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Details about Michael McAleer

This author is deceased (2021-07-08).

Access statistics for papers by Michael McAleer.

Last updated 2023-03-10. Update your information in the RePEc Author Service.

Short-id: pmc90


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Working Papers

2020

  1. Matching and Winning? The Impact of Upper and Middle Managers on Team Performance in Major League Baseball
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)

2019

  1. Asymptotic Theory for Rotated Multivariate GARCH Models
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018) Downloads
  2. CO2 Emissions, Energy Consumption and Economic Growth
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (25)
  3. CO2 emissions, energy consumption and economic growth: Evidence from the Trans-Pacific Partnership
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
  4. Central Bank Intervention, Bubbles and Risk in Walrasian Financial Markets
    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 (2019) Downloads
  5. Corporate Financial Distress of Industry Level Listings in an Emerging Market
    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 (2019) Downloads View citations (2)
  6. Drawbacks in the 3-Factor Approach of Fama and French (2018)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    See also Journal Article Drawbacks in the 3-Factor Approach of Fama and French (2018), Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2023) Downloads (2023)
  7. Drawbacks in the 3-factor approach of Fama and French
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
  8. Editorial Statement of Intent for Advances in Decision Sciences (ADS): 22nd Anniversary Special Issue in 2018
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
  9. Energy Consumption and Economic Growth: Evidence from Vietnam
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (10)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2019) Downloads

    See also Journal Article Energy Consumption and Economic Growth: Evidence from Vietnam, Journal of Reviews on Global Economics, Lifescience Global (2019) Downloads View citations (12) (2019)
  10. Fake News and Propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany
    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 (2019) Downloads

    See also Journal Article Fake News and Propaganda: Trump’s Democratic America and Hitler’s National Socialist (Nazi) Germany, Sustainability, MDPI (2019) Downloads (2019)
  11. Financial credit risk evaluation based on core enterprise supply chains
    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 (2018) Downloads View citations (17)

    See also Journal Article Financial Credit Risk Evaluation Based on Core Enterprise Supply Chains, Sustainability, MDPI (2018) Downloads View citations (17) (2018)
  12. Financial inclusion and macroeconomic stability in emerging and frontier markets
    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 (2018) Downloads View citations (1)

    See also Journal Article FINANCIAL INCLUSION AND MACROECONOMIC STABILITY IN EMERGING AND FRONTIER MARKETS, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2019) Downloads View citations (12) (2019)
  13. Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks, International Journal of Forecasting, Elsevier (2020) Downloads View citations (70) (2020)
  14. Modelling the relationship between crude oil and agricultural commodity prices
    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 (2018) Downloads

    See also Journal Article Modeling the Relationship between Crude Oil and Agricultural Commodity Prices, Energies, MDPI (2019) Downloads View citations (28) (2019)
  15. Rent Seeking for Export Licenses: Application to the Vietnam Rice Market
    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 (2019) Downloads
  16. Research Ideas for Advances in Decision Sciences (ADS): 22nd Anniversary Special Issue in 2018
    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 (2018) Downloads View citations (4)

    See also Journal Article RESEARCH IDEAS FOR ADVANCES IN DECISION SCIENCES (ADS): 22ND ANNIVERSARY SPECIAL ISSUE IN 2018, Advances in Decision Sciences, Asia University, Taiwan (2018) Downloads View citations (4) (2018)
  17. Risk Analysis of Energy in Vietnam
    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 (2019) Downloads
  18. Size, Internationalization and University Rankings: Evaluating Times Higher Education (THE) Data for Japan
    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 (2018) Downloads
  19. Size, Internationalization and University Rankings: Evaluating and Predicting Times Higher Education (THE) Data for Japan
    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 (2019) Downloads

    See also Journal Article Size, Internationalization, and University Rankings: Evaluating and Predicting Times Higher Education (THE) Data for Japan, Sustainability, MDPI (2019) Downloads View citations (1) (2019)
  20. The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (31)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2019) Downloads
    Working Papers, University of Pretoria, Department of Economics (2019) View citations (31)

    See also Journal Article The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures, Energies, MDPI (2019) Downloads View citations (32) (2019)
  21. What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (19)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2019) Downloads

    See also Journal Article What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity, and (Non-) Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model, JRFM, MDPI (2019) Downloads View citations (16) (2019)
  22. What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (14)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2019) Downloads

    See also Journal Article What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity and (Non-) Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model, JRFM, MDPI (2019) Downloads View citations (20) (2019)

2018

  1. "Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond": Comment
    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 (2018) Downloads
  2. A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
  3. A Statistical Analysis of Industrial Penetration and Internet Intensity in Taiwan
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2018) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018) Downloads

    See also Journal Article A Statistical Analysis of Industrial Penetration and Internet Intensity in Taiwan, Future Internet, MDPI (2018) Downloads (2018)
  4. An Event Study of Chinese Tourists to Taiwan
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018) Downloads View citations (2)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018) Downloads
  5. Asymmetric Risk Impacts of Chinese Tourists to Taiwan
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018) Downloads
  6. Bayesian Analysis of Realized Matrix-Exponential GARCH 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 (2018) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018) Downloads

    See also Journal Article Bayesian Analysis of Realized Matrix-Exponential GARCH Models, Computational Economics, Springer (2022) Downloads (2022)
  7. Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric 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 (2018) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2018) Downloads View citations (10)

    See also Journal Article Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections, JRFM, MDPI (2018) Downloads View citations (9) (2018)
  8. Carpooling with heterogeneous users in the bottleneck model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  9. Cointegrated Dynamics for A Generalized Long Memory Process
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
  10. Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates
    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 Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates, Journal of Time Series Econometrics, De Gruyter (2020) Downloads (2020)
  11. Connecting VIX and Stock Index ETF with VAR and Diagonal 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 (2018) Downloads View citations (3)

    See also Journal Article Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK, JRFM, MDPI (2018) Downloads View citations (3) (2018)
  12. Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (3)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2018) Downloads View citations (4)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018) Downloads
  13. Earnings responses to disability benefit cuts
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)
  14. Editorial Statement of Intent for Advances in Decision Sciences (ADS): 22nd Anniversary Special Issue in 2018
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (5)
  15. Establishing National Carbon Emission Prices for China
    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 (2018) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018) Downloads View citations (1)

    See also Journal Article Establishing national carbon emission prices for China, Renewable and Sustainable Energy Reviews, Elsevier (2019) Downloads View citations (14) (2019)
  16. Fake News and Indifference to Scientific Fact: President Trump's Confused Tweets on Global Warming, Climate Change and Weather
    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 Fake news and indifference to scientific fact: President Trump’s confused tweets on global warming, climate change and weather, Scientometrics, Springer (2018) Downloads View citations (7) (2018)
  17. Fake News and Indifference to Truth
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (5)
  18. Fake News and Indifference to Truth: Dissecting Tweets and State of the Union Addresses by Presidents Obama and Trump
    Tinbergen Institute Discussion Papers, Tinbergen Institute 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 (2018) Downloads

    See also Journal Article FAKE NEWS AND INDIFFERENCE TO TRUTH: DISSECTING TWEETS AND STATE OF THE UNION ADDRESSES BY PRESIDENTS OBAMA AND TRUMP, Advances in Decision Sciences, Asia University, Taiwan (2018) Downloads View citations (5) (2018)
  19. Financial Credit Risk and Core Enterprise Supply Chains
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (17)
  20. Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs
    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 (2018) Downloads View citations (1)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018) Downloads
  21. Long Run Returns Predictability and Volatility with Moving Averages
    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 (2018) Downloads View citations (6)

    See also Journal Article Long Run Returns Predictability and Volatility with Moving Averages, Risks, MDPI (2018) Downloads View citations (6) (2018)
  22. Management Information, Decision Sciences, and Financial Economics: A Connection
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (21)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018) Downloads View citations (15)
  23. Market Timing with Moving Averages
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (6)
    See also Journal Article Market Timing with Moving Averages, Sustainability, MDPI (2018) Downloads View citations (6) (2018)
  24. Market Timing with Moving Averages for Fossil Fuel and Renewable Energy Stocks
    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 (2018) Downloads
  25. Pricing Carbon Emissions in China
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018) Downloads View citations (5)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018) Downloads

    See also Journal Article PRICING CARBON EMISSIONS IN CHINA, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2018) Downloads View citations (5) (2018)
  26. Pros and Cons of the Impact Factor in a Rapidly Changing Digital World
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018) Downloads
  27. Risk Spillovers in Returns for Chinese and International Tourists to Taiwan
    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 (2018) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2018) Downloads
  28. Simple Market Timing with Moving Averages
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018) Downloads View citations (4)
  29. Spurious Cross-Sectional Dependence in Credit Spread Changes
    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 (2018) Downloads

    See also Journal Article Spurious cross-sectional dependence in credit spread changes, Econometrics and Statistics, Elsevier (2021) Downloads (2021)
  30. The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions
    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 (2018) Downloads View citations (19)

    See also Journal Article The fiction of full BEKK: Pricing fossil fuels and carbon emissions, Finance Research Letters, Elsevier (2019) Downloads View citations (12) (2019)
  31. Why did Warrant Markets Close in China but not Taiwan?
    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 (2018) Downloads View citations (13)

2017

  1. A Generalized Email Classification System for Workflow Analysis
    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
  2. 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
  3. A New Inequality Measure that is Sensitive to Extreme Values and Asymmetries
    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 (2017) Downloads View citations (2)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2017) Downloads View citations (1)

    See also Journal Article A New Inequality Measure that is Sensitive to Extreme Values and Asymmetries, Advances in Decision Sciences, Asia University, Taiwan (2019) Downloads View citations (2) (2019)
  4. A Tourism Financial Conditions Index for Tourism Finance
    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 (2017) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2017) Downloads View citations (2)

    See also Journal Article A Tourism Financial Conditions Index for Tourism Finance, Challenges, MDPI (2017) Downloads View citations (2) (2017)
  5. Connecting VIX and Stock Index ETF
    Tinbergen Institute Discussion Papers, Tinbergen Institute 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 (2017) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2017) Downloads
  6. Forecasting the Volatility of Nikkei 225 Futures
    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 (2017) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2017) Downloads View citations (1)

    See also Journal Article Forecasting the volatility of Nikkei 225 futures, Journal of Futures Markets, John Wiley & Sons, Ltd. (2017) Downloads View citations (1) (2017)
  7. Impact of Psychological Needs on Luxury Consumption
    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
  8. Joint and Cross-border Patents as Proxies for International Technology Diffusion
    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 View citations (1)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads

    See also Journal Article Joint and Cross-Border Patents as Proxies for International Technology Diffusion, International Journal of Innovation and Technology Management (IJITM), World Scientific Publishing Co. Pte. Ltd. (2018) Downloads View citations (1) (2018)
  9. Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (21)
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    See also Journal Article Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices, Renewable and Sustainable Energy Reviews, Elsevier (2018) Downloads View citations (31) (2018)
  10. Re-Opening the Silk Road to Transform Chinese Trade
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    See also Journal Article Re-Opening the Silk Road to Transform Chinese Trade, Journal of Reviews on Global Economics, Lifescience Global (2017) Downloads View citations (1) (2017)
  11. Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (9)
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    See also Journal Article Realized stochastic volatility models with generalized Gegenbauer long memory, Econometrics and Statistics, Elsevier (2020) Downloads View citations (2) (2020)
  12. Realized Stochastic Volatility with General Asymmetry and Long Memory
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    See also Journal Article Realized stochastic volatility with general asymmetry and long memory, Journal of Econometrics, Elsevier (2017) Downloads View citations (17) (2017)
  13. Recent Topical Research on Global, Energy, Health & Medical, and Tourism Economics, and Global Software
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
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  14. Specification Testing of Production in a Stochastic Frontier Model
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
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    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2017) Downloads

    See also Journal Article Specification Testing of Production in a Stochastic Frontier Model, Sustainability, MDPI (2018) Downloads View citations (12) (2018)
  15. Stationarity and Invertibility of a Dynamic Correlation Matrix
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (8)
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  16. Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models
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  17. The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH
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    Tinbergen Institute Discussion Papers, Tinbergen Institute (2017) Downloads View citations (25)

    See also Journal Article The correct regularity condition and interpretation of asymmetry in EGARCH, Economics Letters, Elsevier (2017) Downloads View citations (27) (2017)
  18. The Fiction of Full BEKK
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  19. Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management
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    See also Journal Article Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management, Energies, MDPI (2018) Downloads View citations (4) (2018)
  20. 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
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    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2017) Downloads View citations (6)

    See also Journal Article Theory and application of an economic performance measure of risk, International Review of Economics & Finance, Elsevier (2018) Downloads View citations (18) (2018)
  21. Theravada Buddhism and Thai Luxury Fashion Consumption
    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 View citations (2)

    See also Journal Article Theravada Buddhism and Thai Luxury Fashion Consumption, Journal of Reviews on Global Economics, Lifescience Global (2017) Downloads View citations (4) (2017)
  22. Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic Factors
    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 (2017) Downloads View citations (1)
  23. Tourism stocks in times of crises: An econometric investigation of non-macro factors
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    Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) Downloads
  24. Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA
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    See also Journal Article Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA, Sustainability, MDPI (2017) Downloads View citations (21) (2017)
  25. You've Got Email: A Workflow Management Extraction System
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    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2017) Downloads View citations (2)

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
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    See also Journal Article A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises, The North American Journal of Economics and Finance, Elsevier (2017) Downloads View citations (21) (2017)
  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 View citations (1)

    See also Journal Article A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices, Applied Economics, Taylor & Francis Journals (2018) Downloads View citations (13) (2018)
  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 (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads View citations (3)

    See also Journal Article A Simple Test for Causality in Volatility, Econometrics, MDPI (2017) Downloads View citations (25) (2017)
  5. An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors
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    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads View citations (1)
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    See also Journal Article An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors, IJFS, MDPI (2017) Downloads View citations (1) (2017)
  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 (1)
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    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) Downloads

    See also Journal Article An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series, Applied Economics, Taylor & Francis Journals (2017) Downloads View citations (12) (2017)
  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 View citations (5)
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    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads

    See also Journal Article Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?, International Review of Economics & Finance, Elsevier (2019) Downloads View citations (5) (2019)
  8. Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (2)
    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
  9. Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
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    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) Downloads

    See also Journal Article Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models, JRFM, MDPI (2017) Downloads View citations (2) (2017)
  10. How are VIX and Stock Index ETF Related?
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
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  11. Industrial Penetration and Internet Intensity
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
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  12. Management Science, Economics and Finance: A Connection
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (15)
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    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
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    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads
  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 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

    See also Journal Article Modeling and Testing Volatility Spillovers in Oil and Financial Markets for the USA, the UK, and China, Energies, MDPI (2019) Downloads View citations (6) (2019)
  15. Prediction of Gas Concentration Based on the Opposite Degree Algorithm
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
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    Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads

    See also Journal Article Prediction of Gas Concentration Based on the Opposite Degree Algorithm, Journal of Reviews on Global Economics, Lifescience Global (2017) Downloads (2017)
  16. Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
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    Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads View citations (18)
  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 (12)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads View citations (5)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads

    See also Journal Article Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization, Econometrics and Statistics, Elsevier (2022) Downloads (2022)
  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

    See also Journal Article Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances, Energy, Elsevier (2018) Downloads View citations (16) (2018)
  19. Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series 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
  20. US Antidumping Petitions and Revealed Comparative Advantage of Shrimp Exporting Countries
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
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    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) Downloads
  21. Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events
    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
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    See also Journal Article Volatility spillover and multivariate volatility impulse response analysis of GFC news events, Applied Economics, Taylor & Francis Journals (2017) Downloads View citations (8) (2017)
  22. Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture
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    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads View citations (1)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads

2015

  1. A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?
    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 (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) Downloads View citations (2)
  2. Behavioural, Financial, and Health & Medical Economics: A Connection
    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
  3. Bibliometric Rankings of Journals Based on the Thomson Reuters Citations Database
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    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads View citations (7)

    See also Journal Article Bibliometric Rankings of Journals Based on the Thomson Reuters Citations Database, Journal of Reviews on Global Economics, Lifescience Global (2015) Downloads View citations (6) (2015)
  4. Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads View citations (3)

    See also Journal Article Choosing expected shortfall over VaR in Basel III using stochastic dominance, International Review of Economics & Finance, Elsevier (2019) Downloads View citations (9) (2019)
  5. Daily Market News Sentiment and Stock Prices
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    Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads View citations (4)

    See also Journal Article Daily market news sentiment and stock prices, Applied Economics, Taylor & Francis Journals (2019) Downloads View citations (13) (2019)
  6. Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
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    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) Downloads
  7. From Disorder to Order
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  8. Frontiers in Time Series and Financial Econometrics
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  9. Frontiers in Time Series and Financial Econometrics: An Overview
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    See also Journal Article Frontiers in Time Series and Financial Econometrics: An overview, Journal of Econometrics, Elsevier (2015) Downloads View citations (1) (2015)
  10. Industrial Agglomeration and Use of the Internet
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    Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads View citations (1)
  11. Informatics, Data Mining, Econometrics and Financial Economics: A Connection
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  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
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  13. International Technology Diffusion of Joint and Cross-border Patents (Revised version)
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  14. Market Integration Dynamics and Asymptotic Price Convergence in Distribution
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    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) Downloads

    See also Journal Article Market integration dynamics and asymptotic price convergence in distribution, Economic Modelling, Elsevier (2016) Downloads View citations (3) (2016)
  15. Multivariate Volatility Impulse Response Analysis of GFC News Events
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    Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads View citations (1)
  16. 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 Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies, Risks, MDPI (2016) Downloads View citations (5) (2016)
  17. On the Invertibility of EGARCH(p,q)
    Tinbergen Institute Discussion Papers, Tinbergen Institute 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
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) Downloads View citations (14)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads

    See also Journal Article On the invertibility of EGARCH(p, q), Econometric Reviews, Taylor & Francis Journals (2018) Downloads View citations (12) (2018)
  18. 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 Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads View citations (2)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) Downloads View citations (1)
  19. Research Ideas for the Journal of Health & Medical Economics: 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
  20. Research Ideas for the Journal of Informatics and Data Mining: 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. The Endowment Effect in Games
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  22. The Fundamental Equation in Tourism Finance
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (21)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) Downloads View citations (15)

    See also Journal Article The Fundamental Equation in Tourism Finance, JRFM, MDPI (2015) Downloads View citations (15) (2015)
  23. The Impact of Jumps and Leverage in Forecasting Co-Volatility
    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 (5)
    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 The impact of jumps and leverage in forecasting covolatility, Econometric Reviews, Taylor & Francis Journals (2017) Downloads View citations (15) (2017)
  24. Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (35)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads View citations (36)
    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 Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice, Energies, MDPI (2018) Downloads View citations (28) (2018)

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 Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) Downloads View citations (17)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads View citations (17)
  2. A One Line Derivation of EGARCH
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (87)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads View citations (87)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2014) Downloads View citations (74)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2014) View citations (82)

    See also Journal Article A One Line Derivation of EGARCH, Econometrics, MDPI (2014) Downloads View citations (74) (2014)
  3. A Tourism Conditions Index
    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 (2014) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) Downloads View citations (2)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2014) Downloads View citations (2)
  4. A Tourism Financial Conditions Index
    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 (1)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2014) Downloads View citations (2)
  5. Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in 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

    See also Journal Article Advances in financial risk management and economic policy uncertainty: An overview, International Review of Economics & Finance, Elsevier (2015) Downloads View citations (27) (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 View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads View citations (4)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) Downloads View citations (4)

    See also Journal Article Asymmetric Realized Volatility Risk, JRFM, MDPI (2014) Downloads View citations (3) (2014)
  7. Asymmetry and Leverage in Conditional 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 (2014) Downloads View citations (99)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) Downloads View citations (76)

    See also Journal Article Asymmetry and Leverage in Conditional Volatility Models, Econometrics, MDPI (2014) Downloads View citations (76) (2014)
  8. Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
    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
    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
  9. Econometric Analysis of Financial Derivatives
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (4)
  10. Econometric Analysis of Financial Derivatives: 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 Econometric analysis of financial derivatives: An overview, Journal of Econometrics, Elsevier (2015) Downloads View citations (5) (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 (2)
    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 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 (5)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads View citations (6)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads

    See also Journal Article Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance, Journal of Econometrics, Elsevier (2015) Downloads View citations (23) (2015)
  13. Hedge Fund Portfolio Diversification Strategies Across the GFC
    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 (2014) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads
  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 (5)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2014) Downloads View citations (3)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads View citations (3)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads

    See also Journal Article JUST HOW GOOD ARE THE TOP THREE JOURNALS IN FINANCE? AN ASSESSMENT BASED ON QUANTITY AND QUALITY CITATIONS, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2014) Downloads View citations (3) (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 (6)
    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 View citations (4)
  16. Quality Weighted Citations Versus Total Citations in the Sciences and Social Sciences
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (3)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads View citations (8)
    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 View citations (5)
  17. Ranking Economics and Econometrics ISI Journals by Quality Weighted Citations
    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

    See also Journal Article Ranking Economics and Econometrics ISI Journals by Quality Weighted Citations, Review of Economics, De Gruyter (2014) Downloads View citations (7) (2014)
  18. 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 (4)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (13)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads View citations (10)
    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 Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc, Econometrics, MDPI (2013) Downloads View citations (15) (2013)
  19. 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 (3)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads View citations (3)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads

    See also Journal Article Risk Measurement and Risk Modelling Using Applications of Vine Copulas, Sustainability, MDPI (2017) Downloads View citations (10) (2017)
  20. 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 Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2014) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) Downloads
  21. 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 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
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads

    See also Journal Article The maximum number of parameters for the Hausman test when the estimators are from different sets of equations, Economics Letters, Elsevier (2014) Downloads View citations (1) (2014)
  22. Volatility Spillovers from Australia's Major Trading Partners across the GFC
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (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

    See also Journal Article Volatility Spillovers from Australia's major trading partners across the GFC, International Review of Economics & Finance, Elsevier (2017) Downloads View citations (7) (2017)

2013

  1. A Capital Adequacy Buffer Model
    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
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) Downloads View citations (1)

    See also Journal Article A capital adequacy buffer model, Applied Economics Letters, Taylor & Francis Journals (2016) Downloads View citations (1) (2016)
  2. A Fractionally Integrated Wishart Stochastic Volatility Model
    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

    See also Journal Article A fractionally integrated Wishart stochastic volatility model, Econometric Reviews, Taylor & Francis Journals (2017) Downloads (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 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 (2012) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads

    See also Journal Article A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500, JRFM, MDPI (2013) Downloads View citations (2) (2013)
  4. Analyzing Fixed-Event Forecast Revisions
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (6)
    Also in 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
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) 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 Analyzing fixed-event forecast revisions, International Journal of Forecasting, Elsevier (2013) Downloads View citations (7) (2013)
  5. Are Forecast Updates Progressive?
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) Downloads
    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 (2011) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
    MPRA Paper, University Library of Munich, Germany (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 (2011) Downloads

    See also Journal Article Are forecast updates progressive?, Mathematics and Computers in Simulation (MATCOM), Elsevier (2013) Downloads View citations (4) (2013)
  6. Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (33)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads View citations (33)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) Downloads View citations (33)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (33)

    See also Journal Article Coercive journal self citations, impact factor, Journal Influence and Article Influence, Mathematics and Computers in Simulation (MATCOM), Elsevier (2013) Downloads View citations (27) (2013)
  7. Estimating Implied Recovery Rates from the Term Structure of CDS Spreads
    Tinbergen Institute Discussion Papers, Tinbergen 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 (2012) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads View citations (4)
  8. Financial Dependence Analysis: Applications of Vine Copulae
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (15)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (15)
    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 Financial dependence analysis: applications of vine copulas, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2013) Downloads View citations (16) (2013)
  9. Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
    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 (2012) Downloads
    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
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) Downloads

    See also Journal Article Forecasting Value-at-Risk using block structure multivariate stochastic volatility models, International Review of Economics & Finance, Elsevier (2015) Downloads View citations (9) (2015)
  10. GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies
    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 (2011) Downloads
    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)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads View citations (2)

    See also Journal Article GFC-robust risk management under the Basel Accord using extreme value methodologies, Mathematics and Computers in Simulation (MATCOM), Elsevier (2013) Downloads View citations (1) (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 (33)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (27)
    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 View citations (1)
    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

    See also Journal Article Has the Basel Accord improved risk management during the global financial crisis?, The North American Journal of Economics and Finance, Elsevier (2013) Downloads View citations (35) (2013)
  12. Herding, Information Cascades and Volatility Spillovers in Futures Markets
    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 (2013) Downloads View citations (3)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) Downloads View citations (3)
    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 (4)

    See also Journal Article Herding, Information Cascades and Volatility Spillovers in Futures Markets, Journal of Reviews on Global Economics, Lifescience Global (2013) Downloads View citations (4) (2013)
  13. How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) Downloads View citations (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) Downloads View citations (1)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads View citations (1)
    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 View citations (1)

    See also Journal Article How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?, Journal of Reviews on Global Economics, Lifescience Global (2012) Downloads View citations (1) (2012)
  14. Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (18)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (16)
    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 (2012) Downloads View citations (2)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) Downloads

    See also Journal Article Is small beautiful? Size effects of volatility spillovers for firm performance and exchange rates in tourism, The North American Journal of Economics and Finance, Elsevier (2013) Downloads View citations (18) (2013)
  15. Journal Impact Factor, Eigenfactor, Journal Influence and Article Influence
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    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
    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
  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 (2)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads View citations (5)

    See also Journal Article Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing, Journal of Econometrics, Elsevier (2015) Downloads View citations (10) (2015)
  17. Modeling and Simulation: 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
    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 View citations (2)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads View citations (19)
  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 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)
    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 View citations (2)

    See also Journal Article Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility, JRFM, MDPI (2012) Downloads View citations (13) (2012)
  19. Nonparametric Multiple Change Point Analysis of the Global Financial Crisis
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in 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

    See also Journal Article NON-PARAMETRIC MULTIPLE CHANGE POINT ANALYSIS OF THE GLOBAL FINANCIAL CRISIS, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2018) Downloads View citations (1) (2018)
  20. Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in 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 (2013) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads View citations (1)

    See also Journal Article Profiteering from the Dot-Com Bubble, Subprime Crisis and Asian Financial Crisis, The Japanese Economic Review, Japanese Economic Association (2016) Downloads View citations (16) (2016)
  21. Realized Volatility Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (10)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (9)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) Downloads View citations (6)
    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 View citations (1)
  22. Recent Developments in Financial Economics and Econometrics: An Overview
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (4)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads View citations (4)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (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
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads View citations (4)

    See also Journal Article Recent developments in financial economics and econometrics: An overview, The North American Journal of Economics and Finance, Elsevier (2013) Downloads View citations (4) (2013)
  23. Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)
  24. Risk Modeling and Management: An Overview
    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
    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
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads
  25. Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures
    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 (2013) Downloads View citations (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads View citations (2)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (1)
  26. Robust Estimation and Forecasting of the Capital Asset Pricing Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (15)
    Also in 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
    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 (2010) Downloads

    See also Journal Article ROBUST ESTIMATION AND FORECASTING OF THE CAPITAL ASSET PRICING MODEL, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2013) Downloads View citations (15) (2013)
  27. Robust Ranking of Journal Quality: An Application to Economics
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads View citations (41)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) Downloads View citations (27)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) Downloads View citations (26)
    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 Robust Ranking of Journal Quality: An Application to Economics, Econometric Reviews, Taylor & Francis Journals (2016) Downloads View citations (12) (2016)
  28. Statistical Modelling of Extreme Rainfall in Taiwan
    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 (2012) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads
  29. Ten Things You Should Know About DCC
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (68)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads View citations (3)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads View citations (66)
    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 (3)
  30. Ten Things You Should Know About the Dynamic Conditional Correlation Representation
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (84)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) Downloads View citations (84)
    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 (83)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (82)

    See also Journal Article Ten Things You Should Know about the Dynamic Conditional Correlation Representation, Econometrics, MDPI (2013) Downloads View citations (84) (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 Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (1)
    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

    See also Journal Article The impact of China on stock returns and volatility in the Taiwan tourism industry, The North American Journal of Economics and Finance, Elsevier (2014) Downloads View citations (6) (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 Volatility smirk as an externality of agency conflict and growing debt, International Journal of Economic Theory, The International Society for Economic Theory (2015) Downloads (2015)
  33. Volatility Spillovers from the US to Australia and China 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 (2012) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads
  34. What Do Experts Know About Forecasting Journal Quality? A Comparison with ISI Research Impact in Finance
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance 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
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (3)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads View citations (3)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads View citations (3)

    See also Journal Article WHAT DO EXPERTS KNOW ABOUT FORECASTING JOURNAL QUALITY? A COMPARISON WITH ISI RESEARCH IMPACT IN FINANCE, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2013) Downloads View citations (3) (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 (1)
    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 Asymmetric adjustments in the ethanol and grains markets, Energy Economics, Elsevier (2012) Downloads View citations (18) (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 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
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads
  3. Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (10)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads View citations (7)
    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 EVALUATING MACROECONOMIC FORECASTS: A CONCISE REVIEW OF SOME RECENT DEVELOPMENTS, Journal of Economic Surveys, Wiley Blackwell (2014) Downloads View citations (1) (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 KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (2)
    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 (5)

    See also Journal Article Globalization and knowledge spillover: international direct investment, exports and patents, Economics of Innovation and New Technology, Taylor & Francis Journals (2013) Downloads View citations (18) (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 Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads View citations (1)
    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 View citations (1)

    See also Journal Article How Should Journal Quality be Ranked? An Application to Agricultural, Energy, Environmental and Resource Economics, Journal of Reviews on Global Economics, Lifescience Global (2014) Downloads View citations (8) (2014)
  6. Modelling Long Memory Volatility in Agricultural Commodity Futures Return
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (28)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) Downloads View citations (20)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) Downloads View citations (20)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads View citations (5)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (6)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (7)
    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 MODELLING LONG MEMORY VOLATILITY IN AGRICULTURAL COMMODITY FUTURES RETURNS, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2012) Downloads View citations (18) (2012)
  7. Ranking Journal Quality by Harmonic Mean of Ranks: An Application to ISI Statistics & Probability
    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 (2012) Downloads
    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 (19)

    See also Journal Article Ranking journal quality by harmonic mean of ranks: an application to ISI statistics & probability, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2013) Downloads View citations (17) (2013)
  8. Risk Management and Financial Derivatives: 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 (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

    See also Journal Article Risk management and financial derivatives: An overview, The North American Journal of Economics and Finance, Elsevier (2013) Downloads View citations (22) (2013)
  9. Robust Ranking of Multivariate GARCH Models by Problem Dimension
    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 (2012) Downloads View citations (7)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) Downloads View citations (8)
    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 Robust ranking of multivariate GARCH models by problem dimension, Computational Statistics & Data Analysis, Elsevier (2014) Downloads View citations (22) (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 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
    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
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (6)
    Also in 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 Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China, Quantitative Finance, Taylor & Francis Journals (2015) Downloads View citations (61) (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
    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
    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 (2012) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads View citations (2)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) Downloads View citations (2)

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
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (4)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (3)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads View citations (2)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) Downloads View citations (6)

    See also Journal Article AGGREGATION, HETEROGENEOUS AUTOREGRESSION AND VOLATILITY OF DAILY INTERNATIONAL TOURIST ARRIVALS AND EXCHANGE RATES, The Japanese Economic Review, Japanese Economic Association (2012) Downloads View citations (18) (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

    See also Journal Article Asymmetry and Long Memory in Volatility Modeling, Journal of Financial Econometrics, Oxford University Press (2012) Downloads View citations (54) (2012)
  3. Causality Between Market Liquidity and Depth for Energy and Grains
    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 View citations (2)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads View citations (2)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (2)

    See also Journal Article Causality between market liquidity and depth for energy and grains, Energy Economics, Elsevier (2012) Downloads View citations (24) (2012)
  4. Citations and Impact of ISI Tourism and Hospitality Journals
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (14)
    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 View citations (5)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (20)
  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 Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads View citations (14)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (16)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) Downloads View citations (38)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) Downloads View citations (31)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (14)

    See also Journal Article Conditional correlations and volatility spillovers between crude oil and stock index returns, The North American Journal of Economics and Finance, Elsevier (2013) Downloads View citations (128) (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
    Also in 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
    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
    KIER Working Papers, Kyoto University, Institute of Economic Research (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 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 View citations (1)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads

    See also Journal Article Estimating the impact of whaling on global whale-watching, Tourism Management, Elsevier (2012) Downloads View citations (1) (2012)
  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 (9)
  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
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (11)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads View citations (11)
  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 Evaluating Individual and Mean Non-Replicable Forecasts, Journal for Economic Forecasting, Institute for Economic Forecasting (2012) Downloads View citations (1) (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
    Also in 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 View citations (2)
    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 View citations (1)
  12. Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range
    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 (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 Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range, International Journal of Forecasting, Elsevier (2012) Downloads View citations (23) (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
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (37)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (44)

    See also Journal Article Great Expectatrics: Great Papers, Great Journals, Great Econometrics, Econometric Reviews, Taylor & Francis Journals (2011) Downloads View citations (19) (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 (4)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (7)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (11)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (29)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009) Downloads
  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 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
    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
  16. How are Journal Impact, Prestige and Article Influence Related? An Application to Neuroscience
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (34)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads View citations (5)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads View citations (25)
    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 How are journal impact, prestige and article influence related? An application to neuroscience, Journal of Applied Statistics, Taylor & Francis Journals (2011) Downloads View citations (13) (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 (6)
    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)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads View citations (20)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (11)

    See also Journal Article International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord, Journal of Forecasting, John Wiley & Sons, Ltd. (2013) View citations (13) (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 CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) Downloads View citations (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads View citations (5)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) Downloads View citations (1)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (2)
  19. Modelling and Forecasting Noisy Realized Volatility
    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 (2011) Downloads View citations (1)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (1)
    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 Modelling and forecasting noisy realized volatility, Computational Statistics & Data Analysis, Elsevier (2012) Downloads View citations (25) (2012)
  20. Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan
    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 (2010) Downloads View citations (5)
    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 View citations (1)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (1)
  21. Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (5)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads View citations (5)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (3)
  22. Risk Management of Precious Metals
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (79)
    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 (2)
    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

    See also Journal Article Risk management of precious metals, The Quarterly Review of Economics and Finance, Elsevier (2011) Downloads View citations (78) (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 (14)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads View citations (26)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (24)
    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 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), Elsevier (2013) Downloads View citations (5) (2013)
  24. Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (23)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (23)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads View citations (20)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads
  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
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads View citations (1)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads View citations (2)

    See also Journal Article Risk spillovers in oil-related CDS, stock and credit markets, Energy Economics, Elsevier (2013) Downloads View citations (31) (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 KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (1)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads

    See also Journal Article Structure and asymptotic theory for nonlinear models with GARCH erros, Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics] (2015) Downloads View citations (2) (2015)
  27. Testing the Box-Cox Parameter for an Integrated Process
    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 (2011) 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
  28. The Dynamics of Energy-Grain Prices with Open Interest
    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
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (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 (8)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (7)
    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 View citations (1)

    See also Journal Article The rise and fall of S&P500 variance futures, The North American Journal of Economics and Finance, Elsevier (2013) Downloads View citations (8) (2013)
  30. Volatility Spillovers from the Chinese Stock Market to Economic Neighbours
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (3)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads View citations (3)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (7)

    See also Journal Article Volatility spillovers from the Chinese stock market to economic neighbours, Mathematics and Computers in Simulation (MATCOM), Elsevier (2013) Downloads View citations (25) (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 CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads
    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

    See also Journal Article A simple expected volatility (SEV) index: Application to SET50 index options, Mathematics and Computers in Simulation (MATCOM), Elsevier (2010) Downloads View citations (10) (2010)
  2. A Trinomial Test for Paired Data When There are Many Ties
    KIER Working Papers, Kyoto University, Institute of Economic Research 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 (2010) 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

    See also Journal Article A trinomial test for paired data when there are many ties, Mathematics and Computers in Simulation (MATCOM), Elsevier (2011) Downloads View citations (14) (2011)
  3. Alternative Asymmetric Stochastic Volatility Models
    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 (10)
    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
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (2)

    See also Journal Article Alternative Asymmetric Stochastic Volatility Models, Econometric Reviews, Taylor & Francis Journals (2011) Downloads View citations (33) (2011)
  4. Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (81)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads View citations (28)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (33)
  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 (95)
    See also Journal Article Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets, Energy Economics, Elsevier (2010) Downloads View citations (95) (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 (39)
  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
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (5)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (5)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (13)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) Downloads View citations (5)

    See also Journal Article Crude oil hedging strategies using dynamic multivariate GARCH, Energy Economics, Elsevier (2011) Downloads View citations (211) (2011)
  10. Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (27)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) Downloads View citations (33)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (34)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (27)

    See also Journal Article DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS, Journal of Economic Surveys, Wiley Blackwell (2012) Downloads View citations (117) (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
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (3)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (4)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads View citations (2)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) Downloads View citations (3)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) Downloads View citations (3)
  13. Forecasting Realized Volatility with Linear and Nonlinear Models
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (1)
    Also in 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
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (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 FORECASTING REALIZED VOLATILITY WITH LINEAR AND NONLINEAR UNIVARIATE MODELS, Journal of Economic Surveys, Wiley Blackwell (2011) View citations (14) (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 (8)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (9)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2010) Downloads

    See also Journal Article GFC-robust risk management strategies under the Basel Accord, International Review of Economics & Finance, Elsevier (2013) Downloads View citations (16) (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 (17)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (12)

    See also Journal Article How accurate are government forecasts of economic fundamentals? The case of Taiwan, International Journal of Forecasting, Elsevier (2011) Downloads View citations (21) (2011)
  17. How does Zinfluence Affect Article Influence?
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
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  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 (11)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads View citations (11)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (11)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) Downloads View citations (31)

    See also Journal Article IV Estimation of a Panel Threshold Model of Tourism Specialization and Economic Development, Tourism Economics (2012) Downloads View citations (34) (2012)
  19. Identifying Shocks in Regionally Integrated East Asian Economies with Structural VAR and Block Exogeneity
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (10)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads View citations (32)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads View citations (1)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (11)

    See also Journal Article Identifying shocks in regionally integrated East Asian economies with structural VAR and block exogeneity, Mathematics and Computers in Simulation (MATCOM), Elsevier (2011) Downloads View citations (30) (2011)
  20. Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (7)
    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 (7)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (11)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (10)

    See also Journal Article Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations, Tourism Economics (2011) Downloads View citations (17) (2011)
  21. Journal Impact Factor Versus Eigenfactor and Article Influence
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    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads View citations (5)
  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 (70)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (76)

    See also Journal Article Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach, Energy Economics, Elsevier (2010) Downloads View citations (73) (2010)
  23. Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (74)
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) Downloads View citations (68)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads View citations (72)
  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 (17)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (13)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (24)
  25. Modeling the Effect of Oil Price on Global Fertilizer Prices
    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 View citations (5)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (5)
  26. Modeling the Volatility in Global Fertilizer Prices
    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
    KIER Working Papers, Kyoto University, Institute of Economic Research (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 (7)
    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 (2009) Downloads View citations (8)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads

    See also Journal Article Modelling conditional correlations in the volatility of Asian rubber spot and futures returns, Mathematics and Computers in Simulation (MATCOM), Elsevier (2011) Downloads View citations (8) (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 CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009) Downloads

    See also Journal Article Modelling the asymmetric volatility in hog prices in Taiwan: The impact of joining the WTO, Mathematics and Computers in Simulation (MATCOM), Elsevier (2011) Downloads View citations (8) (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 (2)
    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 Moment-based estimation of smooth transition regression models with endogenous variables, Journal of Econometrics, Elsevier (2011) Downloads View citations (15) (2011)
  31. Ranking Multivariate GARCH Models by Problem Dimension
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (13)
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) Downloads View citations (13)
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2010) Downloads View citations (18)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (13)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads View citations (13)
  32. Ten Things We Should Know About Time Series
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (2)
    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 View citations (1)

    See also Journal Article TEN THINGS WE SHOULD KNOW ABOUT TIME SERIES, Journal of Economic Surveys, Wiley Blackwell (2011) (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 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
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2008) 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
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads

    See also Journal Article Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2011) Downloads View citations (9) (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 Value-at-Risk for country risk ratings, Mathematics and Computers in Simulation (MATCOM), Elsevier (2011) Downloads View citations (4) (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 (25)
    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 (40)

    See also Journal Article WHAT MAKES A GREAT JOURNAL GREAT IN ECONOMICS? THE SINGER NOT THE SONG, Journal of Economic Surveys, Wiley Blackwell (2011) View citations (20) (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 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 (45)

    See also Journal Article What makes a great journal great in the sciences? Which came first, the chicken or the egg?, Scientometrics, Springer (2011) Downloads View citations (13) (2011)

2009

  1. A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (22)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2008) Downloads View citations (7)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (49)
  2. A General Asymptotic Theory for Time Series Models
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    See also Journal Article A general asymptotic theory for time‐series models, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2010) Downloads View citations (11) (2010)
  3. A Panel Threshold Model of Tourism Specialization and Economic Development
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Downloads View citations (23)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (14)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads View citations (2)
  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
    See also Journal Article A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS, Journal of Economic Surveys, Wiley Blackwell (2010) Downloads View citations (5) (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 (3)
    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 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 (2008) Downloads
  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
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (15)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads View citations (15)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (15)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (17)

    See also Journal Article Daily Tourist Arrivals, Exchange Rates and Voatility for Korea and Taiwan, Korean Economic Review, Korean Economic Association (2009) Downloads View citations (5) (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 (76)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009) Downloads
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (61)
  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
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo 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)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads View citations (1)
  12. Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (2)
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The 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 Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads View citations (4)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (3)
  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?
    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
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (1)
  16. Modeling Exchange Rate and Industrial Commodity Volatility Transmissions
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads View citations (7)
  17. Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (20)
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (15)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads View citations (23)
  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
    Also in "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2009) Downloads View citations (19)
  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
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (13)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2008) Downloads View citations (9)
  21. Modelling and Forecasting Daily International Mass Tourism to Peru
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (19)
    See also Journal Article Modelling and forecasting daily international mass tourism to Peru, Tourism Management, Elsevier (2010) Downloads View citations (29) (2010)
  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
  23. Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Downloads View citations (7)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (6)

    See also Journal Article Modelling the interactions across international stock, bond and foreign exchange markets, Applied Economics, Taylor & Francis Journals (2010) Downloads View citations (30) (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 View citations (2)
  25. Optimal Risk Management Before, During and After the 2008-09 Financial Crisis
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    Also in 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 (7)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009) Downloads
  26. Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (34)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (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)

    See also Journal Article Precious metals-exchange rate volatility transmissions and hedging strategies, International Review of Economics & Finance, Elsevier (2010) Downloads View citations (143) (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 View citations (7)
    See also Journal Article THE TEN COMMANDMENTS FOR MANAGING VALUE AT RISK UNDER THE BASEL II ACCORD, Journal of Economic Surveys, Wiley Blackwell (2009) Downloads View citations (45) (2009)
  30. The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Downloads View citations (49)
    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 (7)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2008) Downloads View citations (13)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (49)

    See also Journal Article THE TEN COMMANDMENTS FOR OPTIMIZING VALUE‐AT‐RISK AND DAILY CAPITAL CHARGES, Journal of Economic Surveys, Wiley Blackwell (2009) Downloads View citations (58) (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 CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (1)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The 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 (25)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (25)
  33. What Happened to Risk Management During the 2008-09 Financial Crisis?
    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 (2)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009) Downloads

2008

  1. A simple expected volatility (SEV) index
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
  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 Expert opinion versus expertise in forecasting, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2009) Downloads View citations (44) (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 (42)
    See also Journal Article Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets, The Quarterly Review of Economics and Finance, Elsevier (2009) Downloads View citations (111) (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 Econometric modelling in finance and risk management: An overview, Journal of Econometrics, Elsevier (2008) Downloads (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 (4)
    See also Journal Article On the robustness of alternative rankings methodologies: Australian and New Zealand economics departments, 1988 to 2002, Applied Economics, Taylor & Francis Journals (2010) Downloads View citations (2) (2010)
  3. Patent Activity and Technical Change
    DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada Downloads View citations (6)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2003) Downloads

    See also Journal Article Patent activity and technical change, Journal of Econometrics, Elsevier (2007) Downloads View citations (6) (2007)

2006

  1. Multivariate Stochastic Volatility
    Microeconomics Working Papers, East Asian Bureau of Economic Research Downloads View citations (247)
  2. Realized volatility: a review
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (54)
    See also Journal Article Realized Volatility: A Review, Econometric Reviews, Taylor & Francis Journals (2008) Downloads View citations (261) (2008)

2005

  1. Asymmetric Multivariate Stochastic Volatility
    DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada Downloads View citations (11)
    See also Journal Article Asymmetric Multivariate Stochastic Volatility, Econometric Reviews, Taylor & Francis Journals (2006) Downloads View citations (65) (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 Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments, Econometric Reviews, Taylor & Francis Journals (2009) Downloads View citations (1) (2009)
  4. Risk Management of Daily Tourist Tax Revenues for the Maldives
    Natural Resources Management Working Papers, Fondazione Eni Enrico Mattei (FEEM) Downloads View citations (4)
    Also in Working Papers, Fondazione Eni Enrico Mattei (2005) Downloads View citations (8)

2004

  1. Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns
    Working Papers, Fondazione Eni Enrico Mattei Downloads View citations (9)
    See also Journal Article Modeling dynamic conditional correlations in WTI oil forward and futures returns, Finance Research Letters, Elsevier (2006) Downloads View citations (43) (2006)
  2. Modelling Environmental Risk
    IHEID Working Papers, Economics Section, The Graduate Institute of International Studies Downloads View citations (15)

2003

  1. Asian Monetary Integration: A Structural VAR Approach
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (11)
    See also Journal Article Asian monetary integration: a structural VAR approach, Mathematics and Computers in Simulation (MATCOM), Elsevier (2004) Downloads View citations (15) (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 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, Japanese Economic Association (2003) Downloads (2003)
  3. Convergence and Catching Up in ASEAN: A Comparative Analysis
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (5)
    See also Journal Article Convergence and catching up in ASEAN: a comparative analysis, Applied Economics, Taylor & Francis Journals (2004) Downloads View citations (32) (2004)
  4. Ecologically Sustainable Tourism Management
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (5)
  5. Environmental Technology Strengths: International Rankings Based on US Patent Data
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (3)
  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 (28)
    Also in ISER Discussion Paper, Institute of Social and Economic Research, Osaka University (2001) Downloads View citations (8)

    See also Journal Article Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence, Econometric Reviews, Taylor & Francis Journals (2003) Downloads View citations (33) (2003)
  7. Fat Tails and Asymmetry in Financial Volatility Models
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (9)
    See also Journal Article Fat tails and asymmetry in financial volatility models, Mathematics and Computers in Simulation (MATCOM), Elsevier (2004) Downloads View citations (17) (2004)
  8. Input-output Structure and Growth in China
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    See also Journal Article Input–output structure and growth in China, Mathematics and Computers in Simulation (MATCOM), Elsevier (2004) Downloads View citations (4) (2004)
  9. Modelling International Travel Demand from Singapore to Australia
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (5)
  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 Modelling the asymmetric volatility of electronics patents in the USA, Mathematics and Computers in Simulation (MATCOM), Elsevier (2004) Downloads View citations (1) (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 (2)
    See also Journal Article Pricing of non-ferrous metals futures on the London Metal Exchange, Applied Financial Economics, Taylor & Francis Journals (2006) Downloads View citations (24) (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 Regression quantiles for unstable autoregressive models, Journal of Multivariate Analysis, Elsevier (2004) Downloads View citations (4) (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 (8)
  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 Volatility models of currency futures in developed and emerging markets, Mathematics and Computers in Simulation (MATCOM), Elsevier (2004) Downloads View citations (2) (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 (15)
  2. Asymptotic Theory for a Vector ARMA-GARCH Model
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University Downloads View citations (2)
    See also Journal Article ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL, Econometric Theory, Cambridge University Press (2003) Downloads View citations (639) (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 View citations (2)
    See also Journal Article Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers, Applied Financial Economics, Taylor & Francis Journals (2003) Downloads View citations (29) (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 (7)
  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 (45)
    See also Journal Article NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS, Econometric Theory, Cambridge University Press (2002) Downloads View citations (158) (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 (83)
  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 (11)
    See also Journal Article Stationarity and the existence of moments of a family of GARCH processes, Journal of Econometrics, Elsevier (2002) Downloads View citations (207) (2002)
  9. Testing Multiple Non-nested Factor Demand Systems
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University Downloads View citations (3)
    See also Journal Article Testing Multiple Non‐Nested Factor Demand Systems, Bulletin of Economic Research, Wiley Blackwell (2005) Downloads View citations (1) (2005)
  10. Time Series Forecasts of International Tourism Demand for Australia
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University Downloads View citations (24)

1995

  1. Testing Nested and Non-Nested Periodically Integrated Autoregressive Models
    Working Papers, Tilburg - Center for Economic Research View citations (5)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1995) Downloads View citations (2)
    Other publications TiSEM, Tilburg University, School of Economics and Management (1995) Downloads View citations (2)

1994

  1. Simplicity, scientific inference and econometric modelling
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (19)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1994) Downloads

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)
    Other publications TiSEM, Tilburg University, School of Economics and Management (1991) Downloads View citations (2)
    Discussion Paper, Tilburg University, Center for Economic Research (1991) Downloads View citations (2)
  2. Keynesian and new classical models of unemployment revisited
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (9)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1990) Downloads
    Working Papers, Tilburg - Center for Economic Research (1990)
    Other publications TiSEM, Tilburg University, School of Economics and Management (1990) Downloads

    See also Journal Article Keynesian and New Classical Models of Unemployment Revisited, Economic Journal, Royal Economic Society (1991) Downloads View citations (15) (1991)

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 View citations (1)
  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 View citations (2)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1990) Downloads View citations (1)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990) View citations (2)
    Discussion Paper, Tilburg University, Center for Economic Research (1990) Downloads View citations (2)
  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 (6)
    See also Journal Article Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1995) Downloads View citations (63) (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 Discussion Paper, Tilburg University, Center for Economic Research (1990) Downloads
    Working Papers, Australian National University - Department of Economics (1990)
    Other publications TiSEM, Tilburg University, School of Economics and Management (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. ON THE ROBUSTNESS OF BARRO'S NEW CLASSICAL UNEMPLOYMENT MODEL
    Working Papers, Australian National University - Department of Economics View citations (5)
  8. 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 On Efficient Estimation and Correct Inference in Models with Generated Regressors: a General Approach, The Japanese Economic Review, Japanese Economic Association (1997) Downloads View citations (112) (1997)
  9. SIMPLE PROCEDURES FOR TESTING AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS
    Working Papers, Australian National University - Department of Economics View citations (2)
    See also Journal Article Simple Procedures for Testing Autoregressive Versus Moving Average Errors in Regression Models, The Japanese Economic Review, Japanese Economic Association (1999) Downloads View citations (4) (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 (5)
  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 View citations (3)
  4. JOINT TESTS OF NON-NESTED MODLS AND GENERAL ERROR SPECIFICATIONS
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (2)
  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
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (1)
    Also in Working Papers, Australian National University - Department of Economics (1989) View citations (1)

    See also Journal Article The effects of misspecification in estimating the percentiles of some two- and three-parameter distributions, Mathematics and Computers in Simulation (MATCOM), Elsevier (1990) Downloads View citations (2) (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 (10)
    See also Journal Article Some Power Comparisons of Joint and Paired Tests for Nonnested Models under Local Hypotheses, Econometric Theory, Cambridge University Press (1989) Downloads View citations (10) (1989)

1985

  1. On the Consistency of Joint and Paired Tests for Non-Nested Regression Models
    Working Paper, Economics Department, Queen's University View citations (4)
  2. What Will Take the Con Out of Econometrics?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (100)
    See also Journal Article What Will Take the Con out of Econometrics?, American Economic Review, American Economic Association (1985) Downloads View citations (96) (1985)

1983

  1. Some exact tests for model specification
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (4)
    See also Journal Article Some Exact Tests for Model Specification, The Review of Economics and Statistics, MIT Press (1983) Downloads View citations (4) (1983)

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 A Note on Identifiability in the Linear Expenditure Family, Australian Economic Papers, Wiley Blackwell (1982) (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 (6)
    See also Journal Article Separate Misspecified Regressions and the U.S. Long-Run Demand for Money Function, The Review of Economics and Statistics, MIT Press (1982) Downloads View citations (5) (1982)
  3. Testing Separate Regression Models Subject to Specification Error
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (2)
    Also in Working Paper, Economics Department, Queen's University (1981)

    See also Journal Article Testing separate regression models subject to specification error, Journal of Econometrics, Elsevier (1982) Downloads View citations (2) (1982)

1981

  1. Alternative Procedures and Associated Tests of Significance for Non-Nested Hypotheses
    Working Paper, Economics Department, Queen's University View citations (69)
    See also Journal Article Alternative procedures and associated tests of significance for non-nested hypotheses, Journal of Econometrics, Elsevier (1981) Downloads View citations (77) (1981)
  2. Exact Tests of a Model Against Non-Nested Alternatives
    Working Paper, Economics Department, Queen's University View citations (8)
  3. Separate Misspecified Regressions
    Working Paper, Economics Department, Queen's University View citations (1)

1980

  1. Exogeneity and Money Demand in a Small Open Economy: The Canadian Case
    Working Paper, Economics Department, Queen's University
  2. Interest Rates and Durability in the Linear Expenditure Family
    Working Paper, Economics Department, Queen's University
    Also in Queen's Institute for Economic Research Discussion Papers, Queen's University - Department of Economics (1980) Downloads

    See also Journal Article Interest Rates and Durability in the Linear Expenditure Family, Canadian Journal of Economics, Canadian Economics Association (1981) Downloads View citations (1) (1981)
  3. Principles and Methods in the Testing of Alternative Models
    Queen's Institute for Economic Research Discussion Papers, Queen's University - Department of Economics Downloads View citations (1)
    Also in Working Paper, Economics Department, Queen's University (1980) View citations (1)
  4. The Interpretation of the Cox Test in Econometrics
    Working Paper, Economics Department, Queen's University View citations (2)
    See also Journal Article On the interpretation of the cox test in econometrics, Economics Letters, Elsevier (1979) Downloads View citations (7) (1979)
  5. Two Papers on Linear Models
    Working Paper, Economics Department, Queen's University
    Also in Queen's Institute for Economic Research Discussion Papers, Queen's University - Department of Economics (1980) Downloads
  6. Two Papers on Model Testing and Discrimination
    Queen's Institute for Economic Research Discussion Papers, Queen's University - Department of Economics Downloads
    Also in Working Paper, Economics Department, Queen's University (1980)

1979

  1. A Note On Problems of Estimating the Linear Expenditure System and Its Related Forms
    Queen's Institute for Economic Research Discussion Papers, Queen's University - Department of Economics Downloads
  2. Durable Goods in the Extended Linear Expenditure System: An Empirical Appraisal
    Working Paper, Economics Department, Queen's University View citations (1)
  3. Estimation of the Consumption Function: A Systems Approach to Employment Effects on the Purchases of Durables
    Working Paper, Economics Department, Queen's University View citations (3)
  4. Problems of Estimating the Linear Expenditure System and its Related Forms
    Working Paper, Economics Department, Queen's University
  5. Theory and Econometric Evaluation of a Systems Approach to Money Demand, The Canadian Case
    Working Paper, Economics Department, Queen's University

1978

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

Journal Articles

2023

  1. Drawbacks in the 3-Factor Approach of Fama and French (2018)
    Annals of Financial Economics (AFE), 2023, 18, (01), 1-26 Downloads
    See also Working Paper Drawbacks in the 3-Factor Approach of Fama and French (2018), Econometric Institute Research Papers (2019) Downloads (2019)

2022

  1. Bayesian Analysis of Realized Matrix-Exponential GARCH Models
    Computational Economics, 2022, 59, (1), 103-123 Downloads
    See also Working Paper Bayesian Analysis of Realized Matrix-Exponential GARCH Models, Tinbergen Institute Discussion Papers (2018) Downloads (2018)
  2. Impact of COVID-19 on returns-volatility spillovers in national and regional carbon markets in China
    Renewable and Sustainable Energy Reviews, 2022, 169, (C) Downloads
  3. Multivariate Hyper-Rotated GARCH-BEKK
    Journal of Time Series Econometrics, 2022, 14, (2), 175-198 Downloads View citations (1)
  4. Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
    Journal of Econometrics, 2022, 227, (1), 285-304 Downloads View citations (1)
  5. Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization
    Econometrics and Statistics, 2022, 24, (C), 133-150 Downloads
    See also Working Paper Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization, Econometric Institute Research Papers (2016) Downloads View citations (12) (2016)
  6. Trump’s COVID-19 tweets and Dr. Fauci’s emails
    Scientometrics, 2022, 127, (3), 1643-1655 Downloads
  7. “Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Some Antecedents on Causality
    Journal of the American Statistical Association, 2022, 117, (537), 214-224 Downloads View citations (1)

2021

  1. A Critical Analysis of Some Recent Medical Research in Science on COVID-19
    Advances in Decision Sciences, 2021, 25, (1), 216-332 Downloads View citations (1)
  2. A Critique of Recent Medical Research in JAMA on COVID-19
    Advances in Decision Sciences, 2021, 25, (1), 40-142 Downloads View citations (2)
  3. A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of the FTSE and S&P500 Indexes
    Risks, 2021, 9, (11), 1-20 Downloads View citations (3)
  4. ASSET INVESTMENT DIVERSIFICATION, BANKRUPTCY RISK AND THE MEDIATING ROLE OF BUSINESS DIVERSIFICATION
    Annals of Financial Economics (AFE), 2021, 16, (01), 1-26 Downloads
  5. Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models
    Econometrics, 2021, 9, (2), 1-21 Downloads
  6. Common Mental Disorders and Economic Uncertainty: Evidence from the COVID-19 Pandemic in the U.S
    PLOS ONE, 2021, 16, (12), 1-14 Downloads
  7. EVALUATING THE EFFICIENCY OF VIETNAM BANKS USING DATA ENVELOPMENT ANALYSIS
    Annals of Financial Economics (AFE), 2021, 16, (02), 1-17 Downloads View citations (2)
  8. Predicting COVID-19 Cases and Deaths in the USA from Tests and State Populations
    Advances in Decision Sciences, 2021, 25, (2), 1-27 Downloads View citations (2)
  9. SUBMISSIONS AND ACCEPTANCES FOR THE ANNALS OF FINANCIAL ECONOMICS (AFE)
    Annals of Financial Economics (AFE), 2021, 16, (01), 1-2 Downloads
  10. Specification and Estimation of a Logistic Function, with Applications in the Sciences and Social Sciences
    Advances in Decision Sciences, 2021, 25, (2), 74-104 Downloads View citations (1)
  11. Spurious Relationships for Nearly Non-Stationary Series
    JRFM, 2021, 14, (8), 1-24 Downloads View citations (2)
  12. Spurious cross-sectional dependence in credit spread changes
    Econometrics and Statistics, 2021, 18, (C), 12-27 Downloads
    See also Working Paper Spurious Cross-Sectional Dependence in Credit Spread Changes, Documentos de Trabajo del ICAE (2018) Downloads (2018)
  13. The Safety of Banks in Vietnam Using CAMEL
    Advances in Decision Sciences, 2021, 25, (2), 158-192 Downloads View citations (1)
  14. ZERO-INFLATED POISSON REGRESSION MODELS: APPLICATIONS IN THE SCIENCES AND SOCIAL SCIENCES
    Annals of Financial Economics (AFE), 2021, 16, (02), 1-19 Downloads View citations (1)

2020

  1. A Charter for Sustainable Tourism after COVID-19
    Sustainability, 2020, 12, (9), 1-4 Downloads View citations (57)
  2. A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index
    Energies, 2020, 13, (15), 1-11 Downloads View citations (5)
  3. Alternative Global Health Security Indexes for Risk Analysis of COVID-19
    IJERPH, 2020, 17, (9), 1-17 Downloads View citations (3)
  4. Causality between CO2 Emissions and Stock Markets
    Energies, 2020, 13, (11), 1-14 Downloads View citations (8)
  5. Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates
    Journal of Time Series Econometrics, 2020, 12, (1), 18 Downloads
    See also Working Paper Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates, Documentos de Trabajo del ICAE (2018) Downloads (2018)
  6. Comments on Recent COVID-19 Research in JAMA
    Advances in Decision Sciences, 2020, 24, (3), 63-83 Downloads View citations (2)
  7. Do We Need Stochastic Volatility and Generalised Autoregressive Conditional Heteroscedasticity? Comparing Squared End-Of-Day Returns on FTSE
    Risks, 2020, 8, (1), 1-20 Downloads View citations (1)
  8. FINANCIAL INTEGRATION, ENERGY CONSUMPTION AND ECONOMIC GROWTH IN VIETNAM
    Annals of Financial Economics (AFE), 2020, 15, (03), 1-19 Downloads View citations (2)
  9. FLATTENING THE CURVE IN RISK MANAGEMENT OF COVID-19: DO LOCKDOWNS WORK?
    Annals of Financial Economics (AFE), 2020, 15, (04), 1-26 Downloads
  10. Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks
    International Journal of Forecasting, 2020, 36, (3), 933-948 Downloads View citations (70)
    See also Working Paper Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks, Working Papers (2019) View citations (3) (2019)
  11. Herding behaviour in energy stock markets during the Global Financial Crisis, SARS, and ongoing COVID-19*
    Renewable and Sustainable Energy Reviews, 2020, 134, (C) Downloads View citations (41)
  12. Impact of Board Characteristics and State Ownership on Dividend Policy in Vietnam
    Advances in Decision Sciences, 2020, 24, (4), 1-34 Downloads
  13. Information Sharing, Bank Penetration and Tax Evasion in Emerging Markets
    Risks, 2020, 8, (2), 1-16 Downloads View citations (2)
  14. Is One Diagnostic Test for COVID-19 Enough?
    JRFM, 2020, 13, (4), 1-3 Downloads
  15. Net Interest Marginof Commercial Banks in Vietnam
    Advances in Decision Sciences, 2020, 24, (1), 1-27 Downloads View citations (3)
  16. PREDICTING CASES AND DEATHS IN EUROPE FROM COVID-19 TESTS AND COUNTRY POPULATIONS
    Annals of Financial Economics (AFE), 2020, 15, (04), 1-15 Downloads
  17. Prevention Is Better Than the Cure: Risk Management of COVID-19
    JRFM, 2020, 13, (3), 1-5 Downloads View citations (31)
  18. Protecting Scientific Integrity and Public Policy Pronouncements on COVID-19
    Advances in Decision Sciences, 2020, 24, (1), 70-84 Downloads View citations (3)
  19. Realized stochastic volatility models with generalized Gegenbauer long memory
    Econometrics and Statistics, 2020, 16, (C), 42-54 Downloads View citations (2)
    See also Working Paper Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory, Econometric Institute Research Papers (2017) Downloads View citations (9) (2017)
  20. Review Papers for Journal of Risk and Financial Management ( JRFM )
    JRFM, 2020, 13, (8), 1-4 Downloads
  21. Review on Efficiency and Anomalies in Stock Markets
    Economies, 2020, 8, (1), 1-51 Downloads View citations (13)
  22. Risk Management of COVID-19 by Universities in China
    JRFM, 2020, 13, (2), 1-6 Downloads View citations (50)
  23. Risk and Financial Management of COVID-19 in Business, Economics and Finance
    JRFM, 2020, 13, (5), 1-7 Downloads View citations (18)
  24. Seeking Clarity in a World Infected by COVID-19 and Fake News
    Advances in Decision Sciences, 2020, 24, (4), 35-43 Downloads View citations (1)
  25. Summary of Advances in Decision Sciences (ADS) - 2020
    Advances in Decision Sciences, 2020, 24, (4), 89-100 Downloads View citations (1)
  26. Systematic Risk at the Industry Level: A Case Study of Australia
    Risks, 2020, 8, (2), 1-12 Downloads View citations (1)
  27. Ten Most Highly Cited Papers in Journal of Risk and Financial Management (JRFM), 2018–2020
    JRFM, 2020, 13, (12), 1-5 Downloads
  28. The Future of Tourism in the COVID-19 Era
    Advances in Decision Sciences, 2020, 24, (3), 218-230 Downloads View citations (6)

2019

  1. A New Inequality Measure that is Sensitive to Extreme Values and Asymmetries
    Advances in Decision Sciences, 2019, 23, (1), 31-61 Downloads View citations (2)
    See also Working Paper A New Inequality Measure that is Sensitive to Extreme Values and Asymmetries, Documentos de Trabajo del ICAE (2017) Downloads (2017)
  2. Applications of the Newton-Raphson Method in Decision Sciences and Education
    Advances in Decision Sciences, 2019, 23, (4), 52-80 Downloads View citations (3)
  3. Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
    International Review of Economics & Finance, 2019, 59, (C), 50-70 Downloads View citations (5)
    See also Working Paper Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?, Econometric Institute Research Papers (2016) Downloads View citations (5) (2016)
  4. Choosing expected shortfall over VaR in Basel III using stochastic dominance
    International Review of Economics & Finance, 2019, 60, (C), 95-113 Downloads View citations (9)
    See also Working Paper Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance, Econometric Institute Research Papers (2015) Downloads View citations (2) (2015)
  5. Corporate Financial Distress of Industry Level Listings in Vietnam
    JRFM, 2019, 12, (4), 1-17 Downloads View citations (4)
  6. Daily market news sentiment and stock prices
    Applied Economics, 2019, 51, (30), 3212-3235 Downloads View citations (13)
    See also Working Paper Daily Market News Sentiment and Stock Prices, Documentos de Trabajo del ICAE (2015) Downloads (2015)
  7. Developing Formulas for Quick Calculation of Polyhedron Volume in Spatial Geometry: Application to Vietnam
    Journal of Reviews on Global Economics, 2019, 8, 815-837 Downloads View citations (4)
  8. Energy Consumption and Economic Growth: Evidence from Vietnam
    Journal of Reviews on Global Economics, 2019, 8, 350-361 Downloads View citations (12)
    See also Working Paper Energy Consumption and Economic Growth: Evidence from Vietnam, Econometric Institute Research Papers (2019) Downloads View citations (10) (2019)
  9. Establishing national carbon emission prices for China
    Renewable and Sustainable Energy Reviews, 2019, 106, (C), 1-16 Downloads View citations (14)
    See also Working Paper Establishing National Carbon Emission Prices for China, Tinbergen Institute Discussion Papers (2018) Downloads (2018)
  10. FINANCIAL INCLUSION AND MACROECONOMIC STABILITY IN EMERGING AND FRONTIER MARKETS
    Annals of Financial Economics (AFE), 2019, 14, (02), 1-15 Downloads View citations (12)
    See also Working Paper Financial inclusion and macroeconomic stability in emerging and frontier markets, Documentos de Trabajo del ICAE (2019) Downloads (2019)
  11. Fake News and Propaganda: Trump’s Democratic America and Hitler’s National Socialist (Nazi) Germany
    Sustainability, 2019, 11, (19), 1-19 Downloads
    See also Working Paper Fake News and Propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany, Econometric Institute Research Papers (2019) Downloads (2019)
  12. Firm History and Managerial Entrenchment: Empirical Evidence for Vietnam Listed Firms
    Journal of Reviews on Global Economics, 2019, 8, 803-814 Downloads
  13. Market Risk Analysis of Energy in Vietnam
    Risks, 2019, 7, (4), 1-13 Downloads View citations (2)
  14. Modeling Latent Carbon Emission Prices for Japan: Theory and Practice
    Energies, 2019, 12, (21), 1-21 Downloads View citations (1)
  15. Modeling and Testing Volatility Spillovers in Oil and Financial Markets for the USA, the UK, and China
    Energies, 2019, 12, (8), 1-24 Downloads View citations (6)
    See also Working Paper Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China, Econometric Institute Research Papers (2016) Downloads (2016)
  16. Modeling the Relationship between Crude Oil and Agricultural Commodity Prices
    Energies, 2019, 12, (7), 1-41 Downloads View citations (28)
    See also Working Paper Modelling the relationship between crude oil and agricultural commodity prices, Documentos de Trabajo del ICAE (2019) Downloads View citations (1) (2019)
  17. Modelling Economic Growth, Carbon Emissions, and Fossil Fuel Consumption in China: Cointegration and Multivariate Causality
    IJERPH, 2019, 16, (21), 1-35 Downloads View citations (8)
  18. Size, Internationalization, and University Rankings: Evaluating and Predicting Times Higher Education (THE) Data for Japan
    Sustainability, 2019, 11, (5), 1-12 Downloads View citations (1)
    See also Working Paper Size, Internationalization and University Rankings: Evaluating and Predicting Times Higher Education (THE) Data for Japan, Econometric Institute Research Papers (2019) Downloads View citations (1) (2019)
  19. Summary of Advances in Decision Sciences (ADS) - 2019
    Advances in Decision Sciences, 2019, 23, (4), 81-93 Downloads View citations (2)
  20. The Gender Wealth Gap by Household Head in Vietnam
    Advances in Decision Sciences, 2019, 23, (3), 122-153 Downloads View citations (3)
  21. The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures
    Energies, 2019, 12, (17), 1-17 Downloads View citations (32)
    See also Working Paper The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures, Econometric Institute Research Papers (2019) Downloads View citations (31) (2019)
  22. The fiction of full BEKK: Pricing fossil fuels and carbon emissions
    Finance Research Letters, 2019, 28, (C), 11-19 Downloads View citations (12)
    See also Working Paper The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions, Documentos de Trabajo del ICAE (2018) Downloads (2018)
  23. Volatility spillovers for spot, futures, and ETF prices in agriculture and energy
    Energy Economics, 2019, 81, (C), 779-792 Downloads View citations (14)
  24. What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity and (Non-) Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model
    JRFM, 2019, 12, (2), 1-7 Downloads View citations (20)
    See also Working Paper What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model, Econometric Institute Research Papers (2019) Downloads View citations (14) (2019)
  25. What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity, and (Non-) Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model
    JRFM, 2019, 12, (2), 1-9 Downloads View citations (16)
    See also Working Paper What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model, Econometric Institute Research Papers (2019) Downloads View citations (19) (2019)

2018

  1. 22ND ANNIVERSARY SPECIAL ISSUE OF ADVANCES IN DECISION SCIENCES (ADS), 1997-2018
    Advances in Decision Sciences, 2018, 22, (1), 1-12 Downloads View citations (4)
  2. A Statistical Analysis of Industrial Penetration and Internet Intensity in Taiwan
    Future Internet, 2018, 10, (3), 1-26 Downloads
    See also Working Paper A Statistical Analysis of Industrial Penetration and Internet Intensity in Taiwan, Econometric Institute Research Papers (2018) Downloads (2018)
  3. A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices
    Applied Economics, 2018, 50, (7), 804-823 Downloads View citations (13)
    See also Working Paper A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices, Econometric Institute Research Papers (2016) Downloads (2016)
  4. An Event Study Analysis of Political Events, Disasters, and Accidents for Chinese Tourists to Taiwan
    Sustainability, 2018, 10, (11), 1-77 Downloads View citations (3)
  5. Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections
    JRFM, 2018, 11, (1), 1-29 Downloads View citations (9)
    See also Working Paper Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections, Econometric Institute Research Papers (2018) Downloads View citations (11) (2018)
  6. Confucius and Herding Behaviour in the Stock Markets in China and Taiwan
    Sustainability, 2018, 10, (12), 1-16 Downloads View citations (13)
  7. Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK
    JRFM, 2018, 11, (4), 1-25 Downloads View citations (3)
    See also Working Paper Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK, Documentos de Trabajo del ICAE (2018) Downloads (2018)
  8. DECISION SCIENCES, ECONOMICS, FINANCE, BUSINESS, COMPUTING, AND BIG DATA: CONNECTIONS
    Advances in Decision Sciences, 2018, 22, (1), 36-94 Downloads View citations (3)
  9. EDITORIAL NOTE: REVIEW PAPERS FOR ANNALS OF FINANCIAL ECONOMICS
    Annals of Financial Economics (AFE), 2018, 13, (01), 1-2 Downloads View citations (1)
  10. Editorial Note: Review Papers for Journal of Risk and Financial Management (JRFM)
    JRFM, 2018, 11, (2), 1-2 Downloads View citations (1)
  11. Editorial Statement of Intent for Advances in Decision Sciences (ADS): 22nd Anniversary Special Issue in 2018
    Advances in Decision Sciences, 2018, 22, (1), 13-22 Downloads View citations (5)
  12. FAKE NEWS AND INDIFFERENCE TO TRUTH: DISSECTING TWEETS AND STATE OF THE UNION ADDRESSES BY PRESIDENTS OBAMA AND TRUMP
    Advances in Decision Sciences, 2018, 22, (1), 180-203 Downloads View citations (5)
    See also Working Paper Fake News and Indifference to Truth: Dissecting Tweets and State of the Union Addresses by Presidents Obama and Trump, Tinbergen Institute Discussion Papers (2018) Downloads View citations (5) (2018)
  13. Fake news and indifference to scientific fact: President Trump’s confused tweets on global warming, climate change and weather
    Scientometrics, 2018, 117, (1), 625-629 Downloads View citations (7)
    See also Working Paper Fake News and Indifference to Scientific Fact: President Trump's Confused Tweets on Global Warming, Climate Change and Weather, Documentos de Trabajo del ICAE (2018) Downloads (2018)
  14. Financial Credit Risk Evaluation Based on Core Enterprise Supply Chains
    Sustainability, 2018, 10, (10), 1-17 Downloads View citations (17)
    See also Working Paper Financial credit risk evaluation based on core enterprise supply chains, Documentos de Trabajo del ICAE (2019) Downloads (2019)
  15. Joint and Cross-Border Patents as Proxies for International Technology Diffusion
    International Journal of Innovation and Technology Management (IJITM), 2018, 15, (02), 1-29 Downloads View citations (1)
    See also Working Paper Joint and Cross-border Patents as Proxies for International Technology Diffusion, Tinbergen Institute Discussion Papers (2017) Downloads (2017)
  16. Long Run Returns Predictability and Volatility with Moving Averages
    Risks, 2018, 6, (4), 1-18 Downloads View citations (6)
    See also Working Paper Long Run Returns Predictability and Volatility with Moving Averages, Documentos de Trabajo del ICAE (2018) Downloads (2018)
  17. Market Timing with Moving Averages
    Sustainability, 2018, 10, (7), 1-25 Downloads View citations (6)
    See also Working Paper Market Timing with Moving Averages, Econometric Institute Research Papers (2018) Downloads View citations (6) (2018)
  18. Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices
    Renewable and Sustainable Energy Reviews, 2018, 81, (P1), 1002-1018 Downloads View citations (31)
    See also Working Paper Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices, Tinbergen Institute Discussion Papers (2017) Downloads View citations (21) (2017)
  19. Moving Average Market Timing in European Energy Markets: Production Versus Emissions
    Energies, 2018, 11, (12), 1-24 Downloads View citations (4)
  20. NON-PARAMETRIC MULTIPLE CHANGE POINT ANALYSIS OF THE GLOBAL FINANCIAL CRISIS
    Annals of Financial Economics (AFE), 2018, 13, (02), 1-23 Downloads View citations (1)
    See also Working Paper Nonparametric Multiple Change Point Analysis of the Global Financial Crisis, Tinbergen Institute Discussion Papers (2013) Downloads View citations (1) (2013)
  21. On the invertibility of EGARCH(p, q)
    Econometric Reviews, 2018, 37, (8), 824-849 Downloads View citations (12)
    See also Working Paper On the Invertibility of EGARCH(p,q), Tinbergen Institute Discussion Papers (2015) Downloads (2015)
  22. PRICING CARBON EMISSIONS IN CHINA
    Annals of Financial Economics (AFE), 2018, 13, (03), 1-37 Downloads View citations (5)
    See also Working Paper Pricing Carbon Emissions in China, Tinbergen Institute Discussion Papers (2018) Downloads View citations (5) (2018)
  23. President Trump Tweets Supreme Leader Kim Jong-Un on Nuclear Weapons: A Comparison with Climate Change †
    Sustainability, 2018, 10, (7), 1-6 Downloads View citations (4)
  24. RESEARCH IDEAS FOR ADVANCES IN DECISION SCIENCES (ADS): 22ND ANNIVERSARY SPECIAL ISSUE IN 2018
    Advances in Decision Sciences, 2018, 22, (1), 23-35 Downloads View citations (4)
    See also Working Paper Research Ideas for Advances in Decision Sciences (ADS): 22nd Anniversary Special Issue in 2018, Documentos de Trabajo del ICAE (2019) Downloads (2019)
  25. Specification Testing of Production in a Stochastic Frontier Model
    Sustainability, 2018, 10, (9), 1-10 Downloads View citations (12)
    See also Working Paper Specification Testing of Production in a Stochastic Frontier Model, Documentos de Trabajo del ICAE (2017) Downloads (2017)
  26. Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances
    Energy, 2018, 151, (C), 984-997 Downloads View citations (16)
    See also Working Paper Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances, Tinbergen Institute Discussion Papers (2016) Downloads (2016)
  27. Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management
    Energies, 2018, 11, (7), 1-19 Downloads View citations (4)
    See also Working Paper Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management, Econometric Institute Research Papers (2017) Downloads View citations (3) (2017)
  28. Theory and application of an economic performance measure of risk
    International Review of Economics & Finance, 2018, 56, (C), 383-396 Downloads View citations (18)
    See also Working Paper Theory and Application of an Economic Performance Measure of Risk, Documentos de Trabajo del ICAE (2017) Downloads (2017)
  29. Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice
    Energies, 2018, 11, (6), 1-19 Downloads View citations (28)
    See also Working Paper Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice, Econometric Institute Research Papers (2015) Downloads View citations (35) (2015)
  30. Why Are Warrant Markets Sustained in Taiwan but Not in China?
    Sustainability, 2018, 10, (10), 1-17 Downloads View citations (14)

2017

  1. A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises
    The North American Journal of Economics and Finance, 2017, 42, (C), 346-358 Downloads View citations (21)
    See also Working Paper A Bayesian Approach to Excess Volatility, Short-term Underreaction and Long-term Overreaction During Financial Crises, Tinbergen Institute Discussion Papers (2016) Downloads (2016)
  2. A Simple Test for Causality in Volatility
    Econometrics, 2017, 5, (1), 1-5 Downloads View citations (25)
    See also Working Paper A Simple Test for Causality in Volatility, Econometric Institute Research Papers (2016) Downloads View citations (2) (2016)
  3. A Tourism Financial Conditions Index for Tourism Finance
    Challenges, 2017, 8, (2), 1-17 Downloads View citations (2)
    See also Working Paper A Tourism Financial Conditions Index for Tourism Finance, Tinbergen Institute Discussion Papers (2017) Downloads View citations (2) (2017)
  4. A fractionally integrated Wishart stochastic volatility model
    Econometric Reviews, 2017, 36, (1-3), 42-59 Downloads
    See also Working Paper A Fractionally Integrated Wishart Stochastic Volatility Model, KIER Working Papers (2013) Downloads View citations (1) (2013)
  5. An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors
    IJFS, 2017, 6, (1), 1-24 Downloads View citations (1)
    See also Working Paper An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors, Econometric Institute Research Papers (2016) Downloads View citations (1) (2016)
  6. An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series
    Applied Economics, 2017, 49, (7), 677-692 Downloads View citations (12)
    See also Working Paper An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series, Tinbergen Institute Discussion Papers (2016) Downloads View citations (1) (2016)
  7. EDITORIAL NOTE: SPECIAL ISSUES OF ANNALS OF FINANCIAL ECONOMICS (AFE)
    Annals of Financial Economics (AFE), 2017, 12, (04), 1-2 Downloads
  8. Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
    JRFM, 2017, 10, (4), 1-16 Downloads View citations (2)
    See also Working Paper Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models, Tinbergen Institute Discussion Papers (2016) Downloads (2016)
  9. Forecasting the volatility of Nikkei 225 futures
    Journal of Futures Markets, 2017, 37, (11), 1141-1152 Downloads View citations (1)
    See also Working Paper Forecasting the Volatility of Nikkei 225 Futures, Tinbergen Institute Discussion Papers (2017) Downloads View citations (1) (2017)
  10. 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 Prediction of Gas Concentration Based on the Opposite Degree Algorithm, Econometric Institute Research Papers (2016) Downloads (2016)
  11. Re-Opening the Silk Road to Transform Chinese Trade
    Journal of Reviews on Global Economics, 2017, 6, 225-232 Downloads View citations (1)
    See also Working Paper Re-Opening the Silk Road to Transform Chinese Trade, Econometric Institute Research Papers (2017) Downloads View citations (1) (2017)
  12. Realized stochastic volatility with general asymmetry and long memory
    Journal of Econometrics, 2017, 199, (2), 202-212 Downloads View citations (17)
    See also Working Paper Realized Stochastic Volatility with General Asymmetry and Long Memory, Econometric Institute Research Papers (2017) Downloads View citations (17) (2017)
  13. 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 View citations (2)
  14. Risk Measurement and Risk Modelling Using Applications of Vine Copulas
    Sustainability, 2017, 9, (10), 1-34 Downloads View citations (10)
    See also Working Paper Risk Measurement and Risk Modelling Using Applications of Vine Copulas, Working Papers in Economics (2014) Downloads View citations (3) (2014)
  15. The correct regularity condition and interpretation of asymmetry in EGARCH
    Economics Letters, 2017, 161, (C), 52-55 Downloads View citations (27)
    See also Working Paper The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH, Econometric Institute Research Papers (2017) Downloads View citations (23) (2017)
  16. The impact of jumps and leverage in forecasting covolatility
    Econometric Reviews, 2017, 36, (6-9), 638-650 Downloads View citations (15)
    See also Working Paper The Impact of Jumps and Leverage in Forecasting Co-Volatility, Econometric Institute Research Papers (2015) Downloads (2015)
  17. Theravada Buddhism and Thai Luxury Fashion Consumption
    Journal of Reviews on Global Economics, 2017, 6, 58-67 Downloads View citations (4)
    See also Working Paper Theravada Buddhism and Thai Luxury Fashion Consumption, Tinbergen Institute Discussion Papers (2017) Downloads View citations (3) (2017)
  18. Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA
    Sustainability, 2017, 9, (10), 1-22 Downloads View citations (21)
    See also Working Paper Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA, Tinbergen Institute Discussion Papers (2017) Downloads View citations (28) (2017)
  19. Volatility Spillovers from Australia's major trading partners across the GFC
    International Review of Economics & Finance, 2017, 47, (C), 159-175 Downloads View citations (7)
    See also Working Paper Volatility Spillovers from Australia's Major Trading Partners across the GFC, Tinbergen Institute Discussion Papers (2014) Downloads View citations (2) (2014)
  20. Volatility spillover and multivariate volatility impulse response analysis of GFC news events
    Applied Economics, 2017, 49, (33), 3246-3262 Downloads View citations (8)
    See also Working Paper Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events, Econometric Institute Research Papers (2016) Downloads (2016)
  21. You’ve Got Email: A Workflow Management Extraction System
    Journal of Reviews on Global Economics, 2017, 6, 342-349 Downloads View citations (3)

2016

  1. A capital adequacy buffer model
    Applied Economics Letters, 2016, 23, (3), 175-179 Downloads View citations (1)
    See also Working Paper A Capital Adequacy Buffer Model, Documentos de Trabajo del ICAE (2013) Downloads (2013)
  2. Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis
    JRFM, 2016, 9, (2), 1-18 Downloads View citations (10)
  3. Market integration dynamics and asymptotic price convergence in distribution
    Economic Modelling, 2016, 52, (PB), 913-925 Downloads View citations (3)
    See also Working Paper Market Integration Dynamics and Asymptotic Price Convergence in Distribution, Documentos de Trabajo del ICAE (2015) Downloads (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 View citations (5)
    See also Working Paper Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies, Tinbergen Institute Discussion Papers (2015) Downloads (2015)
  5. Profiteering from the Dot-Com Bubble, Subprime Crisis and Asian Financial Crisis
    The Japanese Economic Review, 2016, 67, (3), 257-279 Downloads View citations (16)
    Also in The Japanese Economic Review, 2016, 67, (3), 257-279 (2016) Downloads View citations (16)

    See also Working Paper Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis, Tinbergen Institute Discussion Papers (2013) Downloads (2013)
  6. Robust Ranking of Journal Quality: An Application to Economics
    Econometric Reviews, 2016, 35, (1), 50-97 Downloads View citations (12)
    See also Working Paper Robust Ranking of Journal Quality: An Application to Economics, Tinbergen Institute Discussion Papers (2013) Downloads View citations (2) (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 (27)
    See also Working Paper Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview, Tinbergen Institute Discussion Papers (2014) Downloads (2014)
  2. Bibliometric Rankings of Journals Based on the Thomson Reuters Citations Database
    Journal of Reviews on Global Economics, 2015, 4, 120-125 Downloads View citations (6)
    See also Working Paper Bibliometric Rankings of Journals Based on the Thomson Reuters Citations Database, Documentos de Trabajo del ICAE (2015) Downloads (2015)
  3. Econometric analysis of financial derivatives: An overview
    Journal of Econometrics, 2015, 187, (2), 403-407 Downloads View citations (5)
    See also Working Paper Econometric Analysis of Financial Derivatives: An Overview, Working Papers in Economics (2014) Downloads (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 (9)
    See also Working Paper Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models, Tinbergen Institute Discussion Papers (2013) Downloads View citations (2) (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 (23)
    See also Working Paper Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance, Working Papers in Economics (2014) Downloads View citations (5) (2014)
  6. Frontiers in Time Series and Financial Econometrics: An overview
    Journal of Econometrics, 2015, 189, (2), 245-250 Downloads View citations (1)
    See also Working Paper Frontiers in Time Series and Financial Econometrics: An Overview, Tinbergen Institute Discussion Papers (2015) Downloads View citations (1) (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 (10)
    See also Working Paper Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing, Documentos de Trabajo del ICAE (2013) Downloads (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 (32)
  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 (61)
    See also Working Paper Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China, KIER Working Papers (2012) Downloads View citations (6) (2012)
  10. Structure and asymptotic theory for nonlinear models with GARCH erros
    Economia, 2015, 16, (1), 1_21 Downloads View citations (2)
    See also Working Paper Structure and Asymptotic theory for Nonlinear Models with GARCH Errors, Econometric Institute Research Papers (2011) Downloads (2011)
  11. The Fundamental Equation in Tourism Finance
    JRFM, 2015, 8, (4), 1-6 Downloads View citations (15)
    See also Working Paper The Fundamental Equation in Tourism Finance, Tinbergen Institute Discussion Papers (2015) Downloads View citations (21) (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 Volatility Smirk as an Externality of Agency Conflict and Growing Debt, Tinbergen Institute Discussion Papers (2013) Downloads (2013)

2014

  1. A One Line Derivation of EGARCH
    Econometrics, 2014, 2, (2), 1-6 Downloads View citations (74)
    See also Working Paper A One Line Derivation of EGARCH, Working Papers in Economics (2014) Downloads View citations (87) (2014)
  2. Asymmetric Realized Volatility Risk
    JRFM, 2014, 7, (2), 1-30 Downloads View citations (3)
    See also Working Paper Asymmetric Realized Volatility Risk, Documentos de Trabajo del ICAE (2014) Downloads View citations (1) (2014)
  3. Asymmetry and Leverage in Conditional Volatility Models
    Econometrics, 2014, 2, (3), 1-6 Downloads View citations (76)
    See also Working Paper Asymmetry and Leverage in Conditional Volatility Models, Econometric Institute Research Papers (2014) Downloads (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 View citations (1)
    See also Working Paper Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments, Working Papers in Economics (2012) Downloads View citations (10) (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 (8)
    See also Working Paper How Should Journal Quality be Ranked? An Application to Agricultural, Energy, Environmental and Resource Economics, KIER Working Papers (2012) Downloads (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 View citations (3)
    See also Working Paper Just How Good are the Top Three Journals in Finance? An Assessment Based on Quantity and Quality Citations, Working Papers in Economics (2014) Downloads View citations (5) (2014)
  9. Ranking Economics and Econometrics ISI Journals by Quality Weighted Citations
    Review of Economics, 2014, 65, (1), 35-52 Downloads View citations (7)
    See also Working Paper Ranking Economics and Econometrics ISI Journals by Quality Weighted Citations, Econometric Institute Research Papers (2014) Downloads View citations (1) (2014)
  10. Report on the Fifth International Mathematics in Finance (MiF) Conference 2014, Skukuza, Kruger National Park, South Africa
    JRFM, 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 (22)
    See also Working Paper Robust Ranking of Multivariate GARCH Models by Problem Dimension, KIER Working Papers (2012) Downloads View citations (9) (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 (6)
    See also Working Paper The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry, Working Papers in Economics (2013) Downloads (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 The Maximum Number of Parameters for the Hausman Test When the Estimators are from Different Sets of Equations, Working Papers in Economics (2014) Downloads View citations (1) (2014)

2013

  1. A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
    JRFM, 2013, 6, (1), 1-25 Downloads View citations (2)
    See also Working Paper A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500, Tinbergen Institute Discussion Papers (2013) Downloads View citations (2) (2013)
  2. Analyzing fixed-event forecast revisions
    International Journal of Forecasting, 2013, 29, (4), 622-627 Downloads View citations (7)
    See also Working Paper Analyzing Fixed-Event Forecast Revisions, Tinbergen Institute Discussion Papers (2013) Downloads View citations (6) (2013)
  3. Are forecast updates progressive?
    Mathematics and Computers in Simulation (MATCOM), 2013, 93, (C), 9-18 Downloads View citations (4)
    See also Working Paper Are Forecast Updates Progressive?, Tinbergen Institute Discussion Papers (2013) Downloads View citations (4) (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 (27)
    See also Working Paper Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence, KIER Working Papers (2013) Downloads View citations (33) (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 (128)
    See also Working Paper Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns, Documentos de Trabajo del ICAE (2011) Downloads (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 (16)
    See also Working Paper Financial Dependence Analysis: Applications of Vine Copulae, KIER Working Papers (2013) Downloads View citations (15) (2013)
  8. GFC-robust risk management strategies under the Basel Accord
    International Review of Economics & Finance, 2013, 27, (C), 97-111 Downloads View citations (16)
    See also Working Paper GFC-Robust Risk Management Strategies under the Basel Accord, Econometric Institute Research Papers (2010) Downloads View citations (2) (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 View citations (1)
    See also Working Paper GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies, Tinbergen Institute Discussion Papers (2013) Downloads View citations (2) (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 (18)
    See also Working Paper Globalization and Knowledge Spillover: International Direct Investment, Exports and Patents, Documentos de Trabajo del ICAE (2012) Downloads (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 (35)
    See also Working Paper Has the Basel Accord Improved Risk Management During the Global Financial Crisis, Working Papers in Economics (2013) Downloads View citations (33) (2013)
  12. Herding, Information Cascades and Volatility Spillovers in Futures Markets
    Journal of Reviews on Global Economics, 2013, 2, 307-329 Downloads View citations (4)
    See also Working Paper Herding, Information Cascades and Volatility Spillovers in Futures Markets, Documentos de Trabajo del ICAE (2013) Downloads (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 (13)
    See also Working Paper International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord, Econometric Institute Research Papers (2011) Downloads View citations (6) (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 (18)
    See also Working Paper Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism, Working Papers in Economics (2013) Downloads View citations (18) (2013)
  15. ROBUST ESTIMATION AND FORECASTING OF THE CAPITAL ASSET PRICING MODEL
    Annals of Financial Economics (AFE), 2013, 08, (02), 1-18 Downloads View citations (15)
    See also Working Paper Robust Estimation and Forecasting of the Capital Asset Pricing Model, Tinbergen Institute Discussion Papers (2013) Downloads View citations (15) (2013)
  16. Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc
    Econometrics, 2013, 1, (3), 1-19 Downloads View citations (15)
    See also Working Paper Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc, Working Papers in Economics (2014) Downloads View citations (4) (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 (17)
    See also Working Paper Ranking Journal Quality by Harmonic Mean of Ranks: An Application to ISI Statistics & Probability, Econometric Institute Research Papers (2012) Downloads View citations (4) (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 Recent Developments in Financial Economics and Econometrics: An Overview, Working Papers in Economics (2013) Downloads View citations (4) (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 (22)
    See also Working Paper Risk Management and Financial Derivatives: An Overview, Working Papers in Economics (2012) Downloads (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 (5)
    See also Working Paper Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures, Econometric Institute Research Papers (2011) Downloads View citations (14) (2011)
  21. Risk spillovers in oil-related CDS, stock and credit markets
    Energy Economics, 2013, 36, (C), 526-535 Downloads View citations (31)
    See also Working Paper Risk Spillovers in Oil-Related CDS, Stock and Credit Markets, KIER Working Papers (2011) Downloads View citations (2) (2011)
  22. Ten Things You Should Know about the Dynamic Conditional Correlation Representation
    Econometrics, 2013, 1, (1), 1-12 Downloads View citations (84)
    See also Working Paper Ten Things You Should Know About the Dynamic Conditional Correlation Representation, Econometric Institute Research Papers (2013) Downloads View citations (84) (2013)
  23. The Journal of Risk and Financial Management in Open Access
    JRFM, 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 (8)
    See also Working Paper The Rise and Fall of S&P500 Variance Futures, Working Papers in Economics (2011) Downloads View citations (8) (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 (25)
    See also Working Paper Volatility Spillovers from the Chinese Stock Market to Economic Neighbours, Working Papers in Economics (2011) Downloads View citations (3) (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 View citations (3)
    See also Working Paper What Do Experts Know About Forecasting Journal Quality? A Comparison with ISI Research Impact in Finance, Working Papers in Economics (2013) Downloads View citations (12) (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 (18)
    See also Working Paper Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates, Documentos de Trabajo del ICAE (2011) Downloads (2011)
  2. Asymmetric adjustments in the ethanol and grains markets
    Energy Economics, 2012, 34, (6), 1990-2002 Downloads View citations (18)
    See also Working Paper Asymmetric Adjustments in the Ethanol and Grains Markets, Documentos de Trabajo del ICAE (2012) Downloads View citations (1) (2012)
  3. Asymmetry and Long Memory in Volatility Modeling
    Journal of Financial Econometrics, 2012, 10, (3), 495-512 Downloads View citations (54)
    See also Working Paper Asymmetry and Long Memory in Volatility Modelling, Documentos de Trabajo del ICAE (2011) Downloads (2011)
  4. Causality between market liquidity and depth for energy and grains
    Energy Economics, 2012, 34, (5), 1683-1692 Downloads View citations (24)
    See also Working Paper Causality Between Market Liquidity and Depth for Energy and Grains, Documentos de Trabajo del ICAE (2011) Downloads (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 (117)
    See also Working Paper Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models, Econometric Institute Research Papers (2010) Downloads View citations (27) (2010)
  6. Estimating the impact of whaling on global whale-watching
    Tourism Management, 2012, 33, (6), 1321-1328 Downloads View citations (1)
    See also Working Paper Estimating the Impact of Whaling on Global Whale Watching, Documentos de Trabajo del ICAE (2011) Downloads (2011)
  7. Evaluating Individual and Mean Non-Replicable Forecasts
    Journal for Economic Forecasting, 2012, (3), 22-43 Downloads View citations (1)
    See also Working Paper Evaluating Individual and Mean Non-Replicable Forecasts, KIER Working Papers (2011) Downloads (2011)
  8. 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 (23)
    See also Working Paper Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range, Documentos de Trabajo del ICAE (2011) Downloads (2011)
  9. How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?
    Journal of Reviews on Global Economics, 2012, 1, 1-12 Downloads View citations (1)
    See also Working Paper How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?, Tinbergen Institute Discussion Papers (2013) Downloads (2013)
  10. IV Estimation of a Panel Threshold Model of Tourism Specialization and Economic Development
    Tourism Economics, 2012, 18, (1), 5-41 Downloads View citations (34)
    See also Working Paper IV Estimation of a Panel Threshold Model of Tourism Specialization and Economic Development, KIER Working Papers (2010) Downloads View citations (11) (2010)
  11. 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 (3)
  12. MODELLING LONG MEMORY VOLATILITY IN AGRICULTURAL COMMODITY FUTURES RETURNS
    Annals of Financial Economics (AFE), 2012, 07, (02), 1-27 Downloads View citations (18)
    See also Working Paper Modelling Long Memory Volatility in Agricultural Commodity Futures Return, KIER Working Papers (2012) Downloads View citations (28) (2012)
  13. Modelling and forecasting noisy realized volatility
    Computational Statistics & Data Analysis, 2012, 56, (1), 217-230 Downloads View citations (25)
    See also Working Paper Modelling and Forecasting Noisy Realized Volatility, KIER Working Papers (2011) Downloads (2011)
  14. Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
    JRFM, 2012, 5, (1), 1-37 Downloads View citations (13)
    See also Working Paper Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility, Working Papers in Economics (2013) Downloads View citations (1) (2013)
  15. Professor Halbert L. White, 1950–2012
    Journal of Economic Surveys, 2012, 26, (4), 551-554 Downloads
  16. 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 View citations (14)
    See also Working Paper A Trinomial Test for Paired Data When There are Many Ties, KIER Working Papers (2010) Downloads (2010)
  2. Alternative Asymmetric Stochastic Volatility Models
    Econometric Reviews, 2011, 30, (5), 548-564 Downloads View citations (33)
    See also Working Paper Alternative Asymmetric Stochastic Volatility Models, Econometric Institute Research Papers (2010) Downloads (2010)
  3. Crude oil hedging strategies using dynamic multivariate GARCH
    Energy Economics, 2011, 33, (5), 912-923 Downloads View citations (211)
    See also Working Paper Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH, Econometric Institute Research Papers (2010) Downloads View citations (5) (2010)
  4. FORECASTING REALIZED VOLATILITY WITH LINEAR AND NONLINEAR UNIVARIATE MODELS
    Journal of Economic Surveys, 2011, 25, (1), 6-18 View citations (14)
    See also Working Paper Forecasting Realized Volatility with Linear and Nonlinear Univariate Models, Working Papers in Economics (2010) Downloads View citations (1) (2010)
  5. Great Expectatrics: Great Papers, Great Journals, Great Econometrics
    Econometric Reviews, 2011, 30, (6), 583-619 Downloads View citations (19)
    See also Working Paper Great Expectatrics: Great Papers, Great Journals, Great Econometrics, Documentos de Trabajo del ICAE (2011) Downloads (2011)
  6. How accurate are government forecasts of economic fundamentals? The case of Taiwan
    International Journal of Forecasting, 2011, 27, (4), 1066-1075 Downloads View citations (21)
    See also Working Paper How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan, KIER Working Papers (2010) Downloads View citations (16) (2010)
  7. 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 (13)
    See also Working Paper How are Journal Impact, Prestige and Article Influence Related? An Application to Neuroscience, KIER Working Papers (2011) Downloads View citations (34) (2011)
  8. 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 (30)
    See also Working Paper Identifying Shocks in Regionally Integrated East Asian Economies with Structural VAR and Block Exogeneity, Working Papers in Economics (2010) Downloads View citations (10) (2010)
  9. Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations
    Tourism Economics, 2011, 17, (3), 481-507 Downloads View citations (17)
    See also Working Paper Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations, KIER Working Papers (2010) Downloads View citations (7) (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 (8)
    See also Working Paper Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns, KIER Working Papers (2010) Downloads View citations (7) (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 (8)
    See also Working Paper Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO, Working Papers in Economics (2010) Downloads View citations (3) (2010)
  12. Moment-based estimation of smooth transition regression models with endogenous variables
    Journal of Econometrics, 2011, 165, (1), 100-111 Downloads View citations (15)
    See also Working Paper Moment-based estimation of smooth transition regression models with endogenous variables, Textos para discussão (2010) Downloads View citations (2) (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 (3)
  14. Risk management of precious metals
    The Quarterly Review of Economics and Finance, 2011, 51, (4), 435-441 Downloads View citations (78)
    See also Working Paper Risk Management of Precious Metals, KIER Working Papers (2011) Downloads View citations (79) (2011)
  15. TEN THINGS WE SHOULD KNOW ABOUT TIME SERIES
    Journal of Economic Surveys, 2011, 25, (1), 185-188
    See also Working Paper Ten Things We Should Know About Time Series, Working Papers in Economics (2010) Downloads View citations (2) (2010)
  16. Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
    Statistica Neerlandica, 2011, 65, (2), 125-163 Downloads View citations (9)
    See also Working Paper Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH, Econometric Institute Research Papers (2010) Downloads View citations (3) (2010)
  17. Value-at-Risk for country risk ratings
    Mathematics and Computers in Simulation (MATCOM), 2011, 81, (7), 1454-1463 Downloads View citations (4)
    See also Working Paper Value-at-Risk for Country Risk Ratings, Working Papers in Economics (2010) Downloads View citations (3) (2010)
  18. WHAT MAKES A GREAT JOURNAL GREAT IN ECONOMICS? THE SINGER NOT THE SONG
    Journal of Economic Surveys, 2011, 25, (2), 326-361 View citations (20)
    See also Working Paper What Makes a Great Journal Great in Economics? The Singer Not the Song, Econometric Institute Research Papers (2010) Downloads View citations (25) (2010)
  19. What makes a great journal great in the sciences? Which came first, the chicken or the egg?
    Scientometrics, 2011, 87, (1), 17-40 Downloads View citations (13)
    See also Working Paper What Makes a Great Journal Great in the Sciences? Which Came First, the Chicken or the Egg?, Working Papers in Economics (2010) Downloads View citations (1) (2010)

2010

  1. A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS
    Journal of Economic Surveys, 2010, 24, (1), 192-195 Downloads View citations (5)
    See also Working Paper A Scientific Classification of Volatility Models, Documentos de Trabajo del ICAE (2009) Downloads (2009)
  2. A general asymptotic theory for time‐series models
    Statistica Neerlandica, 2010, 64, (1), 97-111 Downloads View citations (11)
    See also Working Paper A General Asymptotic Theory for Time Series Models, CIRJE F-Series (2009) Downloads (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 (10)
    See also Working Paper A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options, Working Papers in Economics (2010) Downloads View citations (15) (2010)
  4. Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets
    Energy Economics, 2010, 32, (6), 1445-1455 Downloads View citations (95)
    See also Working Paper Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets, Working Papers in Economics (2010) Downloads View citations (95) (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 (73)
    See also Working Paper Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach, KIER Working Papers (2010) Downloads View citations (70) (2010)
  6. Modelling and forecasting daily international mass tourism to Peru
    Tourism Management, 2010, 31, (6), 846-854 Downloads View citations (29)
    See also Working Paper Modelling and Forecasting Daily International Mass Tourism to Peru, CIRJE F-Series (2009) Downloads View citations (19) (2009)
  7. Modelling the interactions across international stock, bond and foreign exchange markets
    Applied Economics, 2010, 42, (7), 825-850 Downloads View citations (30)
    See also Working Paper Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets, CARF F-Series (2009) Downloads View citations (7) (2009)
  8. 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 (2)
    See also Working Paper On the Robustness of Alternative Rankings Methodologies: Australian and New Zealand Economics Departments, 1988-2002, MPRA Paper (2007) Downloads View citations (4) (2007)
  9. Precious metals-exchange rate volatility transmissions and hedging strategies
    International Review of Economics & Finance, 2010, 19, (4), 633-647 Downloads View citations (143)
    See also Working Paper Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies, Econometric Institute Research Papers (2009) Downloads View citations (34) (2009)
  10. THE TEN COMMANDMENTS FOR MANAGING INVESTMENTS
    Journal of Economic Surveys, 2010, 24, (1), 196-200 Downloads View citations (25)

2009

  1. A risk map of international tourist regions in Spain
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (9), 2741-2758 Downloads View citations (2)
  2. ARMAX modelling of international tourism demand
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (9), 2879-2888 Downloads View citations (17)
  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 (11)
  4. Daily Tourist Arrivals, Exchange Rates and Voatility for Korea and Taiwan
    Korean Economic Review, 2009, 25, 241-267 Downloads View citations (5)
    See also Working Paper Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan, Econometric Institute Research Papers (2009) Downloads View citations (15) (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 (15)
  6. Estimating the Impact of Avian Flu on International Tourism Demand Using Panel Data
    Tourism Economics, 2009, 15, (3), 501-511 Downloads View citations (25)
  7. Expert opinion versus expertise in forecasting
    Statistica Neerlandica, 2009, 63, (3), 334-346 Downloads View citations (44)
    See also Working Paper Expert opinion versus expertise in forecasting, Econometric Institute Research Papers (2008) Downloads View citations (2) (2008)
  8. Forecasting conditional correlations in stock, bond and foreign exchange markets
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (9), 2830-2846 Downloads View citations (6)
  9. In Memoriam
    Journal of Economic Surveys, 2009, 23, (4), 613-616 Downloads
  10. Linear and nonlinear causality between changes in consumption and consumer attitudes
    Economics Letters, 2009, 102, (3), 161-164 Downloads View citations (48)
  11. Mapping the Presidential Election Cycle in US stock markets
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (11), 3267-3277 Downloads View citations (36)
  12. Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments
    Econometric Reviews, 2009, 28, (6), 522-554 Downloads View citations (1)
    See also Working Paper Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments, DEA Working Papers (2005) Downloads View citations (3) (2005)
  13. Modelling Air Passenger Arrivals in the Balearic and Canary Islands, Spain
    Tourism Economics, 2009, 15, (3), 481-500 Downloads View citations (2)
  14. Modelling and managing financial risk: An overview
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (8), 2521-2524 Downloads View citations (3)
  15. 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 (8)
  16. Multivariate stochastic volatility, leverage and news impact surfaces
    Econometrics Journal, 2009, 12, (2), 292-309 View citations (58)
  17. 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 (111)
    See also Working Paper Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets, Econometric Institute Research Papers (2008) Downloads View citations (42) (2008)
  18. Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
    Econometric Reviews, 2009, 28, (5), 422-440 Downloads View citations (233)
  19. 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 (45)
    See also Working Paper The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord, Documentos de Trabajo del ICAE (2009) Downloads View citations (7) (2009)
  20. THE TEN COMMANDMENTS FOR OPTIMIZING VALUE‐AT‐RISK AND DAILY CAPITAL CHARGES
    Journal of Economic Surveys, 2009, 23, (5), 831-849 Downloads View citations (58)
    See also Working Paper The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges, CARF F-Series (2009) Downloads View citations (49) (2009)
  21. The structure of dynamic correlations in multivariate stochastic volatility models
    Journal of Econometrics, 2009, 150, (2), 182-192 Downloads View citations (64)

2008

  1. A Portfolio Index GARCH model
    International Journal of Forecasting, 2008, 24, (3), 449-461 Downloads View citations (8)
  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 (126)
  3. A neural network demand system with heteroskedastic errors
    Journal of Econometrics, 2008, 147, (2), 359-371 Downloads View citations (6)
  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 (22)
  5. Econometric modelling in finance and risk management: An overview
    Journal of Econometrics, 2008, 147, (1), 1-4 Downloads
    See also Working Paper Econometric modelling in finance and risk management: An overview, MPRA Paper (2007) Downloads View citations (1) (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 (7)
  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 (31)
  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 (82)
  9. GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
    Econometric Theory, 2008, 24, (6), 1554-1583 Downloads View citations (164)
  10. How has volatility in metals markets changed?
    Mathematics and Computers in Simulation (MATCOM), 2008, 78, (2), 237-249 Downloads View citations (30)
  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 (27)
  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 (10)
  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 (12)
  17. Realized Volatility: A Review
    Econometric Reviews, 2008, 27, (1-3), 10-45 Downloads View citations (261)
    See also Working Paper Realized volatility: a review, Textos para discussão (2006) Downloads View citations (54) (2006)
  18. Scalar BEKK and indirect DCC
    Journal of Forecasting, 2008, 27, (6), 537-549 Downloads View citations (89)
  19. Single-index and portfolio models for forecasting value-at-risk thresholds
    Journal of Forecasting, 2008, 27, (3), 217-235 Downloads View citations (84)

2007

  1. An econometric analysis of asymmetric volatility: Theory and application to patents
    Journal of Econometrics, 2007, 139, (2), 259-284 Downloads View citations (225)
  2. MEASURING RISK IN ENVIRONMENTAL FINANCE
    Journal of Economic Surveys, 2007, 21, (5), 970-998 Downloads View citations (16)
  3. Non-trading day effects in asymmetric conditional and stochastic volatility models
    Econometrics Journal, 2007, 10, (1), 113-123 View citations (2)
  4. Patent activity and technical change
    Journal of Econometrics, 2007, 139, (2), 355-375 Downloads View citations (6)
    See also Working Paper Patent Activity and Technical Change, DEA Working Papers (2007) Downloads View citations (6) (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 (65)
    See also Working Paper Asymmetric Multivariate Stochastic Volatility, DEA Working Papers (2005) Downloads View citations (11) (2005)
  2. Dynamic Asymmetric GARCH
    Journal of Financial Econometrics, 2006, 4, (3), 385-412 Downloads View citations (22)
  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 View citations (3)
  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 (15)
  6. Modeling dynamic conditional correlations in WTI oil forward and futures returns
    Finance Research Letters, 2006, 3, (2), 114-132 Downloads View citations (43)
    See also Working Paper Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns, Working Papers (2004) Downloads View citations (9) (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 (30)
  8. Multivariate Stochastic Volatility: A Review
    Econometric Reviews, 2006, 25, (2-3), 145-175 Downloads View citations (229)
  9. Multivariate Stochastic Volatility: An Overview
    Econometric Reviews, 2006, 25, (2-3), 139-144 Downloads View citations (31)
  10. Pricing of non-ferrous metals futures on the London Metal Exchange
    Applied Financial Economics, 2006, 16, (12), 853-880 Downloads View citations (24)
    See also Working Paper Pricing of Non-ferrous Metals Futures on the London Metal Exchange, CIRJE F-Series (2003) Downloads View citations (2) (2003)

2005

  1. A new measure of innovation: The patent success ratio
    Scientometrics, 2005, 63, (3), 421-429 Downloads View citations (4)
  2. AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
    Econometric Theory, 2005, 21, (1), 232-261 Downloads View citations (336)
  3. Antitrust environment and innovation
    Scientometrics, 2005, 64, (3), 301-311 Downloads View citations (1)
  4. Dynamic Asymmetric Leverage in Stochastic Volatility Models
    Econometric Reviews, 2005, 24, (3), 317-332 Downloads View citations (47)
  5. Estimation of Chinese agricultural production efficiencies with panel data
    Mathematics and Computers in Simulation (MATCOM), 2005, 68, (5), 474-483 Downloads View citations (15)
  6. Modelling Country Risk and Uncertainty in Small Island Tourism Economies
    Tourism Economics, 2005, 11, (2), 159-183 Downloads View citations (20)
  7. Modelling the information content in insider trades in the Singapore exchange
    Mathematics and Computers in Simulation (MATCOM), 2005, 68, (5), 417-428 Downloads
  8. 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)
  9. Related commodity markets and conditional correlations
    Mathematics and Computers in Simulation (MATCOM), 2005, 68, (5), 567-579 Downloads View citations (2)
  10. Speculation and destabilisation
    Mathematics and Computers in Simulation (MATCOM), 2005, 69, (1), 151-161 Downloads View citations (1)
  11. Testing Multiple Non‐Nested Factor Demand Systems
    Bulletin of Economic Research, 2005, 57, (1), 37-66 Downloads View citations (1)
    See also Working Paper Testing Multiple Non-nested Factor Demand Systems, ISER Discussion Paper (2001) Downloads View citations (3) (2001)
  12. Testing for contagion in ASEAN exchange rates
    Mathematics and Computers in Simulation (MATCOM), 2005, 68, (5), 517-525 Downloads View citations (13)
  13. The Ten Commandments for Academics
    Journal of Economic Surveys, 2005, 19, (5), 823-826 Downloads View citations (19)
  14. The ten commandments for ranking university quality
    Journal of Economic Surveys, 2005, 19, (4), 649-653 Downloads View citations (12)

2004

  1. An Empirical Assessment of Country Risk Ratings and Associated Models
    Journal of Economic Surveys, 2004, 18, (4), 539-588 Downloads View citations (41)
  2. Asian monetary integration: a structural VAR approach
    Mathematics and Computers in Simulation (MATCOM), 2004, 64, (3), 447-458 Downloads View citations (15)
    See also Working Paper Asian Monetary Integration: A Structural VAR Approach, CIRJE F-Series (2003) Downloads View citations (11) (2003)
  3. Convergence and catching up in ASEAN: a comparative analysis
    Applied Economics, 2004, 36, (2), 137-153 Downloads View citations (32)
    See also Working Paper Convergence and Catching Up in ASEAN: A Comparative Analysis, CIRJE F-Series (2003) Downloads View citations (5) (2003)
  4. Econometric modelling of non‐ferrous metal prices
    Journal of Economic Surveys, 2004, 18, (5), 651-701 Downloads View citations (38)
  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 (17)
    See also Working Paper Fat Tails and Asymmetry in Financial Volatility Models, CIRJE F-Series (2003) Downloads View citations (9) (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 View citations (1)
  8. Input–output structure and growth in China
    Mathematics and Computers in Simulation (MATCOM), 2004, 64, (1), 193-202 Downloads View citations (4)
    See also Working Paper Input-output Structure and Growth in China, CIRJE F-Series (2003) Downloads (2003)
  9. Is a monetary union feasible for East Asia?
    Applied Economics, 2004, 36, (10), 1031-1043 Downloads View citations (21)
  10. Modelling the asymmetric volatility of anti-pollution patents in the USA
    Scientometrics, 2004, 59, (2), 179-197 Downloads View citations (1)
  11. 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 Modelling the Asymmetric Volatility of Electronics Patents in the USA, CIRJE F-Series (2003) Downloads (2003)
  12. 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 (33)
  13. Regression quantiles for unstable autoregressive models
    Journal of Multivariate Analysis, 2004, 89, (2), 304-328 Downloads View citations (4)
    See also Working Paper Regression Quantiles for Unstable Autoregressive Models, CIRJE F-Series (2003) Downloads (2003)
  14. 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
  15. Trends and volatilities in foreign patents registered in the USA
    Applied Economics, 2004, 36, (6), 585-592 Downloads View citations (3)
  16. Volatility models of currency futures in developed and emerging markets
    Mathematics and Computers in Simulation (MATCOM), 2004, 64, (1), 79-93 Downloads View citations (2)
    See also Working Paper Volatility Models of Currency Futures in Developed and Emerging Markets, CIRJE F-Series (2003) Downloads (2003)

2003

  1. ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
    Econometric Theory, 2003, 19, (2), 280-310 Downloads View citations (639)
    See also Working Paper Asymptotic Theory for a Vector ARMA-GARCH Model, ISER Discussion Paper (2001) Downloads View citations (2) (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 Asymptotic Properties of the Estimator of the Long-run Coefficient in a Dynamic Model with Integrated Regressors and Serially Correlated Errors, CIRJE F-Series (2003) Downloads (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 (29)
    See also Working Paper Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers, ISER Discussion Paper (2001) Downloads View citations (2) (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 (33)
    See also Working Paper Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence, CIRJE F-Series (2003) Downloads View citations (28) (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 (16)
  2. Cointegration analysis of metals futures
    Mathematics and Computers in Simulation (MATCOM), 2002, 59, (1), 207-221 Downloads View citations (10)
  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 (13)
  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 (46)
  6. NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
    Econometric Theory, 2002, 18, (3), 722-729 Downloads View citations (158)
    See also Working Paper Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models, ISER Discussion Paper (2001) Downloads View citations (45) (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 (3)
  8. Recent Theoretical Results for Time Series Models with GARCH Errors
    Journal of Economic Surveys, 2002, 16, (3), 245-269 Downloads View citations (186)
  9. Stationarity and the existence of moments of a family of GARCH processes
    Journal of Econometrics, 2002, 106, (1), 109-117 Downloads View citations (207)
    See also Working Paper Stationarity and the Existence of Moments of a Family of GARCH Processes, ISER Discussion Paper (2001) Downloads View citations (11) (2001)
  10. The Econometrics of Financial Time Series
    Journal of Economic Surveys, 2002, 16, (3), 237-243 Downloads View citations (44)
  11. The International Congress on Modelling and Simulation: Hamilton, New Zealand, December 1999
    Journal of Economic Surveys, 2002, 16, (1), 111-121 Downloads View citations (1)
  12. The Ten Commandments for Presenting a Conference Paper
    Journal of Economic Surveys, 2002, 16, (2), 215-218 Downloads View citations (10)
  13. Trends and volatility in Japanese patenting in the USA: An analysis of the electronics and transport industries
    Scientometrics, 2002, 55, (2), 171-187 Downloads View citations (2)

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 (57)
  2. Consumption, liquidity constraints, uncertainty and temptation: An international comparison
    Journal of Economic Psychology, 2001, 22, (1), 61-89 Downloads View citations (1)
  3. Efficient Estimation and Testing of Alternative Models of Currency Futures Contracts
    The Economic Record, 2001, 77, (238), 270-282 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 (10)
  5. The Ten Commandments for Attending a Conference
    Journal of Economic Surveys, 2001, 15, (5), 671-678 Downloads View citations (10)

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 (42)
  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 (19)
  4. Pricing of Forward and Futures Contracts
    Journal of Economic Surveys, 2000, 14, (2), 215-253 Downloads View citations (20)
  5. Testing long-run neutrality using intra-year data
    Applied Economics, 2000, 32, (1), 25-37 Downloads View citations (7)
  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 (4)

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 (11)
  2. ANALYTICAL POWER COMPARISONS OF NESTED AND NONNESTED TESTS FOR LINEAR AND LOGLINEAR REGRESSION MODELS
    Econometric Theory, 1999, 15, (1), 99-113 Downloads View citations (6)
  3. Editorial
    Journal of Economic Surveys, 1999, 13, (1), no-no Downloads
  4. Estimation of alternative pricing models for currency futures contracts
    Mathematics and Computers in Simulation (MATCOM), 1999, 48, (4), 519-530 Downloads View citations (4)
  5. Simple Procedures for Testing Autoregressive Versus Moving Average Errors in Regression Models
    The Japanese Economic Review, 1999, 50, (3), 239-252 Downloads View citations (4)
    See also Working Paper SIMPLE PROCEDURES FOR TESTING AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS, Working Papers (1990) View citations (2) (1990)
  6. 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 (22)
  2. Cointegration in Practice
    Journal of Economic Surveys, 1998, 12, (5), 417-422 Downloads View citations (3)
  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. Testing for Unit Roots and Non‐linear Transformations
    Journal of Time Series Analysis, 1998, 19, (2), 147-164 Downloads View citations (14)
  6. The International Congress on Modelling and Simulation, Hobart, Tasmania, December 1997
    Journal of Economic Surveys, 1998, 12, (4), 399-416 Downloads View citations (1)
  7. The Winter of my Content: The Econometric Society Australasian Meeting 1997, Melbourne, Australia
    Journal of Economic Surveys, 1998, 12, (1), 125-130 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 (112)
    See also Working Paper On Efficient Estimation and Correct Inference in Models with Generated Regressions: A General Approach, Working Papers (1990) View citations (6) (1990)
  5. Pictures at an Exhibition: The Experiment in Applied Econometrics Conference, Tilburg, The Netherlands, 1996
    Journal of Economic Surveys, 1997, 11, (4), 419-432 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), 231-233 Downloads View citations (10)
  11. The complexity of simplicity
    Mathematics and Computers in Simulation (MATCOM), 1997, 43, (3), 553-561 Downloads View citations (2)

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 (63)
    See also Working Paper Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing, Working Papers (1990) View citations (6) (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 View citations (1)
  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 (35)

1994

  1. A note on the unbiasedness test of rationality using survey data
    Journal of Macroeconomics, 1994, 16, (2), 369-374 Downloads View citations (1)
  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 (7)
    Also in Oxford Bulletin of Economics and Statistics, 1994, 56, (4), 441-55 (1994) View citations (7)
  3. Sherlock Holmes and the Search for Truth: A Diagnostic Tale
    Journal of Economic Surveys, 1994, 8, (4), 317-70 View citations (37)

1993

  1. Econometric Issues in Macroeconomic Models with Generated Regressors
    Journal of Economic Surveys, 1993, 7, (1), 1-40 View citations (182)

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, (1), 65-72 Downloads View citations (9)
  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 (36)
  6. Recursive estimation and generated regressors
    Economics Letters, 1992, 39, (1), 1-5 Downloads View citations (2)

1991

  1. Keynesian and New Classical Models of Unemployment Revisited
    Economic Journal, 1991, 101, (406), 359-81 Downloads View citations (15)
    See also Working Paper Keynesian and new classical models of unemployment revisited, Other publications TiSEM (1991) Downloads View citations (9) (1991)

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 (2)
    See also Working Paper THE EFFECTS OF MISSPECIFICATION IN ESTIMATING THE PERCENTILES OF SOME TWO -AND THREE-PARAMETER DISTRIBUTIONS, ISER Discussion Paper (1989) View citations (1) (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 (20)
  2. Economic History and Policy: Proceedings from the 1988 Australian Economics Congress Editors' Introduction
    The Economic Record, 1989, 65, (3), 240-242 Downloads
  3. 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 (16)
  4. Macroeconomics: Proceedings from the 1988 Australian Economics Congress: Editors' Introduction
    The Economic Record, 1989, 65, (2), 150-151 Downloads
  5. Microeconomics and Economic Theory: Proceedings from the 1988 Australian Economics Congress Editors' Introduction
    The Economic Record, 1989, 65, (1), 51-53 Downloads
  6. Some Power Comparisons of Joint and Paired Tests for Nonnested Models under Local Hypotheses
    Econometric Theory, 1989, 5, (1), 83-94 Downloads View citations (10)
    See also Working Paper SOME POWER COMPARISONS OF JOINT AND PAIRED TESTS FOR NON-NESTED MODELS UNDER LOCAL HYPOTHESES, Working Papers (1988) View citations (10) (1988)

1988

  1. Economics and Econometric Methodology: Proceedings from the 1988 Australian Economics Congress Editors' Introduction
    The Economic Record, 1988, 64, (4), 275-277 Downloads
  2. TESTING SEPARATE TIME SERIES MODELS
    Journal of Time Series Analysis, 1988, 9, (2), 169-189 Downloads View citations (8)
  3. 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 (44)

1987

  1. Further Results on Testing AR (1) Against MA (1) Disturbances in the Linear Regression Model
    The Review of Economic Studies, 1987, 54, (4), 649-663 Downloads View citations (16)
  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 (3)

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 (96)
    See also Working Paper What Will Take the Con Out of Econometrics?, CEPR Discussion Papers (1985) Downloads View citations (100) (1985)

1983

  1. Some Exact Tests for Model Specification
    The Review of Economics and Statistics, 1983, 65, (2), 351-54 Downloads View citations (4)
    See also Working Paper Some exact tests for model specification, LIDAM Reprints CORE (1983) View citations (4) (1983)
  2. Testing Non-Nested Specifications of Money Demand for Canada
    Canadian Journal of Economics, 1983, 16, (4), 593-602 Downloads View citations (5)

1982

  1. A Note on Identifiability in the Linear Expenditure Family
    Australian Economic Papers, 1982, 21, (39), 416-20
    See also Working Paper A Note on Identifiability in the Linear Expenditure Family, Cahiers de recherche (1982) (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 (5)
    See also Working Paper Separate Misspecified Regressions and the U.S. Long Run Demand for Money Function, Cahiers de recherche (1982) View citations (6) (1982)
  3. Testing separate regression models subject to specification error
    Journal of Econometrics, 1982, 19, (1), 125-145 Downloads View citations (2)
    See also Working Paper Testing Separate Regression Models Subject to Specification Error, Cahiers de recherche (1982) View citations (2) (1982)

1981

  1. A small sample test for non-nested regression models
    Economics Letters, 1981, 7, (4), 335-338 Downloads View citations (2)
  2. Alternative procedures and associated tests of significance for non-nested hypotheses
    Journal of Econometrics, 1981, 16, (1), 103-119 Downloads View citations (77)
    See also Working Paper Alternative Procedures and Associated Tests of Significance for Non-Nested Hypotheses, Working Paper (1981) View citations (69) (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 Interest Rates and Durability in the Linear Expenditure Family, Working Paper (1980) (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 (2)

1980

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

1979

  1. On the interpretation of the cox test in econometrics
    Economics Letters, 1979, 4, (2), 145-150 Downloads View citations (7)
    See also Working Paper The Interpretation of the Cox Test in Econometrics, Working Paper (1980) View citations (2) (1980)

Books

2008

  1. The Economics of Small Island Tourism
    Books, Edward Elgar Publishing Downloads View citations (4)

Edited books

2009

  1. Simplicity, Inference and Modelling
    Cambridge Books, Cambridge University Press View citations (1)

2002

  1. Simplicity, Inference and Modelling
    Cambridge Books, Cambridge University Press View citations (4)

Chapters

2009

  1. Chapter 11 Modelling International Tourist Arrivals and Volatility: An Application to Taiwan
    A chapter in Quantifying Consumer Preferences, 2009, pp 299-315 Downloads
  2. Chapter 5 The GFT Utility Function
    A chapter in Quantifying Consumer Preferences, 2009, pp 119-147 Downloads

2005

  1. Assessment of Risk Ratings and Risk Returns for 120 Representative Countries
    A chapter in Modelling the Riskiness in Country Risk Ratings, 2005, pp 111-335 Downloads
  2. Conclusion
    A chapter in Modelling the Riskiness in Country Risk Ratings, 2005, pp 471-474 Downloads
    Also in A chapter in Patent Activity and Technical Change in US Industries, 2005, pp 193-194 (2005) Downloads
  3. Conditional Volatility Models for Risk Ratings and Risk Returns
    A chapter in Modelling the Riskiness in Country Risk Ratings, 2005, pp 337-347 Downloads
  4. Country Risk Models: An Empirical Critique
    A chapter in Modelling the Riskiness in Country Risk Ratings, 2005, pp 9-91 Downloads
  5. Data Description
    A chapter in Patent Activity and Technical Change in US Industries, 2005, pp 15-22 Downloads
  6. Econometric Methodology
    A chapter in Patent Activity and Technical Change in US Industries, 2005, pp 23-28 Downloads
  7. Estimation and Empirical Results
    A chapter in Patent Activity and Technical Change in US Industries, 2005, pp 29-191 Downloads
  8. Introduction
    A chapter in Patent Activity and Technical Change in US Industries, 2005, pp 1-4 Downloads
  9. Introduction
    A chapter in Modelling the Riskiness in Country Risk Ratings, 2005, pp 1-8 Downloads
  10. Literature Review
    A chapter in Patent Activity and Technical Change in US Industries, 2005, pp 5-13 Downloads
  11. Rating Risk Rating Systems
    A chapter in Modelling the Riskiness in Country Risk Ratings, 2005, pp 93-110 Downloads
  12. Univariate and Multivariate Estimates of Symmetric and Asymmetric Conditional Volatilities and Conditional Correlations for Risk Returns
    A chapter in Modelling the Riskiness in Country Risk Ratings, 2005, pp 349-469 Downloads

Editor

  1. Annals of Financial Economics (AFE)
    World Scientific Publishing Co. Pte. Ltd.
  2. Journal of Reviews on Global Economics
    Lifescience Global
 
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