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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1720: A Tourism Financial Conditions Index for Tourism Finance

Chia-Lin Chang, Hui-Kuang Hsu and Michael McAleer

1719: Impact of Psychological Needs on Luxury Consumption

Ning Mao, Michael McAleer and Shuyu Bai

1718: Theory and Application of an Economic Performance Measure of Risk

Cuizhen Niu, Xu Guo, Wing-Keung Wong and Michael McAleer

1717: The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH

Chia-Lin Chang and Michael McAleer

1716: Tourism stocks in times of crises: An econometric investigation of non-macro factors

Anastasios Zopiatis, Christos Savva, Neophytos Lambertides and Michael McAleer

1715: Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA

Chia-Lin Chang, Michael McAleer and Guangdong Zuo

1714: You’ve Got Email: A Workflow Management Extraction System

Piyanuch Chaipornkaew, Takorn Prexawanprasut and Michael McAleer

1713: Re-opening the silk road to transform chinese trade

Ning Mao and Michael McAleer

1712: Recent topical research on global, energy, health & medical, and tourism economics, and global software

Chia-Lin Chang and Michael McAleer

1711: How do unisex life care annuities embedded in a pay-as-you-go retirement system affect gender redistribution?

Javier Pla-Porcel, Manuel Ventura-Marco and Carlos Vidal-Melia

1710: Testing for volatility co-movement in bivariate stochastic volatility models

Jinghui Chen, Masahito Kobayashi and Michael McAleer

1709: Financing and performance of female-owned firms in Middle Eastern and African Economies

Mina Baliamoune and Stefan Lutz

1708: Connecting VIX and Stock Index ETF

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

1707: Forecasting the volatility of Nikkei 225 futures

Manabu Asai and Michael McAleer

1706: The Fiction of Full BEKK

Chia-Lin Chang and Michael McAleer

1705: Spectrally-corrected estimation for high-dimensional markowitz mean-variance optimization

Zhidong Bai, Hua Li, Michael McAleer and Wing-Keung Wong

1704: Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices

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

1703: A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies

David Allen, Michael McAleer and Abhay K. Singh

1702: Joint and Cross-border Patents as Proxies for International Technology Diffusion

Chia-Lin Chang, Michael McAleer and Ju-Ting Tang

1701: An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series

David Allen, Michael McAleer and Abhay K. Singh

1618: Tourism stocks in times of crises: An econometric investigation of non-macro factors

Anastasios Zopiatis, Christos Savva, Neophytos Lambertides and Michael McAleer

1617: US Antidumping Petitions and Revealed Comparative Advantage of Shrimp Exporting Countries

Chia-Lin Chang, Michael McAleer and Dang-Khoa Nguyen

1616: Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events

David Allen, Michael McAleer, Robert Powell and Abhay K. Singh

1615: Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers

Manabu Asai, Chia-Lin Chang and Michael McAleer

1614: Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes

Manabu Asai and Michael McAleer

1613: A bidding strategy for minimizing the imbalances costs for renewable generators in Spanish power markets

Francisco Javier Eransus

1612: An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors

Chia-Lin Chang, Michael McAleer and Chien-Hsun Wang

1611: Volatility spillovers for spot, futures, and ETF prices in energy and agriculture

Chia-Lin Chang, Michael McAleer and Chia-Ping Liu

1610: Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances

Chia-Lin Chang, Michael McAleer and Yanghuiting Wang

1609: Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China

Chia-Lin Chang, Michael McAleer and Jiarong Tian

1608: Estimating and forecasting generalized fractional Long memory stochastic volatility models

Shelton Peiris, Manabu Asai and Michael McAleer

1607: Management science, economics and finance: A connection

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

1606: Industrial penetration and internet intensity

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

1605: Prediction of Gas Concentration Based on the Opposite Degree Algorithm

Xiaoguang Yue, Rui Gao and Michael McAleer

1604: Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models

Jinghui Chen, Masahito Kobayashi and Michael McAleer

1603: Modelling volatility spillovers for bio-ethanol, sugarcane and corn

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

1602: How are VIX and Stock Index ETF Related?

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

1601: Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?

Massimiliano Caporin, Chia-Lin Chang and Michael McAleer

1519: Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC

David Allen, Michael McAleer, Robert Powell and Abhay K. Singh

1518: Market Integration Dynamics and Asymptotic Price Convergence in Distribution

Alfredo Garcia-Hiernaux, David Esteban Guerrero Burbano and Michael McAleer

1517: From Disorder to Order

Xiaoguang Yue, Yong Cao and Michael McAleer

1516: A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?

Chia-Lin Chang, Juan Jimenez-Martin, Esfandiar Maasoumi, Michael McAleer and Teodosio Pérez-Amaral

1515: Bibliometric Rankings of Journals Based on the Thomson Reuters Citations Database

Chia-Lin Chang and Michael McAleer

1514: Behavioural, Financial, and Health & Medical Economics: A Connection

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

1513: Research Ideas for the Journal of Informatics and Data Mining: Opinion

Michael McAleer

1512: Research Ideas for the Journal of Health & Medical Economics: Opinion

Chia-Lin Chang and Michael McAleer

1511: Daily Market News Sentiment and Stock Prices

David Allen, Michael McAleer and Abhay K. Singh

1510: Multivariate Volatility Impulse Response Analysis of GFC News Events

David Allen, Michael McAleer, Robert Powell and Abhay K. Singh

1509: Industrial Agglomeration and Use of the Internet

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

1508: Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice

Chia-Lin Chang, Yiying Li and Michael McAleer