Details about Michael McAleer

Workplace:

Econometrisch Instituut (Econometric Institute), Faculteit der Economische Wetenschappen (Erasmus School of Economics), Erasmus Universiteit, (more information at EDIRC) Tinbergen Instituut (Tinbergen Institute), (more information at EDIRC) Center for International Research on the Japanese Economy, Faculty of Economics, University of Tokyo, (more information at EDIRC)

Access statistics for papers by Michael McAleer.

Last updated 2009-11-08. Update your information in the RePEc Author Service.

Short-id: pmc90

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Working Papers

2009

1. A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk
   Documentos del Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales View citations
   Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009)
   Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2008)
2. A General Asymptotic Theory for Time Series Models
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
3. A Scientific Classification of Volatility Models
   Documentos del Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales
   Also in Documentos del Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales (2009)
4. A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
   Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2008)
5. A Trinomial Test for Paired Data When There are Many Ties
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
6. Alternative Asymmetric Stochastic Volatility Models
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
7. An Econometric Analysis of SARS and Avian Flu on International Tourist Arrivals to Asia
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
   Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2008)
8. Asymmetry and Leverage in Realized Volatility
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
   Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2008)
9. Cruising is Risky Business
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
10. Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
    Also in Documentos del Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales (2009) View citations
11. Does the FOMC Have Expertise, and Can It Forecast?
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2008)
12. Dynamic Conditional Correlations for Asymmetric Processes
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
13. Estimating the Impact of Whaling on Global Whale Watching
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2009)
14. Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
15. Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2009)
16. Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
    Documentos del Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009)
    Tinbergen Institute Discussion Papers, Tinbergen Institute
17. How Accurate are Government Forecast of Economic Fundamentals?
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
18. How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
19. How Volatile is ENSO?
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009)
20. Modeling Exchange Rate and Industrial Commodity Volatility Transmissions
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno"
21. Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2009)
22. Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
23. Modelling International Tourist Arrivals and Volatility: An Application to Taiwan
    Documentos del Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales
    Also in "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2009)
24. 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
25. Modelling Sustainable International Tourism Demand to the Brazilian Amazon
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2008)
    Documentos del Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales (2009)
26. Modelling and Forecasting Daily International Mass Tourism to Peru
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
27. Modelling and Forecasting Noisy Realized Volatility
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
28. Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
29. Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
30. Moment-Based Estimation of Smooth Transition Regression Models with Endogenous Variables
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2008)
31. On the Robustness of Alternative Rankings Methodologies For Australian and New Zealand Economics Departments
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
32. Optimal Risk Management Before, During and After the 2008-09 Financial Crisis
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
    Also in Documentos del Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales (2009)
33. Risk Management for International Tourist Arrivals: An Application to the Balearic Islands, Spain
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
34. Testing the Box-Cox Parameter in an Integrated Process
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
35. The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
    Also in Documentos del Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales (2009) View citations
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2008) View citations
36. Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH
    Documentos del Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales
    Also in "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2008)
37. Value-at-Risk for Country Risk Ratings
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
38. Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
39. What Happened to Risk Management During the 2008-09 Financial Crisis?
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
    Also in Documentos del Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales (2009)
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2009)

2008

40. Expert opinion versus expertise in forecasting
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
    See also Journal Article in Statistica Neerlandica (2009)
41. Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
    See also Journal Article in The Quarterly Review of Economics and Finance (2009)

2007

42. Econometric modelling in finance and risk management: An overview
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article in Journal of Econometrics (2008)
43. On the Robustness of Alternative Rankings Methodologies: Australian and New Zealand Economics Departments, 1988-2002
    MPRA Paper, University Library of Munich, Germany View citations
44. Patent Activity and Technical Change
    DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada View citations
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2003)
    See also Journal Article in Journal of Econometrics (2007)

2006

45. Realized volatility: a review
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations
    See also Journal Article in Econometric Reviews (2008)

2005

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

2004

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

2003

52. Asian Monetary Integration: A Structural VAR Approach
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations
53. 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
    Also in ISER Discussion Paper, Institute of Social and Economic Research, Osaka University (2001)
    See also Journal Article in The Japanese Economic Review (2003)
54. Convergence and Catching Up in ASEAN: A Comparative Analysis
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
    See also Journal Article in Applied Economics (2004)
55. Ecologically Sustainable Tourism Management
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
56. Environmental Technology Strengths: International Rankings Based on US Patent Data
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
57. 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 View citations
    Also in ISER Discussion Paper, Institute of Social and Economic Research, Osaka University (2001) View citations
58. Fat Tails and Asymmetry in Financial Volatility Models
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations
59. Input-output Structure and Growth in China
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
60. Modelling International Travel Demand from Singapore to Australia
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations
61. Modelling the Asymmetric Volatility of Electronics Patents in the USA
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
62. On the Structure, Asymptotic Theory and Applications of STAR-GARCH Models
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations
63. Pricing of Non-ferrous Metals Futures on the London Metal Exchange
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
    See also Journal Article in Applied Financial Economics (2006)
64. Regression Quantiles for Unstable Autoregressive Models
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
    Also in Working Papers, Osaka - Institute of Social and Economic Research (2001)
    See also Journal Article in Journal of Multivariate Analysis (2004)
65. Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations
66. Volatility Models of Currency Futures in Developed and Emerging Markets
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo

2002

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

2001

68. A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University
69. Asymptotic Theory for a Vector ARMA-GARCH Model
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University
    See also Journal Article in Econometric Theory (2003)
70. 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
71. 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
    See also Journal Article in Applied Financial Economics (2003)
72. Modelling the Determinants of International Tourism Demand to Australia
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University
73. 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
    See also Journal Article in Econometric Theory (2002)
74. On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations
75. Stationarity and the Existence of Moments of a Family of GARCH Processes
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University
    See also Journal Article in Journal of Econometrics (2002)
76. Testing Multiple Non-nested Factor Demand Systems
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations
77. Time Series Forecasts of International Tourism Demand for Australia
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations

1995

78. Testing Nested and Non-Nested Periodically Integrated Autoregressive Models
    Working Papers, Tilburg - Center for Economic Research View citations
    Also in Working Papers, Erasmus University of Rotterdam - Econometric Institute (1994)
79. Testing for Unit Roots and Non-Linear Transformations
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations

1993

80. Cointegration and Direct Tests of the Rational Expectations Hypothesis
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
    See also Journal Article in Econometric Reviews (1994)

1991

81. 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

1990

82. 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
83. 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)
84. 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
    See also Journal Article in Journal of Applied Econometrics (1995)
85. 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)
86. DISCRIMINATION PROCEDURES FOR FITTING NESTED AND NON-NESTED DISTRIBUTIONS TO ENVIRONMENTAL QUALITY DATA
    Working Papers, Australian National University - Department of Economics
87. ESTIMATION AND DISCRIMINATION OF ALTERNATIVE AIR POLLUTION MODELS
    Working Papers, Australian National University - Department of Economics
88. KEYNESIAN AND NEW CLASSICAL MODELS OF UNEMPLOYMENT REVISITED
    Working Papers, Tilburg - Center for Economic Research
    See also Journal Article in Economic Journal (1991)
89. ON THE ROBUSTNESS OF BARRO'S NEW CLASSICAL UNEMPLOYMENT MODEL
    Working Papers, Australian National University - Department of Economics
    See also Journal Article in Applied Economics (1993)
90. On Efficient Estimation and Correct Inference in Models with Generated Regressions: A General Approach
    Working Papers, Australian National University - Department of Economics View citations
91. SIMPLE PROCEDURES FOR TESTING AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS
    Working Papers, Australian National University - Department of Economics

1989

92. 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
93. ESTIMATING THE PERCENTILES OF SOME MISSPECIFIED NON-NESTED DISTRIBUTIONS
    Working Papers, Australian National University - Department of Economics
94. JOINT TEST OF NON-NESTED MODELS AND GENERAL ERRO SPECIFICATIONS
    Working Papers, California Los Angeles - Applied Econometrics
    See also Journal Article in Econometric Reviews (1992)
95. JOINT TESTS OF NON-NESTED MODLS AND GENERAL ERROR SPECIFICATIONS
    Working Papers, Osaka - Institute of Social and Economic Research
    See also Journal Article in Econometric Reviews (1992)
96. ON THE ROBUSTNESS OF TESTS OF OUTLIERS AND FUNCTIONAL FORM
    Working Papers, Osaka - Institute of Social and Economic Research
97. THE EFFECTS OF MISSPECIFICATION IN ESTIMATING THE PERCENTILES OF SOME TWO -AND THREE-PARAMETER DISTRIBUTIONS
    Working Papers, Osaka - Institute of Social and Economic Research
    Also in Working Papers, Australian National University - Department of Economics (1989)

1988

98. 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

1985

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

1982

101. 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)
102. 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
     See also Journal Article in The Review of Economics and Statistics (1982)
103. Testing Separate Regression Models Subject to Specification Error
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
     Also in Working Papers, Queen's University, Department of Economics (1981)
     See also Journal Article in Journal of Econometrics (1982)

1981

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

1980

107. Exogeneity and Money Demand in a Small Open Economy: The Canadian Case
     Working Papers, Queen's University, Department of Economics
108. 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)
109. Principles and Methods in the Testing of Alternative Models
     Working Papers, Queen's University, Department of Economics View citations
110. The Interpretation of the Cox Test in Econometrics
     Working Papers, Queen's University, Department of Economics View citations
111. Two Papers on Linear Models
     Working Papers, Queen's University, Department of Economics
112. Two Papers on Model Testing and Discrimination
     Working Papers, Queen's University, Department of Economics

1979

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

1978

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

Journal Articles

2009

1. Expert opinion versus expertise in forecasting
   Statistica Neerlandica, 2009, 63, (3), 334-346 View citations
   See also Working Paper (2008)
2. Linear and nonlinear causality between changes in consumption and consumer attitudes
   Economics Letters, 2009, 102, (3), 161-164
3. Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments
   Econometric Reviews, 2009, 28, (6), 522-554
   See also Working Paper (2005)
4. Multivariate stochastic volatility, leverage and news impact surfaces
   Econometrics Journal, 2009, 12, (2), 292-309
5. 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
   See also Working Paper (2008)
6. Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
   Econometric Reviews, 2009, 28, (5), 422-440 View citations
7. The structure of dynamic correlations in multivariate stochastic volatility models
   Journal of Econometrics, 2009, 150, (2), 182-192 View citations

2008

8. A Portfolio Index GARCH model
   International Journal of Forecasting, 2008, 24, (3), 449-461
9. A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
   Journal of Econometrics, 2008, 147, (1), 104-119 View citations
10. A neural network demand system with heteroskedastic errors
    Journal of Econometrics, 2008, 147, (2), 359-371
11. 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
12. Econometric modelling in finance and risk management: An overview
    Journal of Econometrics, 2008, 147, (1), 1-4
    See also Working Paper (2007)
13. 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
14. Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks
    Journal of Econometrics, 2008, 147, (1), 163-185
15. Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model
    Journal of Forecasting, 2008, 27, (1), 1-19 View citations
16. GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
    Econometric Theory, 2008, 24, (06), 1554-1583 View citations
17. Realized Volatility and Long Memory: An Overview
    Econometric Reviews, 2008, 27, (1-3), 1-9
18. Realized Volatility: A Review
    Econometric Reviews, 2008, 27, (1-3), 10-45 View citations
    See also Working Paper (2006)
19. Scalar BEKK and indirect DCC
    Journal of Forecasting, 2008, 27, (6), 537-549
20. Single-index and portfolio models for forecasting value-at-risk thresholds
    Journal of Forecasting, 2008, 27, (3), 217-235 View citations

2007

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

2006

26. Dynamic Asymmetric GARCH
    Journal of Financial Econometrics, 2006, 4, (3), 385-412 View citations
27. HOW DOES COUNTRY RISK AFFECT INNOVATION? AN APPLICATION TO FOREIGN PATENTS REGISTERED IN THE USA
    Journal of Economic Surveys, 2006, 20, (4), 691-714
28. INTELLECTUAL PROPERTY AND ECONOMIC INCENTIVES
    Journal of Economic Surveys, 2006, 20, (4), 483-491
29. INTELLECTUAL PROPERTY LITIGATION ACTIVITY IN THE USA
    Journal of Economic Surveys, 2006, 20, (4), 715-729
30. Modeling dynamic conditional correlations in WTI oil forward and futures returns
    Finance Research Letters, 2006, 3, (2), 114-132 View citations
    See also Working Paper (2004)
31. Modelling time-varying conditional correlations in the volatility of Tapis oil spot and forward returns
    Applied Financial Economics, 2006, 16, (7), 525-533 View citations
32. Pricing of non-ferrous metals futures on the London Metal Exchange
    Applied Financial Economics, 2006, 16, (12), 853-880
    See also Working Paper (2003)

2005

33. AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
    Econometric Theory, 2005, 21, (01), 232-261 View citations
34. The Ten Commandments for Academics
    Journal of Economic Surveys, 2005, 19, (5), 823-826
35. The ten commandments for ranking university quality
    Journal of Economic Surveys, 2005, 19, (4), 649-653 View citations

2004

36. An Empirical Assessment of Country Risk Ratings and Associated Models
    Journal of Economic Surveys, 2004, 18, (4), 539-588 View citations
37. Convergence and catching up in ASEAN: a comparative analysis
    Applied Economics, 2004, 36, (2), 137-153 View citations
    See also Working Paper (2003)
38. Econometric modelling of non-ferrous metal prices
    Journal of Economic Surveys, 2004, 18, (5), 651-701 View citations
39. Efficient estimation and testing of oil futures contracts in a mutual offset system
    Applied Financial Economics, 2004, 14, (13), 953-962
40. Is a monetary union feasible for East Asia?
    Applied Economics, 2004, 36, (10), 1031-1043
41. Recursive modelling of symmetric and asymmetric volatility in the presence of extreme observations
    International Journal of Forecasting, 2004, 20, (1), 115-129 View citations
42. Regression quantiles for unstable autoregressive models
    Journal of Multivariate Analysis, 2004, 89, (2), 304-328
    See also Working Paper (2003)
43. Trends and volatilities in foreign patents registered in the USA
    Applied Economics, 2004, 36, (6), 585-592

2003

44. ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
    Econometric Theory, 2003, 19, (02), 280-310 View citations
    See also Working Paper (2001)
45. 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
    See also Working Paper (2003)
46. Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers
    Applied Financial Economics, 2003, 13, (8), 581-592 View citations
    See also Working Paper (2001)

2002

47. Financial volatility: an introduction
    Journal of Applied Econometrics, 2002, 17, (5), 419-424 View citations
48. Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence
    Journal of Applied Econometrics, 2002, 17, (5), 509-534 View citations
49. NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
    Econometric Theory, 2002, 18, (03), 722-729 View citations
    See also Working Paper (2001)
50. Recent Theoretical Results for Time Series Models with GARCH Errors
    Journal of Economic Surveys, 2002, 16, (3), 245-69 View citations
51. Stationarity and the existence of moments of a family of GARCH processes
    Journal of Econometrics, 2002, 106, (1), 109-117 View citations
    See also Working Paper (2001)
52. The Econometrics of Financial Time Series
    Journal of Economic Surveys, 2002, 16, (3), 237-43
53. The International Congress on Modelling and Simulation: Hamilton, New Zealand, December 1999
    Journal of Economic Surveys, 2002, 16, (1), 111-21 View citations
54. The Ten Commandments for Presenting a Conference Paper
    Journal of Economic Surveys, 2002, 16, (2), 215-18

2001

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

2000

60. A Market-Augmented Model for SIMEX Brent Crude Oil Futures Contracts
    Applied Financial Economics, 2000, 10, (5), 543-52
61. A Seasonal Analysis of Asian Tourist Arrivals to Australia
    Applied Economics, 2000, 32, (4), 499-509 View citations
62. Direct Tests of the Permanent Income Hypothesis under Uncertainty, Inflationary Expectations and Liquidity Constraints
    Journal of Macroeconomics, 2000, 22, (2), 229-252 View citations
63. Pricing of Forward and Futures Contracts
    Journal of Economic Surveys, 2000, 14, (2), 215-53 View citations
64. Testing Long-Run Neutrality Using Intra-year data
    Applied Economics, 2000, 32, (1), 25-37
65. Testing the Risk Premium and Cost-of-Carry Hypotheses for Currency Futures Contracts
    Applied Financial Economics, 2000, 10, (3), 277-89

1999

66. ANALYTICAL POWER COMPARISONS OF NESTED AND NONNESTED TESTS FOR LINEAR AND LOGLINEAR REGRESSION MODELS
    Econometric Theory, 1999, 15, (01), 99-113 View citations

1998

67. A sequential testing procedure for outliers and structural change
    Econometric Reviews, 1998, 7, (1), 103-111
68. Cointegration Analysis of Seasonal Time Series
    Journal of Economic Surveys, 1998, 12, (5), 651-78 View citations
69. Cointegration in Practice
    Journal of Economic Surveys, 1998, 12, (5), 417-22
70. Some comments on testing time series models
    Econometric Reviews, 1998, 7, (1), 49-57
71. Switching Orthogonality
    International Economic Review, 1998, 39, (1), 171-82
72. The International Congress on Modelling and Simulation, Hobart, Tasmania, December 1997
    Journal of Economic Surveys, 1998, 12, (4), 399-415
73. The Winter of My Content: The Econometric Society Australasian Meeting 1997, Melbourne, Australia
    Journal of Economic Surveys, 1998, 12, (1), 111-24

1997

74. Empirical Econometric Modelling of Food Consumption Using a New Informational Complexity Approach: Comments
    Journal of Applied Econometrics, 1997, 12, (5), 587-89
75. Pictures at an Exhibition: The Experiment in Applied Econometrics Conference, Tilburg, the Netherlands, 1996
    Journal of Economic Surveys, 1997, 11, (4), 419-32
76. Revisiting Tobin's 1950 Study of Food Expenditure: Comments
    Journal of Applied Econometrics, 1997, 12, (5), 553-57
77. Statistical Demand Functions for Food in the USA and the Netherlands: Comments
    Journal of Applied Econometrics, 1997, 12, (5), 640-42
78. The Ten Commandments for Organizing a Conference
    Journal of Economic Surveys, 1997, 11, (2), 231-33

1996

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

1995

81. Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing
    Journal of Applied Econometrics, 1995, 10, (2), 165-85 View citations
    See also Working Paper (1990)
82. Simplicity, Scientific Interference and Econometric Modelling
    Economic Journal, 1995, 105, (428), 1-21 View citations
83. The significance of testing empirical non-nested models
    Journal of Econometrics, 1995, 67, (1), 149-171 View citations

1994

84. A note on the unbiasedness test of rationality using survey data
    Journal of Macroeconomics, 1994, 16, (2), 369-374
85. Cointegrated systems I
    Econometric Reviews, 1994, 13, (2), 145-149
    Also in Econometric Reviews, 1994, 13, (3), 287-289 (1994)
86. Cointegration and direct tests of the rational expectations hypothesis
    Econometric Reviews, 1994, 13, (2), 231-258 View citations
    See also Working Paper (1993)
87. Newey-West Covariance Matrix Estimates for Models with Generated Regressors
    Applied Economics, 1994, 26, (6), 635-40 View citations
88. On the Effects of Misspecification Errors in Models with Generated Regressors
    Oxford Bulletin of Economics and Statistics, 1994, 56, (4), 441-55 View citations
89. Sherlock Holmes and the Search for Truth: A Diagnostic Tale
    Journal of Economic Surveys, 1994, 8, (4), 317-70 View citations

1993

90. Econometric Issues in Macroeconomic Models with Generated Regressors
    Journal of Economic Surveys, 1993, 7, (1), 1-40 View citations
91. On the Robustness of Barro's New Classical Unemployment Model
    Applied Economics, 1993, 25, (3), 349-60
    See also Working Paper (1990)

1992

92. Efficient Estimation: The Rao-Zyskind Condition, Kruskal's Theorem and Ordinary Least Squares
    The Economic Record, 1992, 68, (200), 65-72 View citations
93. Joint tests of non-nested models and general error specifications
    Econometric Reviews, 1992, 11, (1), 97-117
    See also Working Paper (1989)
    Working Paper (1989)
94. Properties of ordinary least squares estimators in regression models with nonspherical disturbances
    Journal of Econometrics, 1992, 54, (1-3), 321-334 View citations
95. Recursive estimation and generated regressors
    Economics Letters, 1992, 39, (1), 1-5

1991

96. Keynesian and New Classical Models of Unemployment Revisited
    Economic Journal, 1991, 101, (406), 359-81 View citations
    See also Working Paper (1990)
97. When are two step estimators efficient?
    Econometric Reviews, 1991, 10, (2), 235-252 View citations

1989

98. 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
99. 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 View citations

1988

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

1987

101. Further Results on Testing AR (1) against MA (1) Disturbances in the Linear Regression Model
     Review of Economic Studies, 1987, 54, (4), 649-63 View citations
102. On exact and asymptotic tests of non-nested models
     Statistics & Probability Letters, 1987, 5, (1), 19-22

1986

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

1985

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

1983

106. Comment
     Econometric Reviews, 1983, 2, (1), 121-130
107. Some Exact Tests for Model Specification
     The Review of Economics and Statistics, 1983, 65, (2), 351-54 View citations
108. Testing Non-Nested Specifications of Money Demand for Canada
     Canadian Journal of Economics, 1983, 16, (4), 593-602 View citations

1982

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

1981

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

1980

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

1979

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