economics, 2010, 42, (10), 1257-1268 Downloads View citations (1)
  8. Precious metals-exchange rate volatility transmissions and hedging strategies
    International Review of Economics & Finance, 2010, 19, (4), 633-647 Downloads View citations (82)
    See also Working Paper (2009)
  9. THE TEN COMMANDMENTS FOR MANAGING INVESTMENTS
    Journal of Economic Surveys, 2010, 24, (1), 196-200 Downloads View citations (35)

2009

  1. A risk map of international tourist regions in Spain
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (9), 2741-2758 Downloads
  2. ARMAX modelling of international tourism demand
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (9), 2879-2888 Downloads View citations (8)
  3. Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (8), 2535-2555 Downloads View citations (10)
  4. Daily Tourist Arrivals, Exchange Rates and Voatility for Korea and Taiwan
    Korean Economic Review, 2009, 25, 241-267 Downloads View citations (1)
    See also Working Paper (2009)
  5. Effects of international gold market on stock exchange volatility: evidence from asean emerging stock markets
    Economics Bulletin, 2009, 29, (2), 599-610 Downloads View citations (6)
  6. Expert opinion versus expertise in forecasting
    Statistica Neerlandica, 2009, 63, (3), 334-346 Downloads View citations (40)
    See also Working Paper (2008)
  7. Forecasting conditional correlations in stock, bond and foreign exchange markets
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (9), 2830-2846 Downloads View citations (5)
  8. In Memoriam
    Journal of Economic Surveys, 2009, 23, (4), 613-616 Downloads
  9. Linear and nonlinear causality between changes in consumption and consumer attitudes
    Economics Letters, 2009, 102, (3), 161-164 Downloads View citations (18)
  10. Mapping the Presidential Election Cycle in US stock markets
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (11), 3267-3277 Downloads View citations (20)
  11. Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments
    Econometric Reviews, 2009, 28, (6), 522-554 Downloads
    See also Working Paper (2005)
  12. Modelling and managing financial risk: An overview
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (8), 2521-2524 Downloads View citations (2)
  13. Modelling risk in agricultural finance: Application to the poultry industry in Taiwan
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (5), 1472-1487 Downloads View citations (6)
  14. Multivariate stochastic volatility, leverage and news impact surfaces
    Econometrics Journal, 2009, 12, (2), 292-309 Downloads View citations (32)
  15. Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets
    The Quarterly Review of Economics and Finance, 2009, 49, (3), 829-842 Downloads View citations (48)
    See also Working Paper (2008)
  16. Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
    Econometric Reviews, 2009, 28, (5), 422-440 Downloads View citations (141)
  17. THE TEN COMMANDMENTS FOR MANAGING VALUE AT RISK UNDER THE BASEL II ACCORD
    Journal of Economic Surveys, 2009, 23, (5), 850-855 Downloads View citations (43)
    See also Working Paper (2009)
  18. THE TEN COMMANDMENTS FOR OPTIMIZING VALUE-AT-RISK AND DAILY CAPITAL CHARGES
    Journal of Economic Surveys, 2009, 23, (5), 831-849 Downloads View citations (52)
    See also Working Paper (2009)
  19. The structure of dynamic correlations in multivariate stochastic volatility models
    Journal of Econometrics, 2009, 150, (2), 182-192 Downloads View citations (30)

2008

  1. A Portfolio Index GARCH model
    International Journal of Forecasting, 2008, 24, (3), 449-461 Downloads View citations (5)
  2. A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
    Journal of Econometrics, 2008, 147, (1), 104-119 Downloads View citations (78)
  3. A neural network demand system with heteroskedastic errors
    Journal of Econometrics, 2008, 147, (2), 359-371 Downloads View citations (4)
  4. An alternative approach to estimating demand: Neural network regression with conditional volatility for high frequency air passenger arrivals
    Journal of Econometrics, 2008, 147, (2), 372-383 Downloads View citations (12)
  5. Econometric modelling in finance and risk management: An overview
    Journal of Econometrics, 2008, 147, (1), 1-4 Downloads
    See also Working Paper (2007)
  6. Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares
    Pacific-Basin Finance Journal, 2008, 16, (4), 453-475 Downloads View citations (5)
  7. Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks
    Journal of Econometrics, 2008, 147, (1), 163-185 Downloads View citations (17)
  8. Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model
    Journal of Forecasting, 2008, 27, (1), 1-19 Downloads View citations (76)
  9. GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
    Econometric Theory, 2008, 24, (06), 1554-1583 Downloads View citations (121)
  10. How has volatility in metals markets changed?
    Mathematics and Computers in Simulation (MATCOM), 2008, 78, (2), 237-249 Downloads View citations (16)
  11. Is Greater China a currency union?
    Mathematics and Computers in Simulation (MATCOM), 2008, 78, (2), 319-327 Downloads View citations (1)
  12. Modelling international tourism demand and uncertainty in Maldives and Seychelles: A portfolio approach
    Mathematics and Computers in Simulation (MATCOM), 2008, 78, (2), 459-468 Downloads View citations (20)
  13. Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk
    Mathematics and Computers in Simulation (MATCOM), 2008, 78, (2), 155-171 Downloads View citations (8)
  14. Multivariate volatility in environmental finance
    Mathematics and Computers in Simulation (MATCOM), 2008, 78, (2), 189-199 Downloads View citations (1)
  15. Portfolio single index (PSI) multivariate conditional and stochastic volatility models
    Mathematics and Computers in Simulation (MATCOM), 2008, 78, (2), 209-214 Downloads
  16. Realized Volatility and Long Memory: An Overview
    Econometric Reviews, 2008, 27, (1-3), 1-9 Downloads View citations (6)
  17. Realized Volatility: A Review
    Econometric Reviews, 2008, 27, (1-3), 10-45 Downloads View citations (102)
    See also Working Paper (2006)
  18. Scalar BEKK and indirect DCC
    Journal of Forecasting, 2008, 27, (6), 537-549 Downloads View citations (71)
  19. Single-index and portfolio models for forecasting value-at-risk thresholds
    Journal of Forecasting, 2008, 27, (3), 217-235 Downloads View citations (76)

2007

  1. An econometric analysis of asymmetric volatility: Theory and application to patents
    Journal of Econometrics, 2007, 139, (2), 259-284 Downloads View citations (198)
  2. MEASURING RISK IN ENVIRONMENTAL FINANCE
    Journal of Economic Surveys, 2007, 21, (5), 970-998 Downloads View citations (4)
  3. Non-trading day effects in asymmetric conditional and stochastic volatility models
    Econometrics Journal, 2007, 10, (1), 113-123 Downloads View citations (2)
  4. Patent activity and technical change
    Journal of Econometrics, 2007, 139, (2), 355-375 Downloads View citations (4)
    See also Working Paper (2007)
  5. The econometrics of intellectual property: An overview
    Journal of Econometrics, 2007, 139, (2), 237-241 Downloads View citations (3)

2006

  1. Asymmetric Multivariate Stochastic Volatility
    Econometric Reviews, 2006, 25, (2-3), 453-473 Downloads View citations (44)
    See also Working Paper (2005)
  2. Dynamic Asymmetric GARCH
    Journal of Financial Econometrics, 2006, 4, (3), 385-412 Downloads View citations (17)
  3. HOW DOES COUNTRY RISK AFFECT INNOVATION? AN APPLICATION TO FOREIGN PATENTS REGISTERED IN THE USA
    Journal of Economic Surveys, 2006, 20, (4), 691-714 Downloads
  4. INTELLECTUAL PROPERTY AND ECONOMIC INCENTIVES
    Journal of Economic Surveys, 2006, 20, (4), 483-491 Downloads
  5. INTELLECTUAL PROPERTY LITIGATION ACTIVITY IN THE USA
    Journal of Economic Surveys, 2006, 20, (4), 715-729 Downloads View citations (9)
  6. Modeling dynamic conditional correlations in WTI oil forward and futures returns
    Finance Research Letters, 2006, 3, (2), 114-132 Downloads View citations (33)
    See also Working Paper (2004)
  7. Modelling time-varying conditional correlations in the volatility of Tapis oil spot and forward returns
    Applied Financial Economics, 2006, 16, (7), 525-533 Downloads View citations (25)
  8. Multivariate Stochastic Volatility: A Review
    Econometric Reviews, 2006, 25, (2-3), 145-175 Downloads View citations (155)
  9. Multivariate Stochastic Volatility: An Overview
    Econometric Reviews, 2006, 25, (2-3), 139-144 Downloads View citations (28)
  10. Pricing of non-ferrous metals futures on the London Metal Exchange
    Applied Financial Economics, 2006, 16, (12), 853-880 Downloads View citations (15)
    See also Working Paper (2003)

2005

  1. AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
    Econometric Theory, 2005, 21, (01), 232-261 Downloads View citations (335)
  2. Dynamic Asymmetric Leverage in Stochastic Volatility Models
    Econometric Reviews, 2005, 24, (3), 317-332 Downloads View citations (35)
  3. Estimation of Chinese agricultural production efficiencies with panel data
    Mathematics and Computers in Simulation (MATCOM), 2005, 68, (5), 474-483 Downloads View citations (10)
  4. Modelling the information content in insider trades in the Singapore exchange
    Mathematics and Computers in Simulation (MATCOM), 2005, 68, (5), 417-428 Downloads
  5. Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations
    Mathematics and Computers in Simulation (MATCOM), 2005, 69, (1), 46-56 Downloads View citations (1)
  6. Related commodity markets and conditional correlations
    Mathematics and Computers in Simulation (MATCOM), 2005, 68, (5), 567-579 Downloads View citations (1)
  7. Speculation and destabilisation
    Mathematics and Computers in Simulation (MATCOM), 2005, 69, (1), 151-161 Downloads View citations (1)
  8. Testing for contagion in ASEAN exchange rates
    Mathematics and Computers in Simulation (MATCOM), 2005, 68, (5), 517-525 Downloads View citations (13)
  9. The Ten Commandments for Academics
    Journal of Economic Surveys, 2005, 19, (5), 823-826 Downloads View citations (21)
  10. The ten commandments for ranking university quality
    Journal of Economic Surveys, 2005, 19, (4), 649-653 Downloads View citations (8)

2004

  1. An Empirical Assessment of Country Risk Ratings and Associated Models
    Journal of Economic Surveys, 2004, 18, (4), 539-588 Downloads View citations (24)
  2. Asian monetary integration: a structural VAR approach
    Mathematics and Computers in Simulation (MATCOM), 2004, 64, (3), 447-458 Downloads View citations (10)
    See also Working Paper (2003)
  3. Convergence and catching up in ASEAN: a comparative analysis
    Applied Economics, 2004, 36, (2), 137-153 Downloads View citations (16)
    See also Working Paper (2003)
  4. Econometric modelling of non-ferrous metal prices
    Journal of Economic Surveys, 2004, 18, (5), 651-701 Downloads View citations (20)
  5. Efficient estimation and testing of oil futures contracts in a mutual offset system
    Applied Financial Economics, 2004, 14, (13), 953-962 Downloads View citations (10)
  6. Fat tails and asymmetry in financial volatility models
    Mathematics and Computers in Simulation (MATCOM), 2004, 64, (3), 351-361 Downloads View citations (12)
    See also Working Paper (2003)
  7. First Special Issue: Selected Papers of the MSSANZ/IMACS 14th Biennial Conference on Modelling and Simulation, Canberra, Australia, December 2001
    Mathematics and Computers in Simulation (MATCOM), 2004, 64, (1), 1-2 Downloads
  8. Input–output structure and growth in China
    Mathematics and Computers in Simulation (MATCOM), 2004, 64, (1), 193-202 Downloads View citations (3)
    See also Working Paper (2003)
  9. Is a monetary union feasible for East Asia?
    Applied Economics, 2004, 36, (10), 1031-1043 Downloads View citations (17)
  10. Modelling the asymmetric volatility of electronics patents in the USA
    Mathematics and Computers in Simulation (MATCOM), 2004, 64, (1), 169-184 Downloads View citations (1)
    See also Working Paper (2003)
  11. Recursive modelling of symmetric and asymmetric volatility in the presence of extreme observations
    International Journal of Forecasting, 2004, 20, (1), 115-129 Downloads View citations (13)
  12. Regression quantiles for unstable autoregressive models
    Journal of Multivariate Analysis, 2004, 89, (2), 304-328 Downloads View citations (1)
    See also Working Paper (2003)
  13. Second Special Issue: Selected Papers of the MSSANZ/IMACS 14th Biennial Conference on Modelling and Simulation, Canberra, Australia, December 2001
    Mathematics and Computers in Simulation (MATCOM), 2004, 64, (3), 305-306 Downloads
  14. Trends and volatilities in foreign patents registered in the USA
    Applied Economics, 2004, 36, (6), 585-592 Downloads
  15. Volatility models of currency futures in developed and emerging markets
    Mathematics and Computers in Simulation (MATCOM), 2004, 64, (1), 79-93 Downloads View citations (3)
    See also Working Paper (2003)

2003

  1. ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
    Econometric Theory, 2003, 19, (02), 280-310 Downloads View citations (458)
    See also Working Paper (2001)
  2. Asymptotic Properties Of The Estimator Of The Long-Run Coefficient In A Dynamic Model With Integrated Regressors And Serially Correlated Errors
    The Japanese Economic Review, 2003, 54, (4), 420-438 Downloads
    See also Working Paper (2003)
  3. Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers
    Applied Financial Economics, 2003, 13, (8), 581-592 Downloads View citations (16)
    See also Working Paper (2001)
  4. Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
    Econometric Reviews, 2003, 22, (2), 179-202 Downloads View citations (15)
    See also Working Paper (2003)

2002

  1. A cointegration analysis of annual tourism demand by Malaysia for Australia
    Mathematics and Computers in Simulation (MATCOM), 2002, 59, (1), 197-205 Downloads View citations (6)
  2. Cointegration analysis of metals futures
    Mathematics and Computers in Simulation (MATCOM), 2002, 59, (1), 207-221 Downloads View citations (3)
  3. Economic growth and technological catching up by Singapore to the USA
    Mathematics and Computers in Simulation (MATCOM), 2002, 59, (1), 133-141 Downloads View citations (2)
  4. Financial volatility: an introduction
    Journal of Applied Econometrics, 2002, 17, (5), 419-424 Downloads View citations (7)
  5. Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence
    Journal of Applied Econometrics, 2002, 17, (5), 509-534 Downloads View citations (26)
  6. NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
    Econometric Theory, 2002, 18, (03), 722-729 Downloads View citations (131)
    See also Working Paper (2001)
  7. Non-linear modelling and forecasting of S&P 500 volatility
    Mathematics and Computers in Simulation (MATCOM), 2002, 59, (1), 233-241 Downloads View citations (2)
  8. Recent Theoretical Results for Time Series Models with GARCH Errors
    Journal of Economic Surveys, 2002, 16, (3), 245-69 Downloads View citations (166)
  9. Stationarity and the existence of moments of a family of GARCH processes
    Journal of Econometrics, 2002, 106, (1), 109-117 Downloads View citations (176)
    See also Working Paper (2001)
  10. The Econometrics of Financial Time Series
    Journal of Economic Surveys, 2002, 16, (3), 237-43 Downloads View citations (1)
  11. The International Congress on Modelling and Simulation: Hamilton, New Zealand, December 1999
    Journal of Economic Surveys, 2002, 16, (1), 111-21 Downloads View citations (2)
  12. The Ten Commandments for Presenting a Conference Paper
    Journal of Economic Surveys, 2002, 16, (2), 215-18 Downloads View citations (5)

2001

  1. Cointegration analysis of quarterly tourism demand by Hong Kong and Singapore for Australia
    Applied Economics, 2001, 33, (12), 1599-1619 Downloads View citations (23)
  2. Consumption, liquidity constraints, uncertainty and temptation: An international comparison
    Journal of Economic Psychology, 2001, 22, (1), 61-89 Downloads
  3. Efficient Estimation and Testing of Alternative Models of Currency Futures Contracts
    The Economic Record, 2001, 77, (238), 270-82 Downloads View citations (4)
  4. SIZE CHARACTERISTICS OF TESTS FOR SAMPLE SELECTION BIAS: A MONTE CARLO COMPARISON AND EMPIRICAL EXAMPLE
    Econometric Reviews, 2001, 20, (1), 105-112 Downloads View citations (9)
  5. The Ten Commandments for Attending a Conference
    Journal of Economic Surveys, 2001, 15, (5), 671-78 Downloads View citations (5)

2000

  1. A market-augmented model for SIMEX Brent crude oil futures contracts
    Applied Financial Economics, 2000, 10, (5), 543-552 Downloads View citations (4)
  2. A seasonal analysis of Asian tourist arrivals to Australia
    Applied Economics, 2000, 32, (4), 499-509 Downloads View citations (23)
  3. Direct Tests of the Permanent Income Hypothesis under Uncertainty, Inflationary Expectations and Liquidity Constraints
    Journal of Macroeconomics, 2000, 22, (2), 229-252 Downloads View citations (13)
  4. Pricing of Forward and Futures Contracts
    Journal of Economic Surveys, 2000, 14, (2), 215-53 Downloads View citations (12)
  5. Testing long-run neutrality using intra-year data
    Applied Economics, 2000, 32, (1), 25-37 Downloads View citations (5)
  6. Testing the risk premium and cost-of-carry hypotheses for currency futures contracts
    Applied Financial Economics, 2000, 10, (3), 277-289 Downloads View citations (3)

1999

  1. A seasonal analysis of Malaysian tourist arrivals to Australia
    Mathematics and Computers in Simulation (MATCOM), 1999, 48, (4), 573-583 Downloads View citations (7)
  2. ANALYTICAL POWER COMPARISONS OF NESTED AND NONNESTED TESTS FOR LINEAR AND LOGLINEAR REGRESSION MODELS
    Econometric Theory, 1999, 15, (01), 99-113 Downloads View citations (4)
  3. Estimation of alternative pricing models for currency futures contracts
    Mathematics and Computers in Simulation (MATCOM), 1999, 48, (4), 519-530 Downloads View citations (1)
  4. Simple Procedures for Testing Autoregressive Versus Moving Average Errors in Regression Models
    The Japanese Economic Review, 1999, 50, (3), 239-252 Downloads View citations (3)
    See also Working Paper (1990)
  5. Testing the life-cycle permanent income hypothesis using intra-year data for Sweden
    Mathematics and Computers in Simulation (MATCOM), 1999, 48, (4), 551-560 Downloads View citations (1)

1998

  1. Cointegration Analysis of Seasonal Time Series
    Journal of Economic Surveys, 1998, 12, (5), 651-678 Downloads View citations (9)
    Also in Journal of Economic Surveys, 1998, 12, (5), 651-78 (1998) Downloads View citations (21)
  2. Cointegration in Practice
    Journal of Economic Surveys, 1998, 12, (5), 417-22 Downloads View citations (7)
    Also in Journal of Economic Surveys, 1998, 12, (5), 417-422 (1998) Downloads View citations (2)
  3. Editorial
    Journal of Economic Surveys, 1998, 12, (5), i-i Downloads View citations (1)
  4. Switching Orthogonality
    International Economic Review, 1998, 39, (1), 171-82
  5. The International Congress on Modelling and Simulation, Hobart, Tasmania, December 1997
    Journal of Economic Surveys, 1998, 12, (4), 399-415 Downloads View citations (3)
  6. The Winter of My Content: The Econometric Society Australasian Meeting 1997, Melbourne, Australia
    Journal of Economic Surveys, 1998, 12, (1), 111-24 Downloads

1997

  1. A probit analysis of consumer behaviour in rural China
    Mathematics and Computers in Simulation (MATCOM), 1997, 43, (3), 527-534 Downloads
  2. Comparaison de la performance du point de vue empirique de systèmes de demandes alternatifs
    L'Actualité Economique, 1997, 73, (1), 27-45 Downloads View citations (1)
  3. Empirical Econometric Modelling of Food Consumption Using a New Informational Complexity Approach: Comments
    Journal of Applied Econometrics, 1997, 12, (5), 587-89 Downloads
  4. On Efficient Estimation and Correct Inference in Models with Generated Regressors: a General Approach
    The Japanese Economic Review, 1997, 48, (4), 368-389 Downloads View citations (39)
    See also Working Paper (1990)
  5. Pictures at an Exhibition: The Experiment in Applied Econometrics Conference, Tilburg, the Netherlands, 1996
    Journal of Economic Surveys, 1997, 11, (4), 419-32 Downloads
  6. Revisiting Tobin's 1950 Study of Food Expenditure: Comments
    Journal of Applied Econometrics, 1997, 12, (5), 553-57 Downloads
  7. Selected papers of the MSSA/IMACS 11th Biennial Conference on Modelling and Simulation, November 1995
    Mathematics and Computers in Simulation (MATCOM), 1997, 43, (3), 241-241 Downloads
  8. Statistical Demand Functions for Food in the USA and the Netherlands: Comments
    Journal of Applied Econometrics, 1997, 12, (5), 640-42 Downloads
  9. Testing periodically integrated autoregressive models
    Mathematics and Computers in Simulation (MATCOM), 1997, 43, (3), 457-465 Downloads
  10. The Ten Commandments for Organizing a Conference
    Journal of Economic Surveys, 1997, 11, (2), 231-33 Downloads View citations (5)
  11. The complexity of simplicity
    Mathematics and Computers in Simulation (MATCOM), 1997, 43, (3), 553-561 Downloads

1996

  1. The 7th World Congress of the Econometric Society: Tokyo, Japan, 1995
    Journal of Economic Surveys, 1996, 10, (1), 105-14 View citations (1)
  2. The Osaka Econometrics Conference: Osaka, Japan, 1995
    Journal of Economic Surveys, 1996, 10, (1), 115-22

1995

  1. Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing
    Journal of Applied Econometrics, 1995, 10, (2), 165-85 Downloads View citations (40)
    See also Working Paper (1990)
  2. Data mining and the con in econometrics: the U.S. demand for money revisited
    Mathematics and Computers in Simulation (MATCOM), 1995, 39, (3), 329-333 Downloads
  3. Empirical models for evaluating errors in fitting extremes of a probability distribution
    Mathematics and Computers in Simulation (MATCOM), 1995, 39, (1), 1-7 Downloads
  4. Selected papers of the MSSA/IMACS 10th Biennial Conference on Modelling and Simulation
    Mathematics and Computers in Simulation (MATCOM), 1995, 39, (3), 195-195 Downloads
  5. Simplicity, Scientific Interference and Econometric Modelling
    Economic Journal, 1995, 105, (428), 1-21 Downloads View citations (7)
  6. The performance of alternative estimators in models with generated regressors when the expectations equation has reduced explanatory power
    Mathematics and Computers in Simulation (MATCOM), 1995, 39, (3), 343-346 Downloads
  7. The significance of testing empirical non-nested models
    Journal of Econometrics, 1995, 67, (1), 149-171 Downloads View citations (26)

1994

  1. A note on the unbiasedness test of rationality using survey data
    Journal of Macroeconomics, 1994, 16, (2), 369-374 Downloads
  2. ON THE EFFECTS OF MISSPECIFICATION ERRORS IN MODELS WITH GENERATED REGRESSORS
    Oxford Bulletin of Economics and Statistics, 1994, 56, (4), 441-455 Downloads View citations (4)
    Also in Oxford Bulletin of Economics and Statistics, 1994, 56, (4), 441-55 (1994) View citations (5)
  3. Sherlock Holmes and the Search for Truth: A Diagnostic Tale
    Journal of Economic Surveys, 1994, 8, (4), 317-70 View citations (26)

1993

  1. Econometric Issues in Macroeconomic Models with Generated Regressors
    Journal of Economic Surveys, 1993, 7, (1), 1-40 View citations (87)

1992

  1. Bootstrap estimates of a new classical model of unemployment
    Mathematics and Computers in Simulation (MATCOM), 1992, 33, (5), 545-550 Downloads
  2. Efficient Estimation: The Rao-Zyskind Condition, Kruskal's Theorem and Ordinary Least Squares
    The Economic Record, 1992, 68, (200), 65-72 View citations (29)
  3. Modelling in econometrics: The deterrent effect of capital punishment
    Mathematics and Computers in Simulation (MATCOM), 1992, 33, (5), 519-532 Downloads View citations (3)
  4. On the use of extreme value distributions for predicting the upper percentiles of environmental quality data
    Mathematics and Computers in Simulation (MATCOM), 1992, 33, (5), 483-488 Downloads
  5. Properties of ordinary least squares estimators in regression models with nonspherical disturbances
    Journal of Econometrics, 1992, 54, (1-3), 321-334 Downloads View citations (31)
  6. Recursive estimation and generated regressors
    Economics Letters, 1992, 39, (1), 1-5 Downloads

1991

  1. Keynesian and New Classical Models of Unemployment Revisited
    Economic Journal, 1991, 101, (406), 359-81 Downloads View citations (8)
    See also Working Paper (1990)

1990

  1. The effects of misspecification in estimating the percentiles of some two- and three-parameter distributions
    Mathematics and Computers in Simulation (MATCOM), 1990, 32, (1), 197-202 Downloads View citations (1)
    See also Working Paper (1989)

1989

  1. A Monte Carlo Study of Some Tests of Model Adequacy in Time Series Analysis
    Journal of Business & Economic Statistics, 1989, 7, (1), 95-106 View citations (19)
  2. How Fragile Are Fragile Inferences? A Re-evaluation of the Deterrent Effect of Capital Punishment
    The Review of Economics and Statistics, 1989, 71, (1), 99-106 Downloads View citations (14)
  3. Some Power Comparisons of Joint and Paired Tests for Nonnested Models under Local Hypotheses
    Econometric Theory, 1989, 5, (01), 83-94 Downloads View citations (6)
    See also Working Paper (1988)

1988

  1. Variable Addition and LaGrange Multiplier Tests for Linear and Logarithmic Regression Models
    The Review of Economics and Statistics, 1988, 70, (3), 492-503 Downloads View citations (31)

1987

  1. Further Results on Testing AR (1) Against MA (1) Disturbances in the Linear Regression Model
    Review of Economic Studies, 1987, 54, (4), 649-663 Downloads View citations (8)
  2. On exact and asymptotic tests of non-nested models
    Statistics & Probability Letters, 1987, 5, (1), 19-22 Downloads

1986

  1. A further result on the sign of restricted least-squares estimates
    Journal of Econometrics, 1986, 32, (2), 287-290 Downloads View citations (2)

1985

  1. Testing separate models with stochastic regressors
    Economic Modelling, 1985, 2, (4), 331-338 Downloads
  2. What Will Take the Con out of Econometrics?
    American Economic Review, 1985, 75, (3), 293-307 Downloads View citations (58)
    See also Working Paper (1985)

1983

  1. Some Exact Tests for Model Specification
    The Review of Economics and Statistics, 1983, 65, (2), 351-54 Downloads View citations (1)
    See also Working Paper
  2. Testing Non-Nested Specifications of Money Demand for Canada
    Canadian Journal of Economics, 1983, 16, (4), 593-602 Downloads View citations (4)

1982

  1. A Note on Identifiability in the Linear Expenditure Family
    Australian Economic Papers, 1982, 21, (39), 416-20
    See also Working Paper (1982)
  2. Separate Misspecified Regressions and the U.S. Long-Run Demand for Money Function
    The Review of Economics and Statistics, 1982, 64, (4), 572-83 Downloads View citations (4)
    See also Working Paper (1982)
  3. Testing separate regression models subject to specification error
    Journal of Econometrics, 1982, 19, (1), 125-145 Downloads View citations (1)
    See also Working Paper (1982)

1981

  1. A small sample test for non-nested regression models
    Economics Letters, 1981, 7, (4), 335-338 Downloads View citations (1)
  2. Alternative procedures and associated tests of significance for non-nested hypotheses
    Journal of Econometrics, 1981, 16, (1), 103-119 Downloads View citations (53)
    See also Working Paper (1981)
  3. Interest Rates and Durability in the Linear Expenditure Family
    Canadian Journal of Economics, 1981, 14, (2), 331-41 Downloads View citations (1)
    See also Working Paper (1980)
  4. Simultaneity and the Demand for Money in Canada: Comments and Extensions
    Canadian Journal of Economics, 1981, 14, (3), 488-96 Downloads View citations (1)

1980

  1. The minimum error variance rule for non-linear regression models
    Economics Letters, 1980, 6, (1), 17-21 Downloads

1979

  1. On the interpretation of the cox test in econometrics
    Economics Letters, 1979, 4, (2), 145-150 Downloads View citations (4)

Books

2008

  1. The Economics of Small Island Tourism
    Books, Edward Elgar Publishing Downloads View citations (2)

Edited books

2009

  1. Simplicity, Inference and Modelling
    Cambridge Books, Cambridge University Press

2002

  1. Simplicity, Inference and Modelling
    Cambridge Books, Cambridge University Press

Editor

  1. Annals of Financial Economics (AFE)
    World Scientific Publishing Co. Pte. Ltd.
  2. Journal of Reviews on Global Economics
    Lifescience Global
  3. Journal of Risk and Financial Management
    MDPI, Open Access Journal
 
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