Academic staff - Erasmus School of Economics

prof. M.J. McAleer

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Michael McAleer

Prof. M.J. McAleer

Professor of Econometric Analysis of Volatility and Ultra High Frequency Data

Department of Econometrics

Erasmus School of Economics

Erasmus University Rotterdam

 

T: 010-4081253

T: 010-4081264

E: mcaleer@remove-this.ese.eur.nl

Room: H11-32


 

Profile

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Professional experience

Full Professor
University Erasmus University Rotterdam
School Erasmus School of Economics
Department Econometrics
Country The Netherlands
   

Publications

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  • Chang, C.L. & McAleer, M.J. (2015). Econometric Analysis of Financial Derivatives. (Intern rapport, EI report serie, no EI 2015-02). Rotterdam: Econometric Institute.
  • Chang, C.L. & McAleer, M.J. (2015). Quality Weighted Citations Versus Total Citations in the Sciences and Social Sciences, with and Application to Finance and Accounting. (Intern rapport, Econometric Institute, no EI 2015-05). Rotterdam: Econometric Institute.
  • Asai, M. & McAleer, M.J. (2015). The Impact of Jumps and Leverage in Forecasting Co-Volatility. (Intern rapport, EI report serie, no EI 2015-06). Rotterdam: Econometric Institute.
  • Ling, S., McAleer, M.J. & Tong, H. (2015). Frontiers in Time Series and Financial Econometrics: An Overview. (Intern rapport, EI report serie, no EI 2015-07). Rotterdam: Econometric Institute.
  • Jaskowski, M. & McAleer, M.J. (2015). Volatility Smirk as an Externality of Agency Conflict and Growing Debt. International Journal of Economic Theory. doi: https://drive.google.com/file/d/0B3oc-Qx9cJVlbXo2MWJHb3czX0U/edit
  • Chang, C.-L., Jimenez-Martin, J.-A., Maasoumi, E. & McAleer, M.J. (2015). A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR? (Intern rapport, EI report serie, no EI 2015-14E). Rotterdam: Econometric Institute.
  • Martinet, G.G. & McAleer, M.J. (2015). On the Invertibility of EGARCH (p,q). (Intern rapport, EI report serie, no EI 2015-12). Rotterdam: Econometric Institute.
  • Chang, C.-C., McAleer, M.J. & Tang, T.-T. (2015). International Technology Diffusion of Joint and Cross-Border Patents. (Intern rapport, EI Report serie, no EI 2015-13). Rotterdam: Econometric Institute.
  • Chang, C.-L., Li, Y. & McAleer, M.J. (2015). Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (Intern rapport, EI report reeks, no EI2015-17). Rotterdam: Econometric Institute.
  • Chang, C.L. & McAleer, M.J. (2015). Bibliometric Rankings of Journals Based on the Thomson Reuters Citations Database. (Intern rapport, EI report serie, no EI 2015-08). Rotterdam: Econometric Institute.
  • Chang, C.-L., Hsu, H.-K. & McAleer, M.J. (2014). A Tourism Conditions Index. (Intern rapport, EI report reeks, no EI 2014-4). Rotterdam: Econometric Institute.
  • McAleer, M.J. (2014). Asymmetry and Leverage in Conditional Volatility Models. (Intern rapport, EI report serie, no EI 2014-32). Rotterdam: Econometric Institute.
  • McAleer, M.J. (2014). Discussion "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay. (Intern rapport, EI report reeks, no EI 2014-06). Rotterdam: Econometric Institute.
  • Chang, C.-L. & McAleer, M.J. (2014). Ranking Economics and Econometrics ISI Journals by Quality Weighted Citations. (Intern rapport, EI report reeks, no EI 2014-07). Rotterdam: Econometric Institute.
  • Chang, C.-L., Hsu, H.-K. & McAleer, M.J. (2014). A Tourism Financial Condition Index. (Intern rapport, EI report serie, no EI 2014-11). Rotterdam: Econometric Institute.
  • Franses, P.H.B.F., McAleer, M.J. & Legerstee, R. (2014). Evaluating Macroeconomc Forecasts: A concise Review of Some Recent Developments. Journal of Economic Surveys, 28 (2), 195-208.
  • Franses, P.H.B.F., McAleer, M.J. & Legerstee, R. (2014). Evaluating Macroeconomic Forecasts: A concise Review of Some Recent Developments. (Intern rapport, EI reprint serie, no EI-1618). Rotterdam: Econometric Institute.
  • Martinet, D & McAleer, M.J. (2014). On the Invertibility of EGARCH. (Intern rapport, EI report serie, no EI 2014-20). Rotterdam: Econometric Institute.
  • Chang, C.-L. & McAleer, M.J. (2014). Just How Good are te Top Three Journals in Finance? An Assessment Based on Quantity and Quality Citations. (Intern rapport, EI report serie, no EI 2014-18). Rotterdam: Econometric Institute.
  • Chang, C.-L., Chen, W-C. & McAleer, M.J. (2014). Survival Analysis of Very Low Birth Weight Infant Mortality in Taiwan. (Intern rapport, EI report serie, no EI 2014-19). Rotterdam: Econometric Institute.
  • McAleer, M.J. & Hafner, C.M. (2014). A One Line Derivation of EGARCH. (Intern rapport, EI report serie, no EI 2014-20). Rotterdam: Econometric Institute.
  • McAleer, M.J., Allen, D.E. & Scharth, M (2014). Asymmetric Realized Volatility Risk. (unknown, Tinbergen Institute Discussion Paper Series). : Tinbergen Institute.
  • McAleer, M.J. & Hammoudeh, S.M. (2014). Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview. (unknown, Tinbergen Institute Discussion Paper Series). : Tinbergen Institute.
  • Caporin, M. & McAleer, M.J. (2014). Robust ranking of multivariate GARCH models by problem dimension. Computational Statistics & Data Analysis, 76, 172-185.
  • Nawata, K. & McAleer, M.J. (2014). The Maximum Number of Parameters for The Hausman Test When the Estimators are from Different Sets of Equations. Economics Letters, 123 (3), 291-294. doi: http://dx.doi.org/10.1016/j.econlet.2014.03.005[go to publisher's site]
  • Allen, D.E., Ashraf, H, McAleer, M.J., Powell, R. & Singh, AK (2014). Financial dependence analysis: Applications of vine copulas. Statistica Neerlandica, 67 (4), 403-435. doi: http://dx.doi.org/10.1111/stan.12015[go to publisher's site]
  • Hammoudeh, S.M. & McAleer, M.J. (2014). Risk management and financial derivatives: An overview. The North American Journal of Economics and Finance, 25, 109-115. doi: http://dx.doi.org/10.1016/j.najef.2012.06.014[go to publisher's site]
  • Chang, C.-L. & McAleer, M.J. (2014). Quality Weighted Citations Versus Total Citations in the Sciences and Social Sciences. (Intern rapport, EI report reeks, no EI 2014-05). Rotterdam: Econometric Institute.
  • Allen, D.E., Amram, R. & McAleer, M.J. (2013). Volatility Spillovers from the Chinese Stock Market to Economic Neighours. Mathematics and Computers in Simulation, 94, 238-257. doi: http://dx.doi.org/10.1016/j.matcom.2013.01.001[go to publisher's site]
  • Chang, C.L., Hsu, H.-K. & McAleer, M.J. (2013). The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry. (Intern rapport, EI report serie, no EI 2013-26). Rotterdam: Econometric Institute.
  • Chang, C.-L., Allen, D. & McAleer, M.J. (2013). Recent developments in financial economics and econometrics: An overview. (Intern rapport, EI report reeks, no EI 2013-03). Rotterdam: Econometric Institute.
  • Chang, C.-L. & McAleer, M.J. (2013). What do experts know about forecasting journal quality? A comparison with ISI research impact in finance. (Intern rapport, EI report reeks, no EI 2013-05). Rotterdam: Econometric Institute.
  • Chang, C.-L., McAleer, M.J. & Oxley, L. (2013). Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence. (Intern rapport, EI report serie, no EI 2013-09). Rotterdam: Econometric Institute.
  • Caporin, M. & McAleer, M.J. (2013). Then Things You Should Know About DCC. (Intern rapport, EI report serie, no EI 2013-13). Rotterdam: Econometric Institute.
  • Caporin, M. & McAleer, M.J. (2013). Ten things you should know about the dynamic conditional correlation representation. (Intern rapport, EI report serie, no EI 2013-21). Rotterdam: Econometric Institute.
  • Chang, C.-L., Allen, D.E., McAleer, M.J. & Amaral, T.P. (2013). Risk Modelling and Management: An Overview. (Intern rapport, EI report serie, no EI 2013-22). Rotterdam: Econometric Institute.
  • McAleer, M.J. & Radalj, K. (2013). Herding, Information Cascades and Volatility Spillovers in Futures Markets. (Intern rapport, EI report serie, no EI 2013-23). Rotterdam: Econometric Institute.
  • Chang, C.-L., McAleer, M.J. & Tang, J.T. (2013). International Technology. (Intern rapport, EI report serie, no EI 2013-24). Rotterdam: Econometric Institute.
  • Lean, H.H., McAleer, M.J. & Wong, W.-W. (2013). Risk-averse and Risk-seeking Investors Preferences for Oil Spot and Futures. (Intern rapport, EI report serie, no EI 2013-27). Rotterdam: Econometric Institute.
  • Chang, C.-L., Bruijn, L.P. de, Franses, P.H.B.F. & McAleer, M.J. (2013). Analyzing Fixed-Event Forecast Revisions. (Intern rapport, EI reprint serie, no EI-1606). Rotterdam: Econometric Institute.
  • Chang, C.-L., Bruijn, L.P. de, Franses, P.H.B.F. & McAleer, M.J. (2013). Analyzing Fixed-Event Forecast Revisions. International Journal of Forecasting, 29 (4), 622-627. doi: http://dx.doi.org/10.1016/j.ijforecast.2013.04.002[go to publisher's site]
  • Chang, C.-L., Bruijn, L.P. de, Franses, P.H.B.F. & McAleer, M.J. (2013). Analyzing Fixed-Event Forecast Revisions. (Intern rapport). Rotterdam: Econometric Institute.
  • Chang, C.-L. & McAleer, M.J. (2013). Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc. (Intern rapport, EI report serie, no EI 2013-34). Rotterdam: Econometric Institute.
  • Allen, D., McAleer, M.J., Powell, R. & Singh, A (2013). A Capital Adequacy Buffer Model. (Intern rapport, EI report serie, no EI 2013-32). Rotterdam: Econometric Institute.
  • Chang, C.-L., Franses, P.H.B.F. & McAleer, M.J. (2013). Are Forecast Updates Progressive? (Intern rapport, EI reprint reeks, no EI-1607). Rotterdam: Econometric Institute.
  • Nawata, K. & McAleer, M.J. (2013). The Maximum Number of Parameters for The Hausman Test When the Estimators are from Different Sets of Equations. (Intern rapport, EI report serie, no EI 2013-35). Rotterdam: Econometric Institute.
  • Chang, C.-L., Allen, D.E., McAleer, M.J. & Amaral, T.P. (2013). Risk Modelling and Management: An Overview. Mathematics and Computers in Simulation, 94, 159-163. doi: http://dx.doi.org/10.1016/j.matcom.2013.08.001Editorial[go to publisher's site]
  • Chang, C.-L., Franses, P.H.B.F. & McAleer, M.J. (2013). Are Forecast Updates Progressive? Mathematics and Computers in Simulation, 93, 9-18. doi: 10.1016/j.matcom.2013.03.007[go to publisher's site]
  • McAleer, M.J., Jimenez-Martin, J.-A. & Perez Amaral, T. (2013). GFC-Robust Risk Management Under the Basel Accord. International Review of Economics and Finance, 27, 97-111. doi: http://dx.doi.org/10.1016/j.iref.2012.09.006[go to publisher's site]
  • Chang, C.-L., Allen, D. & McAleer, M.J. (2013). Recent developments in financial economics and econometrics: An overview. The North American Journal of Economics and Finance, 26, 217-226. doi: http://dx.doi.org/10.1016/j.najef.2013.02.001[go to publisher's site]
  • McAleer, M.J., Jimenez-Martin, J.-A. & Perez-Amaral, T. (2013). Has the Basel accord improved risk management during the global financial crisis? The North American Journal of Economics and Finance, 26, 250-265. doi: http://dx.doi.org/10.1016/j.najef.2013.02.004[go to publisher's site]
  • Chang, C.-L., McAleer, M.J. & Oxley, L. (2013). Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence. In Selected Papers of the MSSANZ 19th Biennial Conference on Modelling and Simulation Mathematics and Computers in Simulation (pp. 190-197).
  • McAleer, M.J., Chan, F. & Oxley, L. (2013). Modelling and Simulation: An Overview. In Selected Papers of the MSSANZ 19th Biennial Conference on Modelling and Simulation Mathematics and Computers in Simulation (pp. viii).
  • Jimenez-Martin, J.-A., McAleer, M.J., Perez Amaral, T. & Santos, P.A. (2013). GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies. Mathematics and Computers in Simulation, 94, 223-237. doi: http://dx.doi.org/10.1016/j.matcom.2013.08.010[go to publisher's site]
  • Chang, C-L. & McAleer, M.J. (2013). Ranking journal quality by harmonic mean of ranks: An application to ISI statistics & probability. Statistica Neerlandica, 67 (1), 27-53. doi: http://dx.doi.org/10.1111/j.1467-9574.2012.00529.x[go to publisher's site]
  • Chang, C.-L., McAleer, M.J. & Tansuchat, R. (2013). Conditional correlations and volatility spillovers between crude oil and stock index returns. The North American Journal of Economics and Finance, 25, 116-138. doi: http://dx.doi.org/10.1016/j.najef.2012.06.002[go to publisher's site]
  • Chang, C.-L., Chang, S.-P. & McAleer, M.J. (2013). Globalization and knowledge spillover: international direct investment, export and patents. Economics of Innovation and New Technology, 22 (4), 329-352. doi: http://dx.doi.org/10.1080/10438599.2012.707412[go to publisher's site]
  • Chang, C.-L., Hsu, H.-K. & McAleer, M.J. (2013). Is small beautiful? Size effects of volatility spillovers for firm performance and exchange rates in tourism. The North American Journal of Economics and Finance, 26, 519-534. doi: http://dx.doi.org/10.1016/j.najef.2013.02.019[go to publisher's site]
  • Casarin, R., Chang, C.-L., Jimenez-Martin, J.-A., McAleer, M.J. & Perez-Amaral, T. (2013). Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures. Mathematics and Computers in Simulation, 94, 183-204. doi: http://dx.doi.org/10.1016/j.matcom.2012.06.013[go to publisher's site]
  • McAleer, M.J., Suen, J. & Wong, W.-K. (2013). Profiteering from the dot-com bubble, sub-prime crisis and Asian financial crisis. (Intern rapport, EI report serie, no EI 2013-20). Rotterdam: Econometric Institute.
  • Chen, P.-Y., Chang, C.-L., Chen, C.-C. & McAleer, M.J. (2013). Modelling the effects of oil prices on global fertilizer prices. (Intern rapport, EI report reeks, no EI 2013-04). Rotterdam: Econometric Institute.
  • Chu, L.F., McAleer, M.J. & Chen, C.-C. (2012). How Volatile is ENSO. (Intern rapport, EI report serie, no EI 2012-28). Rotterdam: Econometric Institute.
  • McAleer, M.J., Chan, F. & Oxley, L. (2012). Modelling and Simulation: An Overview. (Intern rapport, EI report serie, no EI 2013-19). Rotterdam: Econometric Institute.
  • Chang, C.-L., Hsu, H.-K. & McAleer, M.J. (2012). Is small beautiful? Size effects of volatility spillovers for firm performance and exchange rates in tourism. (Intern rapport, EI report reeks, no EI 2012-37). Rotterdam: Econometric Institute.
  • Chu, L.F., McAleer, M.J. & Wang, S.-H. (2012). Statistical modelling of recent changes in extreme rainfall. (Intern rapport, EI report reeks, no EI 2012-36). Rotterdam: Econometric Institute.
  • Chu, L.F., McAleer, M.J. & Chang, C.-C. (2012). Statistical modelling of extreme rainfall in taiwan. (Intern rapport, EI report reeks, no EI 2012-35). Rotterdam: Econometric Institute.
  • McAleer, M.J., Jimenez-Martin, J.-A. & Perez-Amaral, T. (2012). Has the Basel accord improved risk management during the global financial crisis? (Intern rapport, EI report reeks, no EI 2012-34). Rotterdam: Econometric Institute.
  • Chu, L.F., McAleer, M.J. & Chen, C.-C. (2012). How volatile is ENSO for global greenhouse gas emissions and the global economy? (Intern rapport, EI report reeks, no EI 2012-33). Rotterdam: Econometric Institute.
  • Chang, C.-L., McAleer, M.J. & Oxley, L. (2012). Journal impact factor, eigenfactor, journal influence and article influence. (Intern rapport, EI report reeks, no EI 2012-32). Rotterdam: Econometric Institute.
  • Chang, C.L., Franses, P.H.B.F. & McAleer, M.J. (2012). Evaluating individual and mean non-replicable forecasts. Romanian Journal of Economic Forecasting, 15 (3), 22-43.
  • Sari, R., Hammoudeh, S.M., Chang, C.-L. & McAleer, M.J. (2012). Causality Between Market Liquidity and Depth for Energy and Grains. Energy Economics, 34 (5), 1683-1692. doi: http://dx.doi.org/10.1016/j.eneco.2012.02.006[go to publisher's site]
  • Caporin, M. & McAleer, M.J. (2012). Do we really need both BEKK and DCC? A tale of two multivariate GARCH models. Journal of Economic Surveys, 26 (4), 736-751. doi: http://dx.doi.org/10.1111/j.1467-6419.2011.00683.x[go to publisher's site]
  • Chen, C.W.S., Gerlach, R., Hwang, B.B.K. & McAleer, M.J. (2012). Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range. International Journal of Forecasting, 28 (3), 557-574. doi: http://dx.doi.org/10.1016/j.ijforecast.2011.12.004[go to publisher's site]
  • Asai, M., McAleer, M.J. & Medeiros, M.C. (2012). Asymmetry and long memory in volatility modelling. Journal of Financial Econometrics, 10 (3), 495-512. doi: http://dx.doi.org/10.1093/jjfinec/nbr015[go to publisher's site]
  • Chang, C.-L., Khamkaew, T. & McAleer, M.J. (2012). IV estimation of a panel threshold model of tourism specialization and economic development. Tourism Economics, 18 (1), 5-41. doi: http://dx.doi.org/10.5367/te.2012.0108[go to publisher's site]
  • McAleer, M.J., Jimenez-Martin, J.-A. & Perez-Amaral, T. (2012). International Evidence on GFC-robust Forecast for Risk Management under the Basel Accord. Journal of Forecasting, 32 (3), 267-288. doi: http://dx.doi.org/10.1002/for.1269[go to publisher's site]
  • Asai, M., McAleer, M.J. & Medeiros, M.C. (2012). Modelling and Forecasting Noisy Realized Volatility. Computational Statistics & Data Analysis, 56 (1), 217-230. doi: http://dx.doi.org/10.1016/j.csda.2011.06.024[go to publisher's site]
  • Kuo, H.-I., Chen, C.-C. & McAleer, M.J. (2012). Estimating the impact of whaling on global whale-watching. Tourism Management, 33 (6), 1321-1328. doi: http://dx.doi.org/10.1016/j.tourman.2011.12.015[go to publisher's site]
  • Chang, C.-L. & McAleer, M.J. (2012). What do Experts Know About Ranking Journal Quality? A Comparison with ISI Research Impact in Finance. (Intern rapport, EI report serie, no EI 2012-01). Rotterdam: Econometric Institute.
  • Asai, M., Caporin, M. & McAleer, M.J. (2012). Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models. (Intern rapport, EI report serie, no EI 2012-02). Rotterdam: Econometric Institute.
  • Chang, C.-L., Maasoumi, E. & McAleer, M.J. (2012). Robust Ranking of Journal Quality: An Application to Economics. (unknown, EI report serie, no EI 2012-05). Econometric Institute: Rotterdam.
  • Chang, C.-L., McAleer, M.J. & Oxley, L. (2012). Journal Impact Factor, Eigenfactor, Journal Influence and Article Influence. (Intern rapport, EI report serie, no EI 2012-16). Rotterdam: Econometric Institute.
  • McAleer, M.J., Jimenez-Martin, J.-A. & Perez-Amaral, T. (2012). Has the Basel Accord Improved Risk Management. (Intern rapport, EI report serie, no EI 2012-29). Rotterdam: Econometric Institute.
  • Asai, M. & McAleer, M.J. (2011). Dynamic Conditional Correlations for Asymmetric Processes. (Preprints, Report serie, no EI 2010-76). Rotterdam: Econometric Institute.
  • Chang, C.-L. & McAleer, M.J. (2011). How Should Journal Quality be Ranked? An Application to Agricultural, Energy, Environmental and Resourse Economics. (Intern rapport, EI-report serie, no EI2011-43). Rotterdam: Econometric Institute.
  • Chang, C.-L., Franses, P.H.B.F. & McAleer, M.J. (2011). Evaluating Combined Non-Replicable Forecasts. (Preprints, Report serie, no EI 2010-74). Rotterdam: Econometric Institute.
  • McAleer, M.J., Jimenez-Martin, J.-A. & Perez-Amaral, T. (2011). International Evidence on GFC-robust Forecast for Risk Management under the Basel Accord. (Preprints, Report serie, no EI 2011-04). Rotterdam: Econometric Institute.
  • Chang, C.-L., McAleer, M.J. & Oxley, L. (2011). How are Journal Impac, Prestige and Article Influence Related? An Application to Neuroscience. (Preprints, Report serie, no EI 2011-03). Rotterdam: Econometric Institute.
  • Asai, M., McAleer, M.J. & Medeiros, M.C. (2011). Modelling and Forecasting Noisy Realized Volatility. (Preprints, Report serie, no EI 2011-05). Rotterdam: Econometric Institute.
  • Ishida, I., McAleer, M.J. & Oya, K. (2011). Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX. (Preprints, EI report series, no EI 2011-10). Rotterdam: Econometric Institute.
  • Chang, C.-L., Jimenez-Martin, J.-A., McAleer, M.J. & Perez-Amaral, T. (2011). Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures. (Preprints, EI report series, no EI 2011-11). Rotterdam: Econometric Institute.
  • Sari, R., Hammoudeh, S.M. & McAleer, M.J. (2011). Causality Between Market Liquidity and Depth for Energy and Grains. (Preprints, EI report serie, no EI 2011-14). Rotterdam: Econometric Institute.
  • Hammoudeh, S.M., Liu, T., Chang, C.-L. & McAleer, M.J. (2011). Risk Spillover in Oil-Related CDS, Stock and Credit Markets. (Preprints, EI report serie, no EI 2011-15). Rotterdam: Econometric Institute.
  • Caporin, M. & McAleer, M.J. (2011). Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation. (Intern rapport, EI report serie, no EI 2011-18). Rotterdam: Econometric Institute.
  • Chen, C.W.S., Gerlach, R., Hwang, B.B.K. & McAleer, M.J. (2011). Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range. (Intern rapport, EI report serie, no EI 2011-17). Rotterdam: Econometric Institute.
  • Hammoudeh, S.M., Sarafrazi, S., Chang, C.-L. & McAleer, M.J. (2011). The Dynamics of Energy Gain Prices with Open Interest. (Intern rapport, EI report serie, no EI 2011-19). Rotterdam: Econometric Institute.
  • Franses, P.H.B.F., Chang, C.-L. & McAleer, M.J. (2011). Analyzing Fixed-event Forecast Revisions. (Intern rapport, EI report serie, no EI 2011-22). Rotterdam: Econometric Institute.
  • Chang, C.-L. & McAleer, M.J. (2011). Citations and Impact of ISI Tourism and Hospitality Journals. (Intern rapport, EI report serie, no EI 2011-26). Rotterdam: Econometric Institute.
  • Santos, P.A., Jimenez-Martin, J.-A., McAleer, M.J. & Perez Amaral, T. (2011). GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies. (Intern rapport, EI report serie, no EI2011-27). Rotterdam: Econometrisch Institute.
  • Chang, C.-L., McAleer, M.J. & Lim, C. (2011). Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan. (Intern rapport, EI report serie, no EI 2011-28). Rotterdam: Econometric Institute.
  • Casarin, R., Chang, C.-L., Jimenez-Martin, J.-A., McAleer, M.J. & Perez-Amaral, T. (2011). Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures. (Intern rapport, EI report serie, no EI 2011-29). Rotterdam: Econometric Institute.
  • Chang, C.-L., Franses, P.H.B.F. & McAleer, M.J. (2011). How Accurate Are Government Forecast of Economic Fundamentals? The Case of Taiwan. International Journal of Forecasting, 27 (4), 1066-1075. doi: http://dx.doi.org/10.1016/j.ijforecast.2010.12.001[go to publisher's site]
  • Chang, C.-L., Franses, P.H.B.F. & McAleer, M.J. (2011). How Accurate Are Government Forecast of Economic Fundamentals? The Case of Taiwan. (Intern rapport, EI reprint serie, no EI-1571). Rotterdam: Econometric Institute.
  • Chang, C.-L., Jimenez, J.-A.J., McAleer, M.J. & Perez-Amaral, T. (2011). The Rise and Fall of S&P500 Variance Futures. (Intern rapport, Econometric Institute, no EI 2011-37). Rotterdam: Econometric Institute.
  • Allen, D.E., Amram, R. & McAleer, M.J. (2011). Volatility Spillovers from the Chinese Stock Market to Economic Neighours. (Intern rapport, EI report reeks, no EI 2011-44). Rotterdam: Econometric Institute.
  • Areosa, W.D., McAleer, M.J. & Medeiros, M.C. (2011). Moment-based estimation of smooth transition regression models with endogenous variables. Journal of Econometrics, 165 (1), 100-111. doi: http://dx.doi.org/10.1016/j.jeconom.2011.05.009[go to publisher's site]
  • Kunitomo, N., McAleer, M.J. & Nishiyama, Y. (2011). Moment restriction-based econometric methods: An overview. Journal of Econometrics, 165 (1), 1-4. doi: http://dx.doi.org/10.1016/j.jeconom.2011.05.001[go to publisher's site]
  • Hammoudeh, S.M., Malik, F. & McAleer, M.J. (2011). Risk Management of Precious Metals. Quarterly Review of Economics and Finance, 51 (4), 435-441. doi: http://dx.doi.org/10.1016/j.qref.2011.07.002[go to publisher's site]
  • Asai, M. & McAleer, M.J. (2011). Alternative Asymmetric Stochastic Volatility Models. Econometric Reviews, 30 (5), 548-564. doi: http://dx.doi.org/10.1080/07474938.2011.553156[go to publisher's site]
  • Chang, C.-L., McAleer, M.J. & Oxley, L. (2011). What makes a great journal great in economics? The singer not the song. Journal of Economic Surveys, 25 (2), 326-361. doi: http://dx.doi.org/10.1111/j.1467-6419.2010.00648.x[go to publisher's site]
  • Khamkaew, T., Tansuchat, R., Chang, C.-L. & McAleer, M.J. (2011). Modelling conditional correlations in the volatility of Asian Rubber and Futures Returns. Mathematics and Computers in Simulation, 81 (7), 1482-1490. doi: http://dx.doi.org/10.1016/j.matcom.2010.07.004[go to publisher's site]
  • McAleer, M.J. & Medeiros, M.C. (2011). Forecasting Realized Volatility with Linear and Nonlinear Models. Journal of Economic Surveys, 25 (1), 6-18. doi: http://dx.doi.org/10.1111/j.1467-6419.2010.00640.x[go to publisher's site]
  • Chang, C-L., Khamkaew, T., Tansuchat, R. & McAleer, M.J. (2011). Interdependence of international tourism demand and volatility in leading ASEAN destinations. Tourism Economics, 17 (3), 481-507. doi: http://dx.doi.org/10.5367/te.2011.0046[go to publisher's site]
  • Caporin, M. & McAleer, M.J. (2011). Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH. Statistica Neerlandica, 65 (2), 125-163. doi: http://dx.doi.org/10.1111/j.1467-9574.2010.00479.x[go to publisher's site]
  • da Veiga, B., Chan, F. & McAleer, M.J. (2011). It pays to violate: How effective are the Basel accord penalties in encouraging risk management? Accounting and Finance, 52 (1), 95-116. doi: http://dx.doi.org/10.1111/j.1467-629X.2011.00422.x[go to publisher's site]
  • Chang, C-L., McAleer, M.J. & Oxley, L. (2011). Great Expectatrics: Great Papers, Great Journals, Great Econometrics. Econometric Reviews, 30 (6), 583-619. doi: http://dx.doi.org/10.1080/07474938.2011.586614
  • Chang, C.-L., McAleer, M.J. & Oxley, L. (2011). What Makes a Great Journal Great in the Sciences? Which Came First, the Chicken or the Egg? (Preprints, Report serie, no EI 2010-75). Rotterdam: Econometric Institute.
  • Chang, C.-L., Khamkaew, T. & McAleer, M.J. (2010). IV estimation of a panel threshold model of tourism specialization and economic development. (Preprints, EI Report Serie, no EI 2010-30). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Chang, C.-L., Khamkaew, T. & McAleer, M.J. (2010). Estimating price effects in an almost ideal demand model of outbound Thai tourism to East Asia. (Preprints, EI report serie, no EI 2010-29). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Chang, C.-L., Franses, P.H.B.F. & McAleer, M.J. (2010). Are forecast updates progressive? (Preprints, EI report serie, no EI 2010-24). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Franses, P.H.B.F., McAleer, M.J. & Legerstee, R. (2010). Evaluating macroeconomic forecasts: a review of some recent developments. (Preprints, EI report serie, no EI 2010-19). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Chaovanapoonphol, Y., Lim, C., McAleer, M.J. & Wiboonpongse, A. (2010). Time series modelling of tourism demand from the USA, Japan and Malaysia to Thailand. (Preprints, EI report serie, no EI 2010-18). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Sato, K., Zhang, Z. & McAleer, M.J. (2010). Identifying shocks in regionally integrated East Asian economies with structural VAR and block exogeneity. (Preprints, EI report serie, no EI 2010-09). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Lean, H.H., McAleer, M.J. & Wong, W.-K. (2010). Markets efficiency of oil spot and futures: a stochastic dominance approach. (Preprints, EI report serie, no EI 2010-11). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Caporin, M. & McAleer, M.J. (2010). Do we really need both BEKK and DCC? A tale of two multivariate GARCH models. (Preprints, EI report serie, no EI 2010-13). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Tansuchat, R., Chang, C.-L. & McAleer, M.J. (2010). Conditional correlations and volatility spillovers between crude oil and stock index returns. (Preprints, EI report serie, no EI 2010-12). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Chang, C., McAleer, M.J. & Tansuchat, R. (2010). Analyzing and forecasting volatility spillovers and asymmetries in major crude oil sport, forward and futures market. (Preprints, EI report serie, no EI 2010-14). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Chang, C.-L. & McAleer, M.J. (2010). Aggregation, heterogeneous autoregression and volatility of daily international tourist arrivals and exchange rates. (Preprints, EI report serie, no EI 2010-15). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Tansuchat, R., Chang, C.-L. & McAleer, M.J. (2010). Crude oil hedging strategies using dynamic multivariate GARCH. (Preprints, EI report serie, no EI 2010-10). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Caporin, M. & McAleer, M.J. (2010). Ranking Multivariate GARCH Models by Problem Dimension. (Preprints, EI report serie, no EI 2010-34). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Hammoudeh, S.M., Yuan, Y. & McAleer, M.J. (2010). Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies. (Preprints, EI report serie, no EI 2010-35). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Caporin, M. & McAleer, M.J. (2010). Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH. (Preprints, EI report serie, no EI 2010-36). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Lean, H.H., McAleer, M.J. & Wong, W.-K. (2010). Investor preferences for oil spot and futures based on mean-variance and stochastic dominance. (Preprints, EI report serie, no EI 2010-37). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • McAleer, M.J. & Oxley, L. (2010). Ten things we should know about time series. (Preprints, EI report serie, no EI 2010-49). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Chang, C.-L., McAleer, M.J. & Oxley, L. (2010). Article influence score = 5YIF divided by 2. (Preprints, EI report reeks, no EI 2010-43). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Chang, C.-L., Franses, P.H.B.F. & McAleer, M.J. (2010). Combining non-replicable forecast. (Preprints, EI report reeks, no EI 2010-44). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Chang, C.-L., McAleer, M.J. & Oxley, L. (2010). What makes a great journal great in economics? The singer not the song. (Preprints, EI report reeks, no EI 2010-45). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Hammoudeh, S.M., Malik, F. & McAleer, M.J. (2010). Risk Management of Precious Metals. (Preprints, EI report reeks, no EI 2010-48). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Chang, C.-L., McAleer, M.J. & Lim, C. (2010). Modelling the volatility in short and long haul Japanese tourist arrivals to New Zealand and Taiwan. (Preprints, EI report reeks, no EI 2010-47). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Chang, C.-L., Huang, B.-W., Chen, M.-G. & McAleer, M.J. (2010). Modelling the Asymmetric volatility in hog prices in Taiwan: the impact of joining the WTO. (Preprints, EI report reeks, no EI 2010-46). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Chang, C.-L., McAleer, M.J. & Oxley, L. (2010). How Does Zinfluence Affect Article Influence? (Preprints, EI report serie, no EI 2010-50). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Chen, P.-Y., Chang, C.-L., Chen, C.-C. & McAleer, M.J. (2010). Modeling the Volatility in Global Fertilizer Prices. (Preprints, EI report serie, no EI 2010-42). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Chang, C.-L., Chen, S.-P. & McAleer, M.J. (2010). Globalization and knowledge spillover: international direct investment, export and patents. (Preprints, EI report serie, no EI 2010-55). Rotterdam: Econometric Institute.
  • Chen, P.-Y., Chang, C.-L., Chen, C.-C. & McAleer, M.J. (2010). Modeling the effect of oil price on global fertilizer prices. (Preprints, EI report serie, no EI 2010-56). Rotterdam: Econometric Institute.
  • Caporin, M. & McAleer, M.J. (2010). Model selection and testing of conditional and stochastic volatility models. (Preprints, EI report serie, no EI 2010-57). Rotterdam: Econometric Insitute.
  • McAleer, M.J., Jimenez, J.-A.J. & Perez-Amaral, T. (2010). GFC-robust risk management strategies under the basel accoord. (Preprints, EI report serie, no EI 2010-59). Rotterdam: Econometric Institute.
  • Asai, M., McAleer, M.J. & Medeiros, M.C. (2010). Asymmetry and long memory in volatility modelling. (Preprints, EI report serie, no EI 2010-60). Rotterdam: Econometric Institute.
  • Kunitomo, N., McAleer, M.J. & Nishiyama, Y. (2010). Moment restriction-based econometric methods: An overview. (Preprints, EI report serie, no EI 200-61). Rotterdam: Econometric Institute.
  • Bian, G., McAleer, M.J. & Wong, W.-K. (2010). Robust estimation and forecasting of the capital asset pricing model. (Preprints, EI report serie, no EI 2010-62). Rotterdam: Econometric Institute.
  • Bian, G., McAleer, M.J. & Wong, W.-K. (2010). Robust Estimation and Forecasting of the Capital Asset Pricing Model. (Preprints, EI report serie, no EI 2010-65). Rotterdam: Econometric Institute.
  • Bian, G., McAleer, M.J. & Wong, W.-K. (2010). A Trinomial Test for Paired Data When There are Many Ties. (Preprints, EI Report serie, no EI 2010-66). Rotterdam: Econometric Institute.
  • Chang, C.-L., McAleer, M.J. & Oxley, L. (2010). Journal Impact Factor Versus Eigenfactor and Article Influence. (Preprints, EI report serie, no EI 2010-67). Rotterdam: Econometric Institute.
  • Bian, G., McAleer, M.J. & Wong, W.-K. (2010). A Trinomial Test for Paired Data When There are Many Ties. (Preprints, EI report serie, no EI 2010-68). Rotterdam: Econometric Institute.
  • Asai, M. & McAleer, M.J. (2010). Alternative Asymmetric Stochastic Volatility Models. (Preprints, EI Report serie, no EI 2010-69). Rotterdam: Econometric Institute.
  • Chang, C.-L., Chen, L.-H., Hammoudeh, S.M. & McAleer, M.J. (2010). Asymmetric Adjustment in the Ethanol and Grains Markets. (Preprints, Report serie, no EI 2010-78). Rotterdam: Econometric Institute.
  • Chan, F., McAleer, M.J. & Medeiros, M.C. (2010). Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors. (Preprints, Report serie, no EI 2010-79). Rotterdam: Econometric Institute.
  • Huang, J., Kobayashi, M. & McAleer, M.J. (2010). Testing the Box-Cox Parameter for and Integrated Process. (Preprints, Report serie, no EI 2010-77). Rotterdam: Econometric Institute.
  • Lean, H.H., McAleer, M.J. & Wong, W.K. (2010). Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach. Energy Economics, 32 (6), 979-986. doi: http://dx.doi.org/10.1016/j.eneco.2010.05.001[go to publisher's site]
  • Ling, S. & McAleer, M.J. (2010). A general asymptotic theory for time-series models. Statistica Neerlandica, 64 (1), 97-111. doi: http://dx.doi.org/10.1111/j.1467-9574.2009.00447.x[go to publisher's site]
  • Allen, D.E., McAleer, M.J. & Scharth, M (2010). Monte Carlo option pricing with asymmetric realized volatility dynamics. Mathematics and Computers in Simulation, 81 (7), 1247-1256. doi: http://dx.doi.org/10.1016/j.matcom.2010.06.010[go to publisher's site]
  • McAleer, M.J., da Veiga, B. & Hoti, S. (2010). Value-at-Risk for country risk ratings. Mathematics and Computers in Simulation, 81 (7), 1454-1463. doi: http://dx.doi.org/10.1016/j.matcom.2010.06.016[go to publisher's site]
  • Khamkaew, T., Tansuchat, R., Chang, C.-L. & McAleer, M.J. (2009). Modelling conditional correlations in the volatility of Asian Rubber and Futures Returns. (Intern rapport, EI report serie, no EI 200934). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Chang, C.-L., Khamkaew, T., McAleer, M.J. & Tansuchat, R. (2009). Interdepence of International Tourism Demand and Volatility in Leading ASEAN Destinations. (Intern rapport, EI report serie, no EI 2009-36). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Hakim, A. & McAleer, M.J. (2009). VaR Forecast and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds. (Intern rapport, EI report serie, no EI 2009-32). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Franses, P.H.B.F., Mcaleer, M.J. & Legerstee, R. (2009). Expert opinion versus expertise in forecasting. (Intern rapport, EI reprint reeks, no EI-1513). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Chang, C.-L., McAleer, M.J. & Tansuchat, R. (2009). Forecasting volatility and spillovers in crude oil spot, forward and futures markets. (Intern rapport, EI report serie, no EI 2009-12). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Chang, C.-L., McAleer, M.J. & Tansuchat, R. (2009). Modelling conditional correlations for risk diversification in crude oil markets. (Intern rapport, EI report serie, no EI 2009-11). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Sato, K., Zhang, Z. & McAleer, M.J. (2009). Identifying Shocks in Regionally Integrated East Asian Economies with Structural VaR and Block Exogeneity. (Intern rapport, EI report serie, no EI 2009-49). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Tansuchat, R., Chang, C.-L. & McAleer, M.J. (2009). Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. (Intern rapport, EI report serie, no EI 2009-35). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Chang, C.-L. & McAleer, M.J. (2009). Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan. (Intern rapport, EI report serie, no EI 2009-41). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Franses, P.H.B.F., Mcaleer, M.J. & Legerstee, R. (2009). Expert opinion versus expertise in forecasting. Statistica Neerlandica, 63 (3), 334-346. doi: http://dx.doi.org/10.1111/j.1467-9574.2009.00426.x
  • Chang, C.-L., Franses, P.H.B.F. & Mcaleer, M.J. (2009). How accurate are government forecast of economic fundamentals? The case of Taiwan. (Intern rapport, EI report reeks, no EI2009-09). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Chu, L.F., Mcaleer, M.J. & Chen, C.-C. (2009). How Volatile is ENSO? (Intern rapport, EI report serie, no EI2009-18). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Mcaleer, M.J., Jimenez-Martin, J.-A. & Perez-Amaral, T. (2009). What Happened to Risk Management During the 2008-09 Financial Crisis? (Intern rapport, EI report reeks, no EI 2009-17). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Wong, W.K. & McAleer, M.J. (2009). Mapping the Presidential Election Cycle in US stock markets. Mathematics and Computers in Simulation, 79 (11), 3267-3277. doi: 10.1016/j.matcom.2009.05.007[go to publisher's site]
  • Asai, M. & McAleer, M.J. (2009). The structure of dynamic correlations in multivariate stochastic volatility models. Journal of Econometrics, 150 (2), 182-192. doi: 10.1016/j.jeconom.2008.12.012[go to publisher's site]
  • Hoti, S., Maasoumi, E., McAleer, M.J. & Slottje, D. (2009). Measuring the Volatility in US Treasury Benchmarks and Debt Instruments. Econometric Reviews, 28 (6), 522-554. doi: 10.1080/07474930802473736
  • Asai, M. & McAleer, M.J. (2009). Multivariate stochastic volatility, leverage and news impact surfaces. Econometrics Journal, 12 (2), 292-309. doi: 10.1111/j.1368-423X.2009.00284.x[go to publisher's site]
  • Chang, C.-L., Khamkaew, T. & McAleer, M.J. (2009). A Panel Threshold Model of Tourism Specialization and Economic Development. (Intern rapport, EI report serie, no EI 2009-40). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Asai, M., Caporin, M. & McAleer, M.J. (2009). Block Structure Multivariate Stochastic Volatility Models. (Intern rapport, EI report serie, no EI 2009-51). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Hammoudeh, S.M., Yuan, Y., McAleer, M.J. & Thompson, M.A. (2009). Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies. (Intern rapport, EI report serie, no EI 2009-38). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • McAleer, M.J. & Medeiros, M.C. (2009). Forecasting Realized Volatility with Linear and Nonlinear Models. (Intern rapport, EI report serie, no EI 2009-37). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Hakim, A. & McAleer, M.J. (2009). Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence. (Intern rapport, EI report serie, no EI 2009-33). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Areosa, W.D., McAleer, M.J. & Medeiros, M.C. (2008). Moment-based estimation of smooth transition regression models with endogenous variables. (Intern rapport, EI report reeks, no EI 2008-36). 3000 DR Rotterdam: Econometrics.
  • Wiphatthanananthakul, C. & McAleer, M.J. (2008). A simple expected volatility (SEV) index: application to SET50 index options. (Intern rapport, EI report serie, no EI 2008-35). 3000 DR Rotterdam: Econometrics.
  • McAleer, M.J., Jimenez-Marin, J-.A. & Perez-Amaral, T. (2008). A decision rule to minimize daily capital charges in forecasting value-at-risk. (Intern rapport, EI report serie, no EI 2008-34). 3000 DR Rotterdam: Econometrics.
  • McAleer, M.J. (2008). The ten commandments for optimizing value-at-risk and daily capital charges. (Intern rapport, EI report serie, no EI 2008-32). 3000 DR Rotterdam: Econometrics.
  • Asia, M., McAleer, M.J. & Medeiros, M.C. (2008). Asymmetry and leverage in realized volatility. (Intern rapport, EI report serie, no EI 2008-31). 3000 DR Rotterdam: Econometrics.
  • Hammoudeh, S.M., Yuan, Y. & McAleer, M.J. (2008). Shock and volatility spillovers among equity sectors of the Gulf Arab stock market. (Intern rapport, EI report serie, no EI 2008-29). 3000 DR Rotterdam: Econometrics.
  • Franses, P.H.B.F., McAleer, M.J. & Legerstee, R. (2008). Does the FOMC have expertise, and can it forecast? (Intern rapport, EI report serie, no EI 2008-33). 3000 DR Rotterdam: Econometrics.
  • Franses, P.H.B.F., McAleer, M.J. & Legerstee, R. (2008). Expert opinion versus expertise in forecasting. (Intern rapport, EI report serie, no EI 2008-30). 3000 DR Rotterdam: Econometrics.
  • McAleer, M.J., Huang, B.-W., Kuo, H.-I., Chen, C.-C. & Chang, C.-L. (2008). An econometric analysis of SARS and Avian flu on international tourist arrivals to Asia. (Intern rapport, EI report serie, no EI 2008-21). 3000 DR Rotterdam: Econometrics.
  • Franses, P.H.B.F. & McAleer, M.J. (2002). Financial volatility: an introduction. Journal of Applied Econometrics, 17 (5), 419-424. doi: http://dx.doi.org/10.1002/jae.693
  • Franses, P.H.B.F. & McAleer, M.J. (1998). Cointegration analysis of seasonal time series. Journal of Economic Surveys, 12 (5), 651-678.
  • Franses, P.H.B.F. & McAleer, M.J. (1998). Testing for unit roots and non-linear transformations. Journal of Time Series Analysis, 19 (2), 147-164.
  • Franses, P.H.B.F. & McAleer, M.J. (1998). Cointegration analysis of seasonal time series. (Intern rapport, Econometric Institute, no 9836). : .
  • Franses, P.H.B.F. & McAleer, M.J. (1997). Testing periodically integrated autoregressive models. Mathematics and Computers in Simulation, 457-466.
  • Franses, P.H.B.F. & McAleer, M.J. (1997). Testing nested and non-nested periodically integrated autoregressive models. Communications in Statistics. Part A. Theory and Methods, 26 (6), 1461-1475.
  • Franses, P.H.B.F. & McAleer, M.J. (1995). Testing for unit roots and non-linear transformations. (Intern rapport, Econometric Institute, no 9507/A). : .
  • Hafner, C.M. & McAleer, M.J. (2014). A One Line Derivation of Dcc: Application of a Vector Random Coefficient Moving Average Process. (Intern rapport, EI report serie, no EI 2014-22). Rotterdam: Econometric Institute.