Documentos de Trabajo del ICAE

From Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
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1916: Fake news and propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany

David Allen and Michael McAleer

1915: Size, Internationalization and University Rankings: Evaluating and predicting Times Higher Education (THE) data for Japan

Michael McAleer, Tamotsu Nakamura and Clinton Watkins

1914: Risk analysis of energy in Vietnam

Duc Hong Vo, Ngoc Phu Tran, Tam Nguyen-Thanh Duong and Michael McAleer

1913: Rent seeking for export licenses: Application to the Vietnam rice market

Tan Vu, Duc Hong Vo and Michael McAleer

1912: The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures

Manabu Asai, Rangan Gupta and Michael McAleer

1911: Modelling the relationship between crude oil and agricultural commodity prices

Duc Hong Vo, Tan Vu, Anh Vo and Michael McAleer

1910: Energy consumption and economic growth: Evidence from Vietnam

Minh Nguyen, Bui Ngoc, Duc Hong Vo and Michael McAleer

1909: Corporate Financial Distress of Industry Level Listings in an Emerging Market

Duc Hong Vo, Binh Vo-Ninh Pham, Trung Vu-Thanh Pham and Michael McAleer

1908: CO2 emissions, energy consumption and economic growth: Evidence from the Trans-Pacific Partnership

Duc Hong Vo, Minh Nguyen, Anh Vo and Michael McAleer

1907: Central Bank Intervention, Bubbles and Risk in Walrasian Financial Markets

Chia-Lin Chang, Jukka Ilomäki, Hannu Laurila and Michael McAleer

1906: Size, Internationalization and University Rankings: Evaluating Times Higher Education (THE) Data for Japan

Michael McAleer, Tamotsu Nakamura and Clinton Watkins

1905: Research Ideas for Advances in Decision Sciences (ADS): 22nd Anniversary Special Issue in 2018

Chia-Lin Chang, Michael McAleer and Wing-Keung Wong

1904: Financial credit risk evaluation based on core enterprise supply chains

WeiMing Mou, Wing-Keung Wong and Michael McAleer

1903: Editorial Statement of Intent for Advances in Decision Sciences (ADS): 22nd Anniversary Special Issue in 2018

Chia-Lin Chang, Michael McAleer and Wing-Keung Wong

1902: Drawbacks in the 3-factor approach of Fama and French

David Allen and Michael McAleer

1901: Financial inclusion and macroeconomic stability in emerging and frontier markets

Anh Vo, Loan Thi-Hong Van, Duc Hong Vo and Michael McAleer

1828: Continuous vs Discrete Time Modelling in Growth and Business Cycle Theory

Omar Licandro, Luis Puch and Jesus Ruiz

1827: Asymptotic Theory for Rotated Multivariate GARCH Models

Manabu Asai, Chia-Lin Chang, Michael McAleer and Laurent Pauwels

1826: Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK

Chia-Lin Chang, Tai-Lin Hsieh and Michael McAleer

1825: Long Run Returns Predictability and Volatility with Moving Averages

Chia-Lin Chang, Jukka Ilomäki, Hannu Laurila and Michael McAleer

1824: Market Timing with Moving Averages for Fossil Fuel and Renewable Energy Stocks

Chia-Lin Chang, Jukka Ilomäki, Hannu Laurila and Michael McAleer

1823: “Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Comment

David Allen and Michael McAleer

1822: Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates

Manabu Asai, Shelton Peiris, Michael McAleer and David Allen

1821: Spurious Cross-Sectional Dependence in Credit Spread Changes

Marcin Jaskowski and Michael McAleer

1820: Assessing the importance of the choice threshold in quantifying market risk under the POT method (EVT)

Sonia Benito Muela and Ángeles Navarro Mª

1819: Disentangling permanent and transitory monetary shocks with a non-linear Taylor rule

Juan Angel Lafuente, Rafaela Perez and Jesus Ruiz

1818: A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies

David Allen, Michael McAleer and Abhay K. Singh

1817: Fake News and Indifference to Scientific Fact: President Trump's Confused Tweets on Global Warming, Climate Change and Weather

David Allen, Michael McAleer and David McHardy Reid

1816: Actuarial accounting for a notional defined contribution scheme combining retirement and longterm care benefits

Carlos Vidal-Melia, Manuel Ventura-Marco and Juan Manuel Pérez-Salamero González

1815: Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs

Chia-Lin Chang, Michael McAleer and Yu-Ann Wang

1814: Asymmetric Risk Impacts of Chinese Tourists to Taiwan

Jukka Ilomäki, Hannu Laurila and Michael McAleer

1813: Asymmetric Risk Impacts of Chinese Tourists to Taiwan

Chia-Lin Chang, Shu-Han Hsu and Michael McAleer

1812: Contagion spillovers between sovereign and financial European sector from a Delta CoVaR approach

Javier Ojea Ferreiro

1811: Risk Spillovers in Returns for Chinese and International Tourists to Taiwan

Chia-Lin Chang, Michael McAleer and Shu-Han Hsu

1810: Establishing National Carbon Emission Prices for China

Chia-Lin Chang, Michael McAleer and Te-Ke Mai

1809: Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections

Chia-Lin Chang, Michael McAleer and Wing-Keung Wong

1808: The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions

Chia-Lin Chang and Michael McAleer

1807: Fake news and indifference to truth: Dissecting tweets and State of the Union Addresses by Presidents Obama and Trump

David Allen, Michael McAleer and David McHardy Reid

1806: Pros and cons of the impact factor in a rapidly changing digital world

Michael McAleer, Judit Oláh and József Popp

1805: Big data, computational science, economics, finance, marketing, management, and psychology: connections

Chia-Lin Chang, Wing-Keung Wong and Michael McAleer

1804: Bayesian analysis of realized matrix-exponential GARCH models

Manabu Asai and Michael McAleer

1803: Pricing carbon emissions in China

Chia-Lin Chang, Te-Ke Mai and Michael McAleer

1802: A statistical analysis of industrial penetration and internet intensity in Taiwan

Chia-Lin Chang, Yu-Chieh Wu and Michael McAleer

1801: An event study of chinese tourists to Taiwan

Chia-Lin Chang, Shu-Han Hsu and Michael McAleer

1726: Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory

Manabu Asai, Shelton Peiris and Michael McAleer

1725: A New Inequality Measure that is Sensitive to Extreme Values and Asymmetries

Hang K. Ryu, Daniel Slottje and Michael McAleer

1724: Automatic regrouping of strata in the chi-square test

Juan Manuel Pérez-Salamero González, Marta Regúlez-Castillo, Manuel Ventura-Marco and Carlos Vidal-Melia

1723: Specification Testing of Production in a Stochastic Frontier Model

Xu Guo, Gao-Rong Li, Wing-Keung Wong and Michael McAleer

1722: Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management

David Allen and Michael McAleer

1721: A Generalized Email Classification System for Workflow Analysis

Piyanuch Chaipornkaew, Takorn Prexawanprasut, Chia-Lin Chang and Michael McAleer