Access Statistics for Michael McAleer

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk 2 7 23 23 7 14 17 17
A MOTE CARLO COMPARISON OF OLS,IV,FIML AND BOOTSTRAP STANDARD ERRORS IN LINEAR MODELS WITH GENERATED REGRESSORS 0 0 0 0 8 31 90 1,125
A NEW APPROACH TO MAXIMUM LIKELIHOOD ESTIMATION OF THE THREE-PARAMATER GAMMA AND WEIBULL DISTRIBUTIONS 0 0 0 0 1 4 23 810
A Note on Identifiability in the Linear Expenditure Family 0 0 0 0 0 2 2 61
A Scientific Classification of Volatility Models 8 21 21 21 10 16 17 17
A Scientific Classification of Volatility Models 4 6 7 7 5 7 7 7
A decision rule to minimize daily capital charges in forecasting value-at-risk 1 5 8 8 1 5 5 5
A simple expected volatility (SEV) index: application to SET50 index options 1 5 9 9 3 10 10 10
ALTERNATIVE APPROACHES TO TESTING NON-NESTED MODELS WITH AUTOCORRELATED DISTURBANCES: AN APPLICATION TO MODELS OF U.S. UNEMPLOYMENT 0 0 0 1 1 8 31 496
ALTERNATIVE APPROACHES TO TESTING NON-NESTED MODELS WITH AUTOCORRELATED DISTURBANCES: AN APPLICATION TO MODELS OF US UNEMPLOYMENT 0 0 0 0 0 1 5 298
Alternative Procedures and Associated Tests of Significance for Non-Nested Hypotheses 0 0 0 1 2 10 33 93
Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing 0 0 0 0 2 23 42 464
An econometric analysis of SARS and Avian flu on international tourist arrivals to Asia 1 14 16 16 6 32 33 33
Application of Transitional Phase Polynomials to a Model of Trade Union Growth in Canada 0 0 0 0 0 1 4 18
Asian Monetary Integration: A Structural VAR Approach 0 6 29 294 0 5 33 354
Asymmetric Multivariate Stochastic Volatility 5 14 53 161 12 25 114 326
Asymmetry and leverage in realized volatility 8 20 28 28 8 18 19 19
Asymptotic Properties of the Estimator of the Long-run Coefficient in a Dynamic Model with Integrated Regressors and Serially Correlated Errors 0 0 4 55 0 3 13 172
COMPARING THE EMPIRICAL PERFOMANCE OF ALTERNATIVE DEMAND SYSTEMS 0 0 0 0 1 2 8 126
Cointegration and Direct Tests of the Rational Expectations Hypothesis 0 0 0 0 3 8 13 282
Comparing the Empirical Performance of Alternative Demand Systems 0 0 0 0 1 2 8 230
Convergence and Catching Up in ASEAN: A Comparative Analysis 4 7 20 185 5 10 40 362
DISCRIMINATION BETWEEN NESTED TWO- AND THREE-PARAMETER DISTRIBUTIONS: AN APPLICATION TO MODELS OF AIR POLLUTION 0 0 0 0 1 2 10 111
DISCRIMINATION BETWEEN NESTED TWO-AND THREE-PARAMETER DISTRIBUTIONS: AN APPLICATION TO MODELS OF AIR POLLUTION 0 0 0 0 0 0 3 265
DISCRIMINATION PROCEDURES FOR FITTING NESTED AND NON-NESTED DISTRIBUTIONS TO ENVIRONMENTAL QUALITY DATA 0 0 0 0 1 5 12 324
Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models 4 18 18 18 5 13 13 13
Does the ROMC have expertise, and can it forecast? 0 3 3 3 1 7 9 9
Durable Goods in the Extended Linear Expenditure System: An Empirical Appraisal 0 0 0 0 4 9 26 78
ESTIMATING THE PERCENTILES OF SOME MISSPECIFIED NON-NESTED DISTRIBUTIONS 0 0 0 0 0 1 2 282
ESTIMATION AND DISCRIMINATION OF ALTERNATIVE AIR POLLUTION MODELS 0 0 0 0 3 11 21 444
Ecologically Sustainable Tourism Management 2 5 28 330 16 35 151 1,023
Econometric modelling in finance and risk management: An overview 3 10 70 70 7 20 47 47
Environmental Technology Strengths: International Rankings Based on US Patent Data 3 6 18 121 5 12 62 373
Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence 3 6 30 192 6 10 51 311
Estimation of the Consumption Function: A Systems Approach to Employment Effects on the Purchases of Durables 0 0 0 1 9 30 91 193
Exact Tests of a Model Against Non-Nested Alternatives 0 0 0 0 0 2 14 24
Exogeneity and Money Demand in a Small Open Economy: The Canadian Case 0 0 0 0 0 3 14 45
Expert opinion versus expertise in forecasting 1 28 32 32 3 14 14 14
Fat Tails and Asymmetry in Financial Volatility Models 2 8 35 362 5 18 96 826
Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis? 52 87 87 87 14 24 24 24
Input-output Structure and Growth in China 1 4 24 370 3 13 59 734
Interest Rates and Durability in the Linear Expenditure Family 0 0 0 0 1 2 9 27
JOINT TEST OF NON-NESTED MODELS AND GENERAL ERRO SPECIFICATIONS 0 0 0 0 1 8 22 616
JOINT TESTS OF NON-NESTED MODLS AND GENERAL ERROR SPECIFICATIONS 0 0 0 0 1 6 23 807
KEYNESIAN AND NEW CLASSICAL MODELS OF UNEMPLOYMENT REVISITED 0 0 0 0 2 17 24 454
Managing Value-at-Risk in Daily Tourist Tax Revenues for the Maldives 0 1 7 42 4 13 60 206
Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments 5 9 37 125 20 55 201 596
Modeling Exchange Rate and Industrial Commodity Volatility Transmissions 4 13 20 20 10 29 35 35
Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns 2 8 43 334 8 26 178 1,333
Modelling Environmental Risk 2 4 14 100 9 22 80 393
Modelling International Tourist Arrivals and Volatility: An Application to Taiwan 0 2 2 2 2 4 7 7
Modelling International Tourist Arrivals and Volatility: An Application to Taiwan 3 10 13 13 10 27 33 33
Modelling International Travel Demand from Singapore to Australia 1 8 26 282 5 26 108 967
Modelling Sustainable International Tourism Demand to the Brazilian Amazon 6 14 14 14 11 15 15 15
Modelling sustainable international tourism demand to the Brazilian Amazon 0 9 10 10 4 13 17 17
Modelling the Asymmetric Volatility of Electronics Patents in the USA 0 0 2 51 1 3 16 190
Moment-bases estimation of smooth transition regression models with endogenous variables 5 16 21 21 7 22 23 23
ON THE ROBUSTNESS OF BARRO'S NEW CLASSICAL UNEMPLOYMENT MODEL 0 0 0 0 0 14 35 646
ON THE ROBUSTNESS OF TESTS OF OUTLIERS AND FUNCTIONAL FORM 0 0 0 0 0 1 8 519
On Efficient Estimation and Correct Inference in Models with Generated Regressions: A General Approach 0 0 0 1 2 7 15 280
On the Consistency of Joint and Paired Tests for Non-Nested Regression Models 0 0 0 0 0 1 18 40
On the Robustness of Alternative Rankings Methodologies: Australian and New Zealand Economics Departments, 1988-2002 0 2 11 19 2 9 47 93
On the Structure, Asymptotic Theory and Applications of STAR-GARCH Models 0 8 21 209 2 16 42 357
Patent Activity and Technical Change 1 6 18 38 3 15 58 124
Patent Activity and Technical Change 0 0 1 52 1 3 21 208
Pricing of Non-ferrous Metals Futures on the London Metal Exchange 6 17 58 392 18 72 405 1,960
Principles and Methods in the Testing of Alternative Models 0 0 0 0 0 2 11 16
Problems of Estimating the Linear Expenditure System and its Related Forms 0 0 0 0 13 29 89 168
Realized volatility: a review 9 32 135 303 14 49 201 437
Regression Quantiles for Unstable Autoregressive Models 0 0 0 1 0 0 4 178
Regression Quantiles for Unstable Autoregressive Models 2 2 5 48 3 3 11 125
Risk Management of Daily Tourist Tax Revenues for the Maldives 1 2 17 85 2 10 63 317
SIMPLE PROCEDURES FOR TESTING AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS 0 0 0 2 5 13 41 770
SOME POWER COMPARISONS OF JOINT AND PAIRED TESTS FOR NON-NESTED MODELS UNDER LOCAL HYPOTHESES 0 0 0 0 0 0 3 757
Separate Misspecified Regressions 0 0 0 0 0 1 5 16
Separate Misspecified Regressions and the U.S. Long Run Demand for Money Function 0 0 0 0 0 1 2 19
Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets 1 5 7 7 2 12 12 12
Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings 0 3 35 247 4 15 71 526
THE EFFECTS OF MISSPECIFICATION IN ESTIMATING THE PERCENTILES OF SOME TWO -AND THREE-PARAMETER DISTRIBUTIONS 0 0 0 0 0 0 3 169
THE EFFECTS OF MISSPECIFICATION IN ESTIMATING THE PERCENTILES OF SOME TWO -AND THREE-PARAMETER DISTRIBUTIONS 0 0 0 0 0 1 1 278
Testing Nested and Non-Nested Periodically Integrated Autoregressive Models 0 0 0 0 1 2 5 107
Testing Nested and Non-Nested Periodically Integrated Autoregressive Models 0 0 0 0 0 2 6 209
Testing Separate Regression Models Subject to Specification Error 0 0 0 0 2 7 32 66
Testing Separate Regression Models Subject to Specification Error 0 0 0 0 0 1 3 31
Testing for Unit Roots and Non-Linear Transformations 0 0 0 0 2 6 20 285
The Interpretation of the Cox Test in Econometrics 0 0 0 0 11 40 119 203
The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges 1 8 36 36 4 23 28 28
The ten commandments for optimizing value-at-risk and daily capital charges 1 3 8 8 2 9 9 9
Theory and Econometric Evaluation of a Systems Approach to Money Demand, The Canadian Case 0 0 0 0 2 5 14 32
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH 3 9 16 16 3 10 10 10
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH 3 9 53 90 4 16 91 142
Two Papers on Linear Models 0 0 0 0 0 2 9 36
Two Papers on Model Testing and Discrimination 0 0 0 0 0 0 4 22
Volatility Models of Currency Futures in Developed and Emerging Markets 0 1 18 146 2 6 42 351
Volatility of a Market Index and its Components: An Application to Commodity Markets 1 2 5 127 1 4 20 206
What Will Take the Con Out of Econometrics? 0 1 24 106 4 20 93 569
Total Working Papers 162 484 1,240 5,342 364 1,181 3,808 26,505

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Market-Augmented Model for SIMEX Brent Crude Oil Futures Contracts 0 1 2 73 4 12 52 716
A Monte Carlo Study of Some Tests of Model Adequacy in Time Series Analysis 0 0 0 0 1 2 13 79
A Note on Identifiability in the Linear Expenditure Family 0 0 0 0 0 1 2 20
A Portfolio Index GARCH model 1 7 23 23 3 11 37 37
A Seasonal Analysis of Asian Tourist Arrivals to Australia 0 4 17 78 8 29 99 442
A further result on the sign of restricted least-squares estimates 0 0 1 3 1 1 2 18
A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries 0 3 7 7 0 10 18 18
A neural network demand system with heteroskedastic errors 1 4 10 10 2 10 20 20
A note on the unbiasedness test of rationality using survey data 0 0 2 12 0 0 7 28
A sequential testing procedure for outliers and structural change 0 1 4 7 1 8 26 49
A small sample test for non-nested regression models 0 0 5 13 1 3 35 100
ANALYTICAL POWER COMPARISONS OF NESTED AND NONNESTED TESTS FOR LINEAR AND LOGLINEAR REGRESSION MODELS 0 0 0 0 0 2 3 4
ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL 3 10 19 20 4 21 32 33
AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY 0 3 6 15 0 7 10 30
Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing 1 3 32 115 1 5 86 440
Alternative procedures and associated tests of significance for non-nested hypotheses 0 1 11 26 2 15 42 67
An Empirical Assessment of Country Risk Ratings and Associated Models 8 25 98 548 20 63 270 1,653
An alternative approach to estimating demand: Neural network regression with conditional volatility for high frequency air passenger arrivals 1 2 6 6 3 10 29 29
An econometric analysis of asymmetric volatility: Theory and application to patents 1 3 19 41 4 8 44 98
Asymptotic Properties Of The Estimator Of The Long-Run Coefficient In A Dynamic Model With Integrated Regressors And Serially Correlated Errors 0 0 0 0 0 0 1 5
Cointegrated systems I 0 0 0 0 0 0 2 7
Cointegrated systems II 0 0 0 1 0 0 1 5
Cointegration Analysis of Quarterly Tourism Demand by Hong Kong and Singapore for Australia 0 5 24 167 2 11 51 607
Cointegration Analysis of Seasonal Time Series 0 2 16 93 2 8 36 214
Cointegration and direct tests of the rational expectations hypothesis 3 5 9 21 4 8 17 38
Cointegration in Practice 6 10 25 98 7 12 35 157
Comment 0 0 1 1 0 1 3 4
Consumption, liquidity constraints, uncertainty and temptation: An international comparison 0 0 0 17 0 0 3 48
Convergence and catching up in ASEAN: a comparative analysis 1 9 11 49 10 22 34 151
Direct Tests of the Permanent Income Hypothesis under Uncertainty, Inflationary Expectations and Liquidity Constraints 1 4 11 20 1 6 18 68
Dynamic Asymmetric GARCH 0 4 19 60 1 6 32 123
Econometric Issues in Macroeconomic Models with Generated Regressors 0 0 0 0 22 56 174 640
Econometric modelling in finance and risk management: An overview 2 7 19 19 5 17 49 49
Econometric modelling of non-ferrous metal prices 3 9 30 112 6 20 115 450
Efficient Estimation and Testing of Alternative Models of Currency Futures Contracts 0 1 5 28 0 2 15 148
Efficient Estimation: The Rao-Zyskind Condition, Kruskal's Theorem and Ordinary Least Squares 0 0 0 0 1 5 18 133
Efficient estimation and testing of oil futures contracts in a mutual offset system 0 3 9 66 2 10 66 312
Empirical Econometric Modelling of Food Consumption Using a New Informational Complexity Approach: Comments 0 0 1 11 0 0 3 62
Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers 2 6 17 52 8 14 34 122
Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares 1 4 21 21 2 7 41 41
Financial volatility: an introduction 2 16 66 561 15 48 189 1,276
Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks 4 8 10 10 6 15 24 24
Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model 1 8 42 59 4 19 77 128
Further Results on Testing AR (1) against MA (1) Disturbances in the Linear Regression Model 0 1 2 27 19 30 77 185
GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION 2 5 12 12 5 17 31 31
HOW DOES COUNTRY RISK AFFECT INNOVATION? AN APPLICATION TO FOREIGN PATENTS REGISTERED IN THE USA 1 1 8 23 1 1 25 90
How Fragile Are Fragile Inferences? A Re-evaluation of the Deterrent Effect of Capital Punishment 1 1 8 53 2 5 44 284
INTELLECTUAL PROPERTY AND ECONOMIC INCENTIVES 1 1 11 38 3 6 22 78
INTELLECTUAL PROPERTY LITIGATION ACTIVITY IN THE USA 4 7 35 68 10 25 96 185
Interest Rates and Durability in the Linear Expenditure Family 0 0 0 0 0 1 2 25
Is a monetary union feasible for East Asia? 3 10 30 129 5 21 60 246
Joint tests of non-nested models and general error specifications 0 0 3 4 0 2 13 19
Keynesian and New Classical Models of Unemployment Revisited 1 6 15 85 2 15 76 387
Linear and nonlinear causality between changes in consumption and consumer attitudes 4 9 9 9 11 21 21 21
MEASURING RISK IN ENVIRONMENTAL FINANCE 1 8 25 40 2 11 62 104
Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence 7 21 73 599 18 51 169 1,410
Modeling dynamic conditional correlations in WTI oil forward and futures returns 1 3 10 40 3 10 57 161
Modelling time-varying conditional correlations in the volatility of Tapis oil spot and forward returns 5 17 54 189 14 46 162 628
NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS 2 4 6 7 4 10 16 17
Newey-West Covariance Matrix Estimates for Models with Generated Regressors 0 0 0 11 15 86 352 1,983
Non-trading day effects in asymmetric conditional and stochastic volatility models 1 4 18 36 6 20 74 161
On exact and asymptotic tests of non-nested models 0 1 1 1 0 2 2 2
On the Effects of Misspecification Errors in Models with Generated Regressors 0 0 0 0 1 2 21 96
On the Robustness of Barro's New Classical Unemployment Model 0 0 0 0 0 4 11 46
On the interpretation of the cox test in econometrics 1 4 9 15 1 4 11 27
Patent activity and technical change 0 1 4 11 0 2 16 51
Pictures at an Exhibition: The Experiment in Applied Econometrics Conference, Tilburg, the Netherlands, 1996 0 0 1 17 0 0 6 127
Pricing of Forward and Futures Contracts 1 6 21 229 1 13 55 663
Pricing of non-ferrous metals futures on the London Metal Exchange 6 13 32 96 13 37 173 558
Properties of ordinary least squares estimators in regression models with nonspherical disturbances 6 16 43 122 23 54 157 413
Realized Volatility and Long Memory: An Overview 3 5 39 54 3 5 53 83
Realized Volatility: A Review 5 17 60 71 8 32 126 156
Recent Theoretical Results for Time Series Models with GARCH Errors 6 11 38 219 10 23 89 442
Recursive estimation and generated regressors 0 0 3 16 0 1 9 41
Recursive modelling of symmetric and asymmetric volatility in the presence of extreme observations 1 2 6 17 1 2 10 53
Regression quantiles for unstable autoregressive models 0 0 0 0 1 1 1 1
Revisiting Tobin's 1950 Study of Food Expenditure: Comments 0 1 1 20 0 2 11 130
SIZE CHARACTERISTICS OF TESTS FOR SAMPLE SELECTION BIAS: A MONTE CARLO COMPARISON AND EMPIRICAL EXAMPLE 0 2 18 53 5 18 125 439
Scalar BEKK and indirect DCC 2 10 30 30 6 22 58 58
Separate Misspecified Regressions and the U.S. Long-Run Demand for Money Function 0 0 3 7 0 0 4 29
Sherlock Holmes and the Search for Truth: A Diagnostic Tale 0 0 0 0 4 10 36 606
Simplicity, Scientific Interference and Econometric Modelling 1 2 5 29 1 2 20 142
Simultaneity and the Demand for Money in Canada: Comments and Extensions 0 0 1 1 0 2 8 55
Single-index and portfolio models for forecasting value-at-risk thresholds 2 11 58 78 6 25 143 190
Some Exact Tests for Model Specification 0 0 3 30 0 0 4 116
Some comments on testing time series models 0 0 3 3 0 0 6 10
Stationarity and the existence of moments of a family of GARCH processes 3 9 23 89 3 13 32 172
Statistical Demand Functions for Food in the USA and the Netherlands: Comments 0 0 0 16 0 0 24 105
Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility 1 7 7 7 2 12 12 12
Switching Orthogonality 0 0 0 0 0 0 3 92
Testing Long-Run Neutrality Using Intra-year data 1 1 1 10 1 3 6 44
Testing Non-Nested Specifications of Money Demand for Canada 0 0 0 0 0 2 4 40
Testing separate models with stochastic regressors 0 0 0 4 0 0 4 17
Testing separate regression models subject to specification error 0 0 2 6 0 1 8 19
Testing the Risk Premium and Cost-of-Carry Hypotheses for Currency Futures Contracts 0 0 4 50 2 3 19 163
The 7th World Congress of the Econometric Society: Tokyo, Japan, 1995 0 0 0 0 0 8 24 130
The Econometrics of Financial Time Series 1 2 5 75 2 5 13 159
The International Congress on Modelling and Simulation, Hobart, Tasmania, December 1997 0 1 1 7 2 4 8 80
The International Congress on Modelling and Simulation: Hamilton, New Zealand, December 1999 0 0 1 3 1 3 10 92
The Osaka Econometrics Conference: Osaka, Japan, 1995 0 0 0 0 1 2 8 43
The Ten Commandments for Academics 1 2 16 58 2 3 40 141
The Ten Commandments for Attending a Conference 0 0 9 41 1 1 21 101
The Ten Commandments for Organizing a Conference 0 0 7 187 1 4 24 464
The Ten Commandments for Presenting a Conference Paper 4 6 28 209 12 31 100 525
The Winter of My Content: The Econometric Society Australasian Meeting 1997, Melbourne, Australia 0 0 2 2 1 1 5 34
The econometrics of intellectual property: An overview 0 0 7 39 1 3 17 93
The minimum error variance rule for non-linear regression models 0 2 6 13 1 4 21 55
The significance of testing empirical non-nested models 0 3 15 44 2 9 46 136
The ten commandments for ranking university quality 2 2 14 58 3 5 41 188
Trends and volatilities in foreign patents registered in the USA 1 3 5 23 3 9 25 109
Variable Addition and LaGrange Multiplier Tests for Linear and Logarithmic Regression Models 0 0 12 106 1 8 83 670
What Will Take the Con out of Econometrics? 1 3 23 86 2 7 51 204
When are two step estimators efficient? 0 1 7 11 1 3 14 25
Total Journal Articles 125 410 1,491 6,096 402 1,290 5,042 23,155

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Statistics updated 2009-07-03