[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
An econometric analysis of asymmetric volatility: Theory and application to patents. (2007). McAleer, Michael ; Chan, Felix ; Marinova, Dora.
In: Journal of Econometrics.
RePEc:eee:econom:v:139:y:2007:i:2:p:259-284.

Full description at Econpapers || Download paper

Cited: 226

Citations received by this document

Cites: 51

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. .

    Full description at Econpapers || Download paper

  2. Neither developed nor emerging: Dual paths for outward FDI and home country innovation in emerged market MNCs. (2023). Yu, Jing ; Liu, Wei ; Su, Eun.
    In: International Business Review.
    RePEc:eee:iburev:v:32:y:2023:i:2:s0969593121001438.

    Full description at Econpapers || Download paper

  3. Australian innovation: Patent database construction and first evidence. (2022). Vojvoda, Kristina ; Ma, Nelson ; Bedford, Anna.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:73:y:2022:i:c:s0927538x22000713.

    Full description at Econpapers || Download paper

  4. Evaluation model of competitive and innovative tourism practices based on information entropy and alternative criteria weight. (2021). Ferreira, Joo J ; Teixeira, Srgio J ; Moreira, Jorge Junio ; Wanke, Peter.
    In: Tourism Economics.
    RePEc:sae:toueco:v:27:y:2021:i:1:p:23-44.

    Full description at Econpapers || Download paper

  5. Can Crude Oil Futures be the Good Hedging Tool for Tyre Equities? Evidence from India. (2021). Ramesh, K G ; Hawaldar, Iqbal Thonse ; Pinto, Prakash ; Kumar, Abhaya K.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2021-06-60.

    Full description at Econpapers || Download paper

  6. Connectedness between the Crude Oil Futures and Equity Markets during the Pre- and Post-Financialisation Eras. (2021). Gronwald, Marc ; Durand, Robert D ; Wadud, Sania.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_9202.

    Full description at Econpapers || Download paper

  7. Volatility Modelling for Tourism Sector Stocks in Borsa Istanbul. (2020). Elik, Gulah Gener.
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2020-03-20.

    Full description at Econpapers || Download paper

  8. .

    Full description at Econpapers || Download paper

  9. .

    Full description at Econpapers || Download paper

  10. .

    Full description at Econpapers || Download paper

  11. Do spot food commodity and oil prices predict futures prices?. (2019). Riabko, Natalija ; Cartwright, Phillip A.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:53:y:2019:i:1:d:10.1007_s11156-018-0746-1.

    Full description at Econpapers || Download paper

  12. Choosing expected shortfall over VaR in Basel III using stochastic dominance. (2019). McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Perez-Amaral, Teodosio ; Maasoumi, Esfandiar .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:60:y:2019:i:c:p:95-113.

    Full description at Econpapers || Download paper

  13. Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?. (2019). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:59:y:2019:i:c:p:50-70.

    Full description at Econpapers || Download paper

  14. Modelling the volatility of international visitor arrivals to New Zealand. (2019). Balli, Hatice ; Kan, Wai Hong.
    In: Journal of Air Transport Management.
    RePEc:eee:jaitra:v:75:y:2019:i:c:p:204-214.

    Full description at Econpapers || Download paper

  15. Finite-Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model. (2019). Demos, Antonis ; Dimitra, Kyriakopoulou ; Antonis, Demos.
    In: Journal of Time Series Econometrics.
    RePEc:bpj:jtsmet:v:11:y:2019:i:1:p:20:n:4.

    Full description at Econpapers || Download paper

  16. Volatility Dynamics in the ASEAN– China Free Trade Agreement. (2018). .
    In: Journal of Emerging Market Finance.
    RePEc:sae:emffin:v:17:y:2018:i:3:p:287-306.

    Full description at Econpapers || Download paper

  17. Variance Persistence in the Greater China Region: A Multivariate GARCH Approach. (2018). Diaz, John Francis ; Tan, Genevieve Liao ; Qian, Peh Ying.
    In: Lahore Journal of Economics.
    RePEc:lje:journl:v:23:y:2018:i:2:p:49-68.

    Full description at Econpapers || Download paper

  18. Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2018). McAleer, Michael ; Chang, Chia-Lin.
    In: Energies.
    RePEc:gam:jeners:v:11:y:2018:i:6:p:1595-:d:153161.

    Full description at Econpapers || Download paper

  19. Patent transactions in the marketplace: Lessons from the USPTO Patent Assignment Dataset. (2018). Marco, Alan C ; Myers, Amanda F.
    In: Journal of Economics & Management Strategy.
    RePEc:bla:jemstr:v:27:y:2018:i:3:p:343-371.

    Full description at Econpapers || Download paper

  20. Finite Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model. (2018). Kyriakopoulou, Dimitra ; Demos, Antonis.
    In: DEOS Working Papers.
    RePEc:aue:wpaper:1802.

    Full description at Econpapers || Download paper

  21. Volatility spillover effects in interbank money markets. (2017). Curto, Jose Dias ; Ribeiro, Pedro Pires.
    In: Review of World Economics (Weltwirtschaftliches Archiv).
    RePEc:spr:weltar:v:153:y:2017:i:1:d:10.1007_s10290-016-0268-7.

    Full description at Econpapers || Download paper

  22. Volatility Spillovers from Australias major trading partners across the GFC. (2017). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:47:y:2017:i:c:p:159-175.

    Full description at Econpapers || Download paper

  23. Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?. (2016). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1601.

    Full description at Econpapers || Download paper

  24. Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?. (2016). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20160006.

    Full description at Econpapers || Download paper

  25. Further evidence on the explanatory power of spot food and energy commodities market prices for futures prices. (2016). Riabko, Natalija ; Cartwright, Phillip A.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:47:y:2016:i:3:d:10.1007_s11156-015-0513-5.

    Full description at Econpapers || Download paper

  26. Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?. (2016). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:79731.

    Full description at Econpapers || Download paper

  27. IMPROVED DETECTION OF RARE-EVENT RISK OF A PORTFOLIO WITH U.S. REITs. (2015). So, Leh-Chyan ; Yu, Jun-Yang .
    In: Annals of Financial Economics (AFE).
    RePEc:wsi:afexxx:v:10:y:2015:i:02:n:s2010495215500153.

    Full description at Econpapers || Download paper

  28. A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?. (2015). McAleer, Michael ; Maasoumi, Esfandiar ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Perez-Amaral, Teodosio.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1516.

    Full description at Econpapers || Download paper

  29. Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2015). McAleer, Michael ; Chang, Chia-Lin.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1508.

    Full description at Econpapers || Download paper

  30. On the Invertibility of EGARCH(p,q). (2015). McAleer, Michael ; Martinet, Guillaume Gaetan .
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1503.

    Full description at Econpapers || Download paper

  31. Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance. (2015). McAleer, Michael ; Maasoumi, Esfandiar ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Perez-Amaral, Teodosio.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20150133.

    Full description at Econpapers || Download paper

  32. Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2015). McAleer, Michael ; Chang, Chia-Lin.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20150077.

    Full description at Econpapers || Download paper

  33. A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?. (2015). McAleer, Michael ; Maasoumi, Esfandiar ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Perez-Amaral, Teodosio.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20150056.

    Full description at Econpapers || Download paper

  34. On the Invertibility of EGARCH(p,q). (2015). McAleer, Michael ; Martinet, Guillaume Gaetan .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20150022.

    Full description at Econpapers || Download paper

  35. A Standardized Coefficients Model to Analyze the Regional Patents Activity: Evidence from the Mexican States. (2015). Gutiérrez-Flores, Luis ; German-Soto, Vicente.
    In: Journal of the Knowledge Economy.
    RePEc:spr:jknowl:v:6:y:2015:i:1:p:72-89.

    Full description at Econpapers || Download paper

  36. The Role of Outliers and Oil Price Shocks on Volatility of Metal Prices. (2015). Manera, Matteo ; Behmiri, Niaz Bashiri .
    In: Working Papers.
    RePEc:fem:femwpa:2015.77.

    Full description at Econpapers || Download paper

  37. Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance. (2015). McAleer, Michael ; Maasoumi, Esfandiar ; Jimenez-Martin, Juan ; Chang, Chia-Lin.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:79539.

    Full description at Econpapers || Download paper

  38. Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2015). McAleer, Michael ; Li, Yong ; Chang, Chia-Lin ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:78349.

    Full description at Econpapers || Download paper

  39. A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?. (2015). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:78155.

    Full description at Econpapers || Download paper

  40. On the Invertibility of EGARCH(p,q). (2015). McAleer, Michael ; Martinet, G. G..
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:78126.

    Full description at Econpapers || Download paper

  41. The power of print: Uncertainty shocks, markets, and the economy. (2015). Alexopoulos, Michelle ; Cohen, Jon .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:40:y:2015:i:c:p:8-28.

    Full description at Econpapers || Download paper

  42. Modelling a latent daily Tourism Financial Conditions Index. (2015). Chang, Chia-Lin.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:40:y:2015:i:c:p:113-126.

    Full description at Econpapers || Download paper

  43. The role of outliers and oil price shocks on volatility of metal prices. (2015). Manera, Matteo ; Behmiri, Niaz Bashiri .
    In: Resources Policy.
    RePEc:eee:jrpoli:v:46:y:2015:i:p2:p:139-150.

    Full description at Econpapers || Download paper

  44. A stochastic dominance approach to financial risk management strategies. (2015). Maasoumi, Esfandiar ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Perez-Amaral, Teodosio.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:187:y:2015:i:2:p:472-485.

    Full description at Econpapers || Download paper

  45. On the Invertibility of EGARCH. (2014). McAleer, Michael ; Martinet, Guillaume Gaetan .
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1428.

    Full description at Econpapers || Download paper

  46. Volatility Spillovers from Australias major trading partners across the GFC. (2014). McAleer, Michael ; Allen, David ; Singh, Abhay K..
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1426.

    Full description at Econpapers || Download paper

  47. A Stochastic Dominance Approach to Financial Risk Management Strategies. (2014). perez-amaral, teodosio ; Maasoumi, Esfandiar ; Jimenez-Martin, Juan ; Chang, Chia-Lin.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1408.

    Full description at Econpapers || Download paper

  48. Volatility Spillovers from Australias Major Trading Partners across the GFC. (2014). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K..
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20140106.

    Full description at Econpapers || Download paper

  49. On the Invertibility of EGARCH. (2014). McAleer, Michael ; Martinet, Guillaume Gaetan .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20140096.

    Full description at Econpapers || Download paper

  50. Modelling a Latent Daily Tourism Financial Conditions Index. (2014). Chang, Chia-Lin.
    In: MPRA Paper.
    RePEc:pra:mprapa:54887.

    Full description at Econpapers || Download paper

  51. On the Invertibility of EGARCH. (2014). McAleer, Michael ; Martinet, G. G..
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:51750.

    Full description at Econpapers || Download paper

  52. The impact of China on stock returns and volatility in the Taiwan tourism industry. (2014). McAleer, Michael ; Chang, Chia-Lin ; Hsu, Hui-Kuang.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:29:y:2014:i:c:p:381-401.

    Full description at Econpapers || Download paper

  53. Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market. (2014). Zhang, Zhaoyong ; Tsui, Albert ; Long, Ling .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:37:y:2014:i:c:p:89-102.

    Full description at Econpapers || Download paper

  54. Volatility Spillovers from Australias major trading partners across the GFC. (2014). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K..
    In: Working Papers in Economics.
    RePEc:cbt:econwp:14/23.

    Full description at Econpapers || Download paper

  55. On the Invertibility of EGARCH. (2014). McAleer, Michael ; Martinet, Guillaume Gaetan .
    In: Working Papers in Economics.
    RePEc:cbt:econwp:14/21.

    Full description at Econpapers || Download paper

  56. The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry. (2013). McAleer, Michael ; Hsu, Hui-Kuang ; Chang, Chia-Lin.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1330.

    Full description at Econpapers || Download paper

  57. Herding, Information Cascades and Volatility Spillovers in Futures Markets. (2013). McAleer, Michael ; Radalj, Kim .
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1325.

    Full description at Econpapers || Download paper

  58. Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility. (2013). McAleer, Michael ; Chang, Chia-Lin ; Chen, Chi-Chung .
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1306.

    Full description at Econpapers || Download paper

  59. Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism. (2013). McAleer, Michael ; Hsu, Hui-Kuang ; Chang, Chia-Lin.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1301.

    Full description at Econpapers || Download paper

  60. The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry. (2013). McAleer, Michael ; Chang, Chia-Lin ; Hsu, Hui-Kuang.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130118.

    Full description at Econpapers || Download paper

  61. Herding, Information Cascades and Volatility Spillovers in Futures Markets. (2013). McAleer, Michael ; Radalj, Kim .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130086.

    Full description at Econpapers || Download paper

  62. GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies. (2013). McAleer, Michael ; Jimenez-Martin, Juan ; Amaral, Teodosio Perez ; PerezAmaral, Teodosio ; Santos, Paulo Araujo ; AraujoSantos, Paulo .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130070.

    Full description at Econpapers || Download paper

  63. Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility. (2013). McAleer, Michael ; Chang, Chia-Lin ; Chen, Chi-Chung .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130024.

    Full description at Econpapers || Download paper

  64. Has the Basel Accord Improved Risk Management During the Global Financial Crisis?. (2013). McAleer, Michael ; Jimenez-Martin, Juan ; Juan-Ángel Jiménez-Martín, ; Teodosio Pérez-Amaral, .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130010.

    Full description at Econpapers || Download paper

  65. Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism. (2013). McAleer, Michael ; Chang, Chia-Lin ; Hsu, Hui-Kuang.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130008.

    Full description at Econpapers || Download paper

  66. How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?. (2013). McAleer, Michael ; Chen, Chi-Chung ; Chu, Lan-Fen .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130007.

    Full description at Econpapers || Download paper

  67. Modelling Volatility Size Effects for Firm Performance: The Impact of Chinese Tourists to Taiwan. (2013). Hsu, Hui-Kuang ; Chang, Chia-Lin.
    In: MPRA Paper.
    RePEc:pra:mprapa:45691.

    Full description at Econpapers || Download paper

  68. Herding, Information Cascades and Volatility Spillovers in Futures Markets. (2013). McAleer, Michael ; Radalj, Kim .
    In: KIER Working Papers.
    RePEc:kyo:wpaper:873.

    Full description at Econpapers || Download paper

  69. Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility. (2013). McAleer, Michael ; Chang, Chia-Lin ; Chen, Chi-Chung .
    In: KIER Working Papers.
    RePEc:kyo:wpaper:844.

    Full description at Econpapers || Download paper

  70. The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry. (2013). McAleer, Michael ; Hsu, Hui-Kuang ; Chang, Chia-Lin ; Chang, C-L., ; Hsu, H-K., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:41465.

    Full description at Econpapers || Download paper

  71. Herding, Information Cascades and Volatility Spillovers in Futures Markets. (2013). McAleer, Michael ; Radalj, K..
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:40778.

    Full description at Econpapers || Download paper

  72. Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility. (2013). McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., ; Chen, P-Y., ; Chen, C-C., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:38697.

    Full description at Econpapers || Download paper

  73. GFC-robust risk management strategies under the Basel Accord. (2013). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:27:y:2013:i:c:p:97-111.

    Full description at Econpapers || Download paper

  74. A detailed comparison of value at risk estimates. (2013). Abad, Pilar ; Benito, Sonia .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:94:y:2013:i:c:p:258-276.

    Full description at Econpapers || Download paper

  75. Volatility spillovers from the Chinese stock market to economic neighbours. (2013). McAleer, Michael ; Allen, David ; Amram, Ron .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:94:y:2013:i:c:p:238-257.

    Full description at Econpapers || Download paper

  76. Currency hedging strategies using dynamic multivariate GARCH. (2013). Jimenez-Martin, Juan ; Chang, Chia-Lin ; Gonzalez-Serrano, Lydia .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:94:y:2013:i:c:p:164-182.

    Full description at Econpapers || Download paper

  77. Is small beautiful? Size effects of volatility spillovers for firm performance and exchange rates in tourism. (2013). McAleer, Michael ; Hsu, Hui-Kuang ; Chang, Chia-Lin.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:26:y:2013:i:c:p:519-534.

    Full description at Econpapers || Download paper

  78. Has the Basel Accord improved risk management during the global financial crisis?. (2013). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:26:y:2013:i:c:p:250-265.

    Full description at Econpapers || Download paper

  79. Equity and CDS sector indices: Dynamic models and risk hedging. (2013). Caporin, Massimiliano.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:25:y:2013:i:c:p:261-275.

    Full description at Econpapers || Download paper

  80. The rise and fall of S&P500 variance futures. (2013). McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Amaral, Teodosio Perez ; PerezAmaral, Teodosio .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:25:y:2013:i:c:p:151-167.

    Full description at Econpapers || Download paper

  81. The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry. (2013). McAleer, Michael ; Hsu, Hui-Kuang ; Chang, Chia-Lin.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:13/27.

    Full description at Econpapers || Download paper

  82. Herding, Information Cascades and Volatility Spillovers in Futures Markets. (2013). McAleer, Michael ; Radalj, Kim .
    In: Working Papers in Economics.
    RePEc:cbt:econwp:13/23.

    Full description at Econpapers || Download paper

  83. Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility. (2013). McAleer, Michael ; Chang, Chia-Lin ; Chen, Chi-Chung .
    In: Working Papers in Economics.
    RePEc:cbt:econwp:13/07.

    Full description at Econpapers || Download paper

  84. Financial Speculation in Energy and Agriculture Futures Markets: A Multivariate GARCH Approach. (2013). Nicolini, Marcella ; Manera, Matteo ; Matteo Manera, Marcella Nicolini,, ; Vignati, Ilaria .
    In: The Energy Journal.
    RePEc:aen:journl:ej34-3-03.

    Full description at Econpapers || Download paper

  85. Volatility Spillovers from the US to Australia and China across the GFC. (2012). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K..
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1230.

    Full description at Econpapers || Download paper

  86. Has the Basel Accord Improved Risk Management During the Global Financial Crisis?. (2012). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1226.

    Full description at Econpapers || Download paper

  87. How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?. (2012). McAleer, Michael ; Chen, Chi-Chung ; Chu, Lan-Fen .
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1220.

    Full description at Econpapers || Download paper

  88. Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. (2012). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1210.

    Full description at Econpapers || Download paper

  89. Currency Hedging Strategies Using Dynamic Multivariate GARCH. (2012). Jimenez-Martin, Juan ; Chang, Chia-Lin ; Gonzalez-Serrano, Lydia .
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1207.

    Full description at Econpapers || Download paper

  90. Returns in commodities futures markets and financial speculation: a multivariate GARCH approach. (2012). Nicolini, Marcella ; Manera, Matteo ; Vignati, Ilaria .
    In: Quaderni di Dipartimento.
    RePEc:pav:wpaper:170.

    Full description at Econpapers || Download paper

  91. Modelling Monthly International Tourist Arrivals and Its Risk in Nepal. (2012). Hari Sharma Neupane, Chandra Lal Shrestha & Tara P, .
    In: NRB Economic Review.
    RePEc:nrb:journl:v:24:y:2012:i:1:p:3.

    Full description at Econpapers || Download paper

  92. Modelling Monthly International Tourist Arrivals and Its Risk in Nepal. (2012). Shrestha, Chandra Lal ; Upadhyaya, Tara Prasad ; Neupane, Hari Sharma .
    In: NRB Economic Review.
    RePEc:nrb:journl:v:24:y:2012:i:1:p:28-47.

    Full description at Econpapers || Download paper

  93. How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?. (2012). McAleer, Michael ; Chen, Chi-Chung ; Chu, Lan-Fen .
    In: Journal of Reviews on Global Economics.
    RePEc:lif:jrgelg:v:1:y:2012:p:1-12.

    Full description at Econpapers || Download paper

  94. Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism. (2012). McAleer, Michael ; Hsu, Hui-Kuang ; Chang, Chia-Lin.
    In: KIER Working Papers.
    RePEc:kyo:wpaper:839.

    Full description at Econpapers || Download paper

  95. Has the Basel Accord Improved Risk Management During the Global Financial Crisis?. (2012). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: KIER Working Papers.
    RePEc:kyo:wpaper:832.

    Full description at Econpapers || Download paper

  96. How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?. (2012). McAleer, Michael ; Chen, Chi-Chung ; Chu, Lan-Fen .
    In: KIER Working Papers.
    RePEc:kyo:wpaper:829.

    Full description at Econpapers || Download paper

  97. Modelling Long Memory Volatility in Agricultural Commodity Futures Return. (2012). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin.
    In: KIER Working Papers.
    RePEc:kyo:wpaper:817.

    Full description at Econpapers || Download paper

  98. Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility. (2012). McAleer, Michael ; Chang, Chia-Lin ; Chen, Ping-Yu .
    In: JRFM.
    RePEc:gam:jjrfmx:v:5:y:2012:i:1:p:78-114:d:28410.

    Full description at Econpapers || Download paper

  99. Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach. (2012). Nicolini, Marcella ; Manera, Matteo ; Vignati, Ilaria .
    In: Working Papers.
    RePEc:fem:femwpa:2012.23.

    Full description at Econpapers || Download paper

  100. Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism. (2012). McAleer, Michael ; Hsu, Hui-Kuang ; Chang, Chia-Lin ; Chang, C-L., ; Hsu, H-K., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:38693.

    Full description at Econpapers || Download paper

  101. Has the Basel Accord Improved Risk Management During the Global Financial Crisis?. (2012). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Jimenez-Martin, J-A., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:38690.

    Full description at Econpapers || Download paper

  102. How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?. (2012). McAleer, Michael ; Chen, C-C., ; Chu, L-F., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:38689.

    Full description at Econpapers || Download paper

  103. Has the Basel Accord Improved Risk Management During the Global Financial Crisis?. (2012). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Jimenez-Martin, J-A., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:37622.

    Full description at Econpapers || Download paper

  104. How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?. (2012). McAleer, Michael ; Chen, C-C., ; Chu, L..
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:37621.

    Full description at Econpapers || Download paper

  105. Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. (2012). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:32528.

    Full description at Econpapers || Download paper

  106. Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?. (2012). Wang, Yudong ; Wu, Chongfeng.
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:6:p:2167-2181.

    Full description at Econpapers || Download paper

  107. How Volatile is ENSO for Global Greenhouse Gas Emissions And the Global Economy?. (2012). McAleer, Michael ; Chen, Chi-Chung ; Chu, Lau-Fen .
    In: Working Papers in Economics.
    RePEc:cbt:econwp:12/15.

    Full description at Econpapers || Download paper

  108. Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. (2012). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:12/09.

    Full description at Econpapers || Download paper

  109. Volatility Spillovers from the Chinese Stock Market to Economic Neighbours. (2011). McAleer, Michael ; Allen, David ; Amram, Ron .
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1138.

    Full description at Econpapers || Download paper

  110. The Rise and Fall of S&P500 Variance Futures. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1135.

    Full description at Econpapers || Download paper

  111. Currency Hedging Strategies Using Dynamic Multivariate GARCH. (2011). Jimenez-Martin, Juan ; Chang, Chia-Lin ; Gonzalez-Serrano, Lydia .
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1133.

    Full description at Econpapers || Download paper

  112. Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Casarin, Roberto.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1132.

    Full description at Econpapers || Download paper

  113. Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan. (2011). McAleer, Michael ; Lim, Christine ; Chang, Chia-Lin.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1131.

    Full description at Econpapers || Download paper

  114. Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan. (2011). McAleer, Michael ; Lim, Christine ; Chang, Chia-Lin.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1128.

    Full description at Econpapers || Download paper

  115. GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Santos, Paulo Araujo ; AraujoSantos, Paulo .
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1127.

    Full description at Econpapers || Download paper

  116. How Volatile is ENSO?. (2011). McAleer, Michael ; Chen, Chi-Chung ; Chu, LanFen .
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1121.

    Full description at Econpapers || Download paper

  117. Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates. (2011). McAleer, Michael ; Chang, Chia-Lin.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1113.

    Full description at Econpapers || Download paper

  118. Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1102.

    Full description at Econpapers || Download paper

  119. International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1101.

    Full description at Econpapers || Download paper

  120. Alternative Asymmetric Stochastic Volatility Models. (2011). McAleer, Michael ; Asai, Manabu.
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:30:y:2011:i:5:p:548-564.

    Full description at Econpapers || Download paper

  121. The Rise and Fall of S&P500 Variance Futures. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin.
    In: KIER Working Papers.
    RePEc:kyo:wpaper:795.

    Full description at Econpapers || Download paper

  122. The Rise and Fall of S&P500 Variance Futures. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Chang, C-L., ; Jimenez-Martin, J-A., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:26880.

    Full description at Econpapers || Download paper

  123. Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Casarin, Roberto ; Chang, C-L., ; Jimenez-Martin, J-A., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:25614.

    Full description at Econpapers || Download paper

  124. Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan. (2011). McAleer, Michael ; Chang, Chia-Lin ; Lim, C. H. ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:25611.

    Full description at Econpapers || Download paper

  125. GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Jimenez-Martin, J-A., ; Santos, P. A..
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:25610.

    Full description at Econpapers || Download paper

  126. Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Chang, C-L., ; Jimenez-Martin, J-A., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:22807.

    Full description at Econpapers || Download paper

  127. International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Jimenez-Martin, J-A., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:22237.

    Full description at Econpapers || Download paper

  128. Structure and Asymptotic theory for Nonlinear Models with GARCH Errors. (2011). Medeiros, Marcelo ; McAleer, Michael ; Chan, Felix.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:22216.

    Full description at Econpapers || Download paper

  129. Modelling the asymmetric volatility in hog prices in Taiwan: The impact of joining the WTO. (2011). McAleer, Michael ; Chang, Chia-Lin ; Huang, Biing-Wen ; Chen, Meng-Gu .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:81:y:2011:i:7:p:1491-1506.

    Full description at Econpapers || Download paper

  130. GARCH dependence in extreme value models with Bayesian inference. (2011). Oxley, Les ; Scarrott, Carl John ; Zhao, Xin ; Reale, Marco .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:81:y:2011:i:7:p:1430-1440.

    Full description at Econpapers || Download paper

  131. Crude oil hedging strategies using dynamic multivariate GARCH. (2011). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin.
    In: Energy Economics.
    RePEc:eee:eneeco:v:33:y:2011:i:5:p:912-923.

    Full description at Econpapers || Download paper

  132. The Rise and Fall of S&P500 Variance Futures. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; PerezAmaral, Teodosio .
    In: Working Papers in Economics.
    RePEc:cbt:econwp:11/32.

    Full description at Econpapers || Download paper

  133. GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; PerezAmaral, Teodosio ; Santos, Paulo Araujo ; AraujoSantos, Paulo .
    In: Working Papers in Economics.
    RePEc:cbt:econwp:11/28.

    Full description at Econpapers || Download paper

  134. Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Casarin, Roberto ; PerezAmaral, Teodosio .
    In: Working Papers in Economics.
    RePEc:cbt:econwp:11/26.

    Full description at Econpapers || Download paper

  135. GFC-Robust Risk Management Strategies under the Basel Accord. (2010). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Juan Angel Jimenez Martin, ; JimenezMartin, Juanangel .
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1001.

    Full description at Econpapers || Download paper

  136. Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH. (2010). McAleer, Michael ; Caporin, Massimiliano.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2010cf740.

    Full description at Econpapers || Download paper

  137. Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets. (2010). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2010cf718.

    Full description at Econpapers || Download paper

  138. Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates. (2010). McAleer, Michael ; Chang, Chia-Lin.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2010cf716.

    Full description at Econpapers || Download paper

  139. Alternative Asymmetric Stochastic Volatility Models. (2010). McAleer, Michael ; Asai, Manabu.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:21730.

    Full description at Econpapers || Download paper

  140. GFC-Robust Risk Management Strategies under the Basel Accord. (2010). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Jimenez-Martin, J-A., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:20964.

    Full description at Econpapers || Download paper

  141. Model Selection and Testing of Conditional and Stochastic Volatility Models. (2010). McAleer, Michael ; Caporin, Massimiliano.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:20940.

    Full description at Econpapers || Download paper

  142. Modeling the Effect of Oil Price on Global Fertilizer Prices. (2010). McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., ; Chen, P-Y., ; Chen, C-C., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:20788.

    Full description at Econpapers || Download paper

  143. Modeling the Volatility in Global Fertilizer Prices. (2010). McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., ; Chen, P-Y., ; Chen, C-C., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:20377.

    Full description at Econpapers || Download paper

  144. Modelling the volatility in short and long haul Japanese tourist arrivals to New Zealand and Taiwan. (2010). McAleer, Michael ; Chang, Chia-Lin ; Lim, C. ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:20165.

    Full description at Econpapers || Download paper

  145. Modelling the Asymmetric Volatility in Hog Prices in Taiwan. (2010). Chang, Chia-Lin ; Chang, C-L., ; Huang, B-W., ; Chen, M-G., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:20160.

    Full description at Econpapers || Download paper

  146. Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH. (2010). McAleer, Michael ; Caporin, Massimiliano.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:19452.

    Full description at Econpapers || Download paper

  147. Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates. (2010). McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:18331.

    Full description at Econpapers || Download paper

  148. Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets. (2010). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chun-Ping.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:18329.

    Full description at Econpapers || Download paper

  149. Modelling and forecasting daily international mass tourism to Peru. (2010). McAleer, Michael ; Divino, Jose Angelo.
    In: Tourism Management.
    RePEc:eee:touman:v:31:y:2010:i:6:p:846-854.

    Full description at Econpapers || Download paper

  150. Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets. (2010). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin.
    In: Energy Economics.
    RePEc:eee:eneeco:v:32:y:2010:i:6:p:1445-1455.

    Full description at Econpapers || Download paper

  151. Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH. (2010). McAleer, Michael ; Caporin, Massimiliano.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf217.

    Full description at Econpapers || Download paper

  152. Asymmetry in Volatility: A Comparison of Developed and Transition Stock Markets. (2010). Wdowinski, Piotr ; Malecka, Marta .
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2974.

    Full description at Econpapers || Download paper

  153. Modeling the Effect of Oil Price on Global Fertilizer Prices. (2010). McAleer, Michael ; Chang, Chia-Lin ; Chen, Chi-Chung .
    In: Working Papers in Economics.
    RePEc:cbt:econwp:10/55.

    Full description at Econpapers || Download paper

  154. Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan. (2010). McAleer, Michael ; Lim, Christine ; Chang, Chia-Lin.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:10/40.

    Full description at Econpapers || Download paper

  155. Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations. (2010). Tansuchat, Roengchai ; McAleer, Michael ; Khamkaew, Thanchanok ; Chang, Chia-Lin.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:10/27.

    Full description at Econpapers || Download paper

  156. Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets. (2010). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:10/19.

    Full description at Econpapers || Download paper

  157. Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates. (2010). McAleer, Michael ; Chang, Chia-Lin.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:10/02.

    Full description at Econpapers || Download paper

  158. Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Juan Angel Jimenez Martin, ; JimenezMartin, Juanangel .
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:0918.

    Full description at Econpapers || Download paper

  159. Modelling the Growth and Volatility in Daily International Mass Tourism to Peru. (2009). McAleer, Michael ; Divino, Jose Angelo.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:0915.

    Full description at Econpapers || Download paper

  160. Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO. (2009). McAleer, Michael ; Chang, Chia-Lin ; Huang, Biing-Wen ; Chen, Meng-Gu .
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:0914.

    Full description at Econpapers || Download paper

  161. Modelling Sustainable International Tourism Demand to the Brazilian Amazon. (2009). McAleer, Michael ; Divino, Jose Angelo.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:0913.

    Full description at Econpapers || Download paper

  162. Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH. (2009). McAleer, Michael ; Caporin, Massimiliano.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:0911.

    Full description at Econpapers || Download paper

  163. The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges. (2009). McAleer, Michael.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:0910.

    Full description at Econpapers || Download paper

  164. A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:0907.

    Full description at Econpapers || Download paper

  165. Modelling International Tourist Arrivals and Volatility: An Application to Taiwan. (2009). Slottje, Daniel ; McAleer, Michael ; Chang, Chia-Lin.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:0906.

    Full description at Econpapers || Download paper

  166. Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan. (2009). McAleer, Michael ; Chang, Chia-Lin.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf691.

    Full description at Econpapers || Download paper

  167. Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations. (2009). Tansuchat, Roengchai ; McAleer, Michael ; Khamkaew, Thanchanok ; Chang, Chia-Ling .
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf687.

    Full description at Econpapers || Download paper

  168. Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. (2009). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf680.

    Full description at Econpapers || Download paper

  169. VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds. (2009). McAleer, Michael ; Hakim, Abdul.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf676.

    Full description at Econpapers || Download paper

  170. Risk Management for International Tourist Arrivals: An Application to the Balearic Islands, Spain. (2009). McAleer, Michael ; Bartolome, Ana ; Ramos, Vicente ; Rey-Maquieira, Javier.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf665.

    Full description at Econpapers || Download paper

  171. Cruising is Risky Business. (2009). McAleer, Michael ; Bartolome, Ana ; Ramos, Vicente ; Rey-Maquieira, Javier.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf664.

    Full description at Econpapers || Download paper

  172. Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets. (2009). McAleer, Michael ; Hakim, Abdul.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf663.

    Full description at Econpapers || Download paper

  173. Alternative Asymmetric Stochastic Volatility Models. (2009). McAleer, Michael ; Asai, Manabu.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf655.

    Full description at Econpapers || Download paper

  174. The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges. (2009). McAleer, Michael.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf652.

    Full description at Econpapers || Download paper

  175. Modelling and Forecasting Daily International Mass Tourism to Peru. (2009). McAleer, Michael ; Divino, Jose Angelo.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf651.

    Full description at Econpapers || Download paper

  176. Modelling Sustainable International Tourism Demand to the Brazilian Amazon. (2009). McAleer, Michael ; Divino, Jose Angelo.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf650.

    Full description at Econpapers || Download paper

  177. Modelling Short and Long Haul Volatility in Japanese Tourist Arrivals to New Zealand and Taiwan. (2009). McAleer, Michael ; Lim, Christine ; Chang, Chia-Lin.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf647.

    Full description at Econpapers || Download paper

  178. A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf644.

    Full description at Econpapers || Download paper

  179. Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf643.

    Full description at Econpapers || Download paper

  180. Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO. (2009). McAleer, Michael ; Chang, Chia-Lin ; Huang, Biing-Wen ; Chen, Meng-Gu .
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf642.

    Full description at Econpapers || Download paper

  181. Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets. (2009). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf641.

    Full description at Econpapers || Download paper

  182. Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets. (2009). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf640.

    Full description at Econpapers || Download paper

  183. How Volatile is ENSO?. (2009). McAleer, Michael ; Chen, Chi-Chung ; Chu, LanFen .
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf635.

    Full description at Econpapers || Download paper

  184. Has the Basel II Accord Encouraged Risk Management during the 2008-09 Financial Crisis?. (2009). McAleer, Michael ; Jimenez-Martin, Juan ; Teodosio Pérez-Amaral, .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20090039.

    Full description at Econpapers || Download paper

  185. Daily Tourist Arrivals, Exchange Rates and Voatility for Korea and Taiwan. (2009). McAleer, Michael ; Chang, Chia-Lin.
    In: Korean Economic Review.
    RePEc:kea:keappr:ker-20091231-25-2-03.

    Full description at Econpapers || Download paper

  186. Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan. (2009). McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:17313.

    Full description at Econpapers || Download paper

  187. Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan. (2009). McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:17312.

    Full description at Econpapers || Download paper

  188. Interdependence of international tourism demand and volatility in leading ASEAN destinations. (2009). Tansuchat, Roengchai ; McAleer, Michael ; Khamkaew, Thanchanok ; Chang, Chia-Lin ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:17299.

    Full description at Econpapers || Download paper

  189. Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. (2009). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:17298.

    Full description at Econpapers || Download paper

  190. VaR Forecast and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds. (2009). McAleer, Michael ; Hakim, Abdul.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:17295.

    Full description at Econpapers || Download paper

  191. How Volatile is ENSO?. (2009). McAleer, Michael ; Chen, C-C., ; Chu, L..
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:16513.

    Full description at Econpapers || Download paper

  192. Forecasting volatility and spillovers in crude oil spot, forward and future markets. (2009). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:16107.

    Full description at Econpapers || Download paper

  193. Modelling conditional correlations for risk diversification in crude oil markets. (2009). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:16105.

    Full description at Econpapers || Download paper

  194. Forecasting conditional correlations in stock, bond and foreign exchange markets. (2009). McAleer, Michael ; Hakim, Abdul.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:79:y:2009:i:9:p:2830-2846.

    Full description at Econpapers || Download paper

  195. A risk map of international tourist regions in Spain. (2009). McAleer, Michael ; Bartolome, Ana ; Ramos, Vicente ; Rey-Maquieira, Javier.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:79:y:2009:i:9:p:2741-2758.

    Full description at Econpapers || Download paper

  196. Mapping the Presidential Election Cycle in US stock markets. (2009). Wong, Wing-Keung ; McAleer, Michael.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:79:y:2009:i:11:p:3267-3277.

    Full description at Econpapers || Download paper

  197. Could the jump diffusion technique enhance the effectiveness of futures hedging models?. (2009). Li, Ming-Yuan Leon .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:79:y:2009:i:10:p:3076-3088.

    Full description at Econpapers || Download paper

  198. Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan. (2009). McAleer, Michael ; Chang, Chia-Lin.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf192.

    Full description at Econpapers || Download paper

  199. Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations. (2009). Tansuchat, Roengchai ; McAleer, Michael ; Khamkaew, Thanchanok ; Chang, Chia-Ling .
    In: CARF F-Series.
    RePEc:cfi:fseres:cf190.

    Full description at Econpapers || Download paper

  200. Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. (2009). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf183.

    Full description at Econpapers || Download paper

  201. VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds. (2009). McAleer, Michael ; Hakim, Abdul.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf178.

    Full description at Econpapers || Download paper

  202. Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets. (2009). McAleer, Michael ; Hakim, Abdul.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf170.

    Full description at Econpapers || Download paper

  203. Alternative Asymmetric Stochastic Volatility Models. (2009). McAleer, Michael ; Asai, Manabu.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf166.

    Full description at Econpapers || Download paper

  204. The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges. (2009). McAleer, Michael.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf164.

    Full description at Econpapers || Download paper

  205. Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets. (2009). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf163.

    Full description at Econpapers || Download paper

  206. Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets. (2009). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf162.

    Full description at Econpapers || Download paper

  207. A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf159.

    Full description at Econpapers || Download paper

  208. Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf158.

    Full description at Econpapers || Download paper

  209. THE TEN COMMANDMENTS FOR OPTIMIZING VALUE?AT?RISK AND DAILY CAPITAL CHARGES. (2009). McAleer, Michael.
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:23:y:2009:i:5:p:831-849.

    Full description at Econpapers || Download paper

  210. Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH. (2008). McAleer, Michael ; Caporin, Massimiliano.
    In: Marco Fanno Working Papers.
    RePEc:pad:wpaper:0064.

    Full description at Econpapers || Download paper

  211. Single-index and portfolio models for forecasting value-at-risk thresholds. (2008). McAleer, Michael ; da Veiga, Bernardo.
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:27:y:2008:i:3:p:217-235.

    Full description at Econpapers || Download paper

  212. A decision rule to minimize daily capital charges in forecasting value-at-risk. (2008). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Jimenez-Martin, J-A., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:13986.

    Full description at Econpapers || Download paper

  213. The ten commandments for optimizing value-at-risk and daily capital charges. (2008). McAleer, Michael.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:13910.

    Full description at Econpapers || Download paper

  214. Modelling sustainable international tourism demand to the Brazilian Amazon. (2008). McAleer, Michael ; Divino, Jose Angelo.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:13773.

    Full description at Econpapers || Download paper

  215. Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model. (2008). Li, Ming-Yuan Leon .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:79:y:2008:i:3:p:511-520.

    Full description at Econpapers || Download paper

  216. Testing for nonlinearity in mean and volatility for heteroskedastic models. (2008). Chen, Cathy W. S. ; Chen, Cathy W. S., ; Tai, Amanda P. J., ; Gerlach, Richard H..
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:79:y:2008:i:3:p:489-499.

    Full description at Econpapers || Download paper

  217. A double-threshold GARCH model of stock market and currency shocks on stock returns. (2008). Chang, Chia-Lin ; Yang, Yung-Lieh .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:79:y:2008:i:3:p:458-474.

    Full description at Econpapers || Download paper

  218. Patent Activity and Technical Change. (2007). Slottje, Daniel ; McAleer, Michael ; Basmann, Robert L..
    In: DEA Working Papers.
    RePEc:ubi:deawps:27.

    Full description at Econpapers || Download paper

  219. MEASURING RISK IN ENVIRONMENTAL FINANCE. (2007). McAleer, Michael ; Hoti, Suhejla.
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:21:y:2007:i:5:p:970-998.

    Full description at Econpapers || Download paper

  220. Modeling dynamic conditional correlations in WTI oil forward and futures returns. (2006). McAleer, Michael ; Manera, Matteo ; Lanza, Alessandro.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:3:y:2006:i:2:p:114-132.

    Full description at Econpapers || Download paper

  221. Dynamic modeling under linear-exponential loss. (2006). Anatolyev, Stanislav.
    In: Working Papers.
    RePEc:cfr:cefirw:w0092.

    Full description at Econpapers || Download paper

  222. Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments. (2005). Slottje, Daniel ; McAleer, Michael ; Maasoumi, Esfandiar ; Hoiti, Suhejla.
    In: DEA Working Papers.
    RePEc:ubi:deawps:14.

    Full description at Econpapers || Download paper

  223. Modelling the asymmetric volatility of anti-pollution patents in the USA. (2004). McAleer, Michael ; Chan, Felix ; Marinova, Dora.
    In: Scientometrics.
    RePEc:spr:scient:v:59:y:2004:i:2:d:10.1023_b:scie.0000018527.22276.10.

    Full description at Econpapers || Download paper

  224. Modelling Environmental Risk. (2004). Pauwels, Laurent ; McAleer, Michael ; Hoti, Suhejla.
    In: IHEID Working Papers.
    RePEc:gii:giihei:heiwp08-2004.

    Full description at Econpapers || Download paper

  225. Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns. (2004). McAleer, Michael ; Manera, Matteo ; Lanza, Alessandro.
    In: Working Papers.
    RePEc:fem:femwpa:2004.72.

    Full description at Econpapers || Download paper

  226. Modelling the Asymmetric Volatility of Electronics Patents in the USA. (2003). McAleer, Michael ; Chan, Felix ; Marinova, Dora.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2003cf208.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Archibugi, D. Patenting as an indicator of technological innovation: a review. 1992 Science and Public Policy. 19 357-368
    Paper not yet in RePEc: Add citation now
  2. Archibugi, D. ; Pianta, M. Aggregate convergence and sectoral specialisation in innovation: evidence for industrialised countries. 1998 En : Archibugi, D. ; Michie, J. Trade, Growth and Technical Change. Cambridge University Press: Cambridge
    Paper not yet in RePEc: Add citation now

  3. Arundel, A. The relative effectiveness of patents and secrecy for appropriation. 2001 Research Policy. 30 611-624

  4. Arundel, A. ; Kabla, I. What percentage of innovations are patented? Empirical estimates from European firms. 1998 Research Policy. 27 127-141

  5. Belderbos, R. Overseas innovations by Japanese firms: an analysis of patent and subsidiary data. 2001 Research Policy. 30 313-332

  6. Bollerslev, T. Generalised autoregressive conditional heteroskedasticity. 1986 Journal of Econometrics. 31 307-327

  7. Bollerslev, T. ; Chou, R.Y. ; Kroner, K.F. ARCH modelling in finance: a review of the theory and empirical evidence. 1992 Journal of Econometrics. 52 5-59

  8. Bollerslev, T. ; Engle, R.F. ; Nelson, D.B. ARCH models. 1994 En : . North-Holland: Amsterdam
    Paper not yet in RePEc: Add citation now

  9. Bougerol, P. ; Picard, N. Stationarity of GARCH processes and of some non-negative time series. 1992 Journal of Econometrics. 52 115-127

  10. Boussama, F. Asymptotic normality for the quasi-maximum likelihood estimator of a GARCH model. 2000 Comptes Rendus de l’Academie des Sciences, Série I. 331 81-84
    Paper not yet in RePEc: Add citation now

  11. Crampes, C. ; Langinier, C. Information disclosure in the renewal of patents. 2000 En : Encaoua, D. ; Hall, B. ; Laisney, F. ; Mairesse, J. The Economics and Econometrics of Innovation. Kluwer: Boston

  12. Duguet, E. ; Kabla, I. Appropriation strategy and the motivations to use the patent system: an econometric analysis at the firm level in French manufacturing. 2000 En : Encaoua, D. ; Hall, B. ; Laisney, F. ; Mairesse, J. The Economics and Econometrics of Innovation. Kluwer: Boston

  13. Efron, B. ; Tibshirani, J. An Introduction to the Bootstrap. 1993 Chapman & Hall: New York
    Paper not yet in RePEc: Add citation now
  14. Elie, L. ; Jeantheau, T. Consistency in heteroskedastic models. 1995 Comptes Rendus de l’Académie des Sciences, Série I. 320 1255-1258
    Paper not yet in RePEc: Add citation now

  15. Engle, R.F. Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. 1982 Econometrica. 50 987-1007

  16. Furman, J.L. ; Porter, M.E. ; Stern, S. The determinants of national innovative capacity. 2002 Research Policy. 31 899-933

  17. Glosten, L. ; Jagannathan, R. ; Runkle, D. On the relation between the expected value and volatility of nominal excess return on stocks. 1992 Journal of Finance. 46 1779-1801
    Paper not yet in RePEc: Add citation now
  18. Goel, R.K. Economic Models of Technological Change: Theory and Application. 1999 Quorum Books: Westport, Connecticut
    Paper not yet in RePEc: Add citation now

  19. Griliches, Z. Patent statistics as economic indicator: a survey. 1990 Journal of Economic Literature. 28 1661-1707

  20. Griliches, Z. Productivity, R&D, and the basic research at the firm level in the 1970s. 1986 American Economic Review. 76 141-154

  21. Guellec, D. ; van Pottelsberghe de la Potterie, B. The internationalisation of technology analysed with patent data. 2001 Research Policy. 30 1253-1266

  22. Hall, L. ; Bagchi-Sen, S. A study of R&D, innovation, and business performance in the Canadian biotechnology industry. 2002 Technovation. 22 231-244
    Paper not yet in RePEc: Add citation now

  23. He, C. ; Teräsvirta, T. Properties of moments of a family of GARCH processes. 1999 Journal of Econometrics. 92 173-192

  24. Jeantheau, T. Strong consistency of estimators for multivariate ARCH models. 1998 Econometric Theory. 14 70-86

  25. Kortum, S. ; Lerner, J. What is behind the recent surge in patenting?. 1999 Research Policy. 28 1-22

  26. Lee, S.W. ; Hansen, B.E. Asymptotic theory for the GARCH(1,1) quasi-maximum likelihood estimator. 1994 Econometric Theory. 10 29-52

  27. Li, W.K. ; Ling, S. ; McAleer, M. Recent theoretical results for time series models with GARCH errors. 2002 Journal of Economic Surveys. 16 245-269

  28. Ling, S. ; Li, W.K. On fractionally integrated autoregressive moving-average models with conditional heteroskedasticity. 1997 Journal of the American Statistical Association. 92 1184-1194
    Paper not yet in RePEc: Add citation now

  29. Ling, S. ; McAleer, M. Asymptotic theory for a vector ARMA-GARCH model. 2003 Econometric Theory. 19 278-308

  30. Ling, S. ; McAleer, M. Necessary and sufficient moment conditions for the GARCH(r,s) and asymmetric power GARCH(r,s) models. 2002 Econometric Theory. 18 722-729

  31. Ling, S. ; McAleer, M. On adaptive estimation in nonstationary ARMA models with GARCH errors. 2003 Annals of Statistics. 31 642-674
    Paper not yet in RePEc: Add citation now

  32. Ling, S. ; McAleer, M. Stationarity and the existence of moments of a family of GARCH processes. 2002 Journal of Econometrics. 106 109-117

  33. Ling, S. ; McAleer, M. Testing GARCH versus E-GARCH. 2000 En : Chan, W.-S. ; Li, W.K. ; Tong, H. Statistics and Finance: An Interface. Imperial College Press: London
    Paper not yet in RePEc: Add citation now
  34. Marinova, D. Eastern European patenting activities in the USA. 2001 Technovation. 21 571-584
    Paper not yet in RePEc: Add citation now
  35. Marinova, D., 1999. Patent data models: study of technological strengths of Western Australia. In: Proceedings of the IASTED International Conference on Applied Modelling and Simulation. Cairns, Australia, pp. 118–123.
    Paper not yet in RePEc: Add citation now

  36. McAleer, M. Automated inference and learning in modeling financial volatility. 2005 Econometric Theory. 21 232-261

  37. Nelson, D.B. Conditional heteroscedasticity in asset returns: a new approach. 1991 Econometrica. 59 347-370

  38. Nelson, D.B. Stationarity and persistence in the GARCH(1,1) model. 1990 Econometric Theory. 6 318-334

  39. Oi, W.Y. On the uncertain returns to inventive activity. 1995 En : Dowrick, S. Economic Approaches to Innovation. Edward Elgar: Aldershot, UK
    Paper not yet in RePEc: Add citation now
  40. Patel, P. ; Pavitt, K. Divergence in technological development among countries and firms. 1995 En : Hagedoorn, J. Technical Change and the World Economy: Convergence and Divergence in Technology Strategies. Edward Elgar: Aldershot
    Paper not yet in RePEc: Add citation now
  41. Patel, P. ; Pavitt, K. Europe's technological performance. 1991 En : Freeman, C. ; Sharp, M. ; Walker, W. Technology and the Future of Europe. Pinter: London
    Paper not yet in RePEc: Add citation now
  42. Patel, P. ; Pavitt, K. Uneven (and divergent) technological accumulation among advanced countries: evidence and a framework of explanation. 1998 En : Archibugi, D. ; Michie, J. Trade, Growth and Technical Change. Cambridge University Press: Cambridge
    Paper not yet in RePEc: Add citation now
  43. Pavitt, K. Uses and abuses of patent statistics. 1988 En : van Raan, A.F.J. Handbook of Quantitative Studies of Science and Technology. Elsevier: Amsterdam
    Paper not yet in RePEc: Add citation now
  44. Pianta, M. Technology and growth in OECD countries, 1970–1990. 1998 En : Archibugi, D. ; Michie, J. Trade, Growth and Technical Change. Cambridge University Press: Cambridge
    Paper not yet in RePEc: Add citation now

  45. Scotchmer, S. Standing on the shoulders of giants: cumulative research and the patent law. 1991 Journal of Economic Perspectives. 5 29-41

  46. Shephard, N. Statistical aspects of ARCH and stochastic volatility. 1996 En : Barndorff-Nielsen, O.E. ; Cox, D.R. ; Hinkley, D.V. Statistical Models in Econometrics, Finance and Other Fields. Chapman & Hall: London
    Paper not yet in RePEc: Add citation now
  47. Tsuji, Y.S. Organisational behaviour in the R&D process based on patent analysis: strategic R&D management in a Japanese electronics firm. 2002 Technovation. 22 417-425
    Paper not yet in RePEc: Add citation now

  48. Verhoeven, P. ; McAleer, M. Fat tails and asymmetry in financial volatility models. 2004 Mathematics and Computers in Simulation. 64 351-361

  49. Watanabe, C. ; Tsuji, Y.S. ; Griffy-Brown, C. Patent statistics: deciphering a ‘real’ versus ‘pseudo’ proxy of innovation. 2001 Technovation. 21 783-790
    Paper not yet in RePEc: Add citation now
  50. Waterson, M. ; Ireland, N. An auction model of intellectual property protection: patent versus copyright. 2000 En : Encaoua, D. ; Hall, B.H. ; Laisney, F. ; Mairesse, J. The Economics and Econometrics of Innovation. Kluwer: Boston
    Paper not yet in RePEc: Add citation now
  51. Wong, H. ; Li, W.K. On a multivariate conditional heteroscedasticity model. 1997 Biometrika. 4 111-123
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Intellectual property rights and efficient firm organization. (2014). Ponzetto, Giacomo.
    In: Economics Working Papers.
    RePEc:upf:upfgen:1254.

    Full description at Econpapers || Download paper

  2. Innovative start-up patenting: a new approach towards identification and determinants. (2013). Wolf, Tina.
    In: Jena Economic Research Papers.
    RePEc:jrp:jrpwrp:2013-023.

    Full description at Econpapers || Download paper

  3. Quantity or quality? Collaboration strategies in research and development and incentives to patent. (2012). Hottenrott, Hanna ; Lopes-Bento, Cindy .
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:12047.

    Full description at Econpapers || Download paper

  4. Compulsory licensing: the foundations of an institutional innovation. (2012). antonelli, cristiano.
    In: Department of Economics and Statistics Cognetti de Martiis LEI & BRICK - Laboratory of Economics of Innovation Franco Momigliano, Bureau of Research i.
    RePEc:uto:labeco:201207.

    Full description at Econpapers || Download paper

  5. The Economics of IP in the context of a Middle Income Country. (2012). Goya, Daniel ; Benavente, Jose Miguel.
    In: Working Papers.
    RePEc:udc:wpaper:wp350.

    Full description at Econpapers || Download paper

  6. Quantity or Quality? Collaboration Strategies in Research and Development and Incentives to Patent. (2012). Hottenrott, Hanna ; Hanna, HOTTENROTT ; Cindy, LOPES BENTO .
    In: LISER Working Paper Series.
    RePEc:irs:cepswp:2012-29.

    Full description at Econpapers || Download paper

  7. “What Drives the Choice of Partners in R&D Cooperation? Heterogeneity across Sectors”. (2012). Moreno, Rosina ; Badillo Enciso, Erika.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201213.

    Full description at Econpapers || Download paper

  8. Regional innovation policy and innovative behaviours. A propensity score matching evaluation. (2012). Marzucchi, Alberto ; Antonioli, Davide ; Montresor, Sandro.
    In: INGENIO (CSIC-UPV) Working Paper Series.
    RePEc:ing:wpaper:201205.

    Full description at Econpapers || Download paper

  9. Family Firms and Regional Innovation Activity: Evidence from the German Mittelstand. (2011). Block, Joern ; Spiegel, Frank .
    In: MPRA Paper.
    RePEc:pra:mprapa:28604.

    Full description at Econpapers || Download paper

  10. Do firms rely on sources of information for organizational innovation?. (2011). Nguyen-Thi, Thuc Uyen ; Mothe, Caroline ; Caroline, MOTHE ; NGUYEN Thi Thuc Uyen, .
    In: LISER Working Paper Series.
    RePEc:irs:cepswp:2011-39.

    Full description at Econpapers || Download paper

  11. Knowledge appropriability, firm size, and growth. (2011). Minniti, Antonio.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:33:y:2011:i:3:p:438-454.

    Full description at Econpapers || Download paper

  12. Collaboration and contracting out versus funding and support – Impact on the propensity to patent of Canadian biotechnology firms 1999-2005. (2011). Beaudry, Catherine.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2011s-62.

    Full description at Econpapers || Download paper

  13. Innovation andCooperation: Evidences from the Brazilian Innovation Survey. (2011). kupfer, david ; Avellar, Ana Paula.
    In: Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting].
    RePEc:anp:en2009:151.

    Full description at Econpapers || Download paper

  14. Are Patent Laws Harmful to Developing Countries? Evidence from China. (2010). Fleisher, Belton ; Zhou, MI.
    In: Working Papers.
    RePEc:osu:osuewp:09-07.

    Full description at Econpapers || Download paper

  15. Innovative Activity in Wind and Solar Technology: Empirical Evidence on Knowledge Spillovers Using Patent Data. (2010). Zloczysti, Petra ; Schmidt-Ehmcke, Jens ; Braun, Frauke.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7865.

    Full description at Econpapers || Download paper

  16. Intellectual property in a knowledge-based economy : Patents to include vs. patents to exclude.. (2009). Pénin, Julien ; Penin, Julien ; Cohendet, Patrick ; Farcot, Matthieu .
    In: Working Papers of BETA.
    RePEc:ulp:sbbeta:2009-15.

    Full description at Econpapers || Download paper

  17. Languages, Fees and the International Scope of Patenting. (2009). van Pottelsberghe de la Potterie, Bruno ; Harhoff, Dietmar.
    In: Discussion Papers in Business Administration.
    RePEc:lmu:msmdpa:10456.

    Full description at Econpapers || Download paper

  18. Languages, Fees and the International Scope of Patenting. (2009). van Pottelsberghe de la Potterie, Bruno ; Harhoff, Dietmar ; Bruno van Potteslberghe de la Potterie, .
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2009_016.

    Full description at Econpapers || Download paper

  19. Languages, Fees and the International Scope of Patenting. (2009). van Pottelsberghe de la Potterie, Bruno ; Harhoff, Dietmar.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7241.

    Full description at Econpapers || Download paper

  20. The interaction between patents and other appropriability mechanisms: firm-level evidence from UK manufacturing. (2008). Barros, Henrique M..
    In: Insper Working Papers.
    RePEc:ibm:ibmecp:wpe_105.

    Full description at Econpapers || Download paper

  21. A Policy Insight into the R&D-Patent Relationship. (2008). van Pottelsberghe de la Potterie, Bruno ; de Rassenfosse, Gaetan.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2008_007.

    Full description at Econpapers || Download paper

  22. Open Source Software, Closed Source Software or Both: Impacts on Industry Growth and the Role of Intellectual Property Rights. (2008). Engelhardt, Sebastian ; swaminathan, sushmita.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp799.

    Full description at Econpapers || Download paper

  23. A Policy Insight into the R&D-Patent Relationship. (2008). van Pottelsberghe de la Potterie, Bruno ; de Rassenfosse, Gaetan.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6716.

    Full description at Econpapers || Download paper

  24. Defensive Publishing An Empirical Study. (2008). Henkel, Joachim ; Pangerl, Stefanie.
    In: DRUID Working Papers.
    RePEc:aal:abbswp:08-04.

    Full description at Econpapers || Download paper

  25. The Influence of Strategic Patenting on Companies Patent Portfolios. (2007). Mueller, Elisabeth ; Cremers, Katrin ; Blind, Knut.
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:5501.

    Full description at Econpapers || Download paper

  26. Location advantages and subsidiaries’ R&D activities in emerging economies: Exploring the effect of employee mobility. (2007). .
    In: Asia Pacific Journal of Management.
    RePEc:kap:asiapa:v:24:y:2007:i:3:p:341-358.

    Full description at Econpapers || Download paper

  27. An econometric analysis of asymmetric volatility: Theory and application to patents. (2007). McAleer, Michael ; Chan, Felix ; Marinova, Dora.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:139:y:2007:i:2:p:259-284.

    Full description at Econpapers || Download paper

  28. SEARCHING FOR SECTORAL PATTERNS OF INNOVATION IN EUROPEAN MANUFACTURING INDUSTRY. (2007). Pinho, Carlos ; Varum, Celeste.
    In: Working Papers de Economia (Economics Working Papers).
    RePEc:ave:wpaper:482007.

    Full description at Econpapers || Download paper

  29. An Empirical Analysis of the Effects of Patents and Secrecy on Knowledge Spillovers. (2006). Schmidt, Tobias.
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:5441.

    Full description at Econpapers || Download paper

  30. IS SILENCE GOLDEN? PATENTS VERSUS SECRECY AT THE FIRM LEVEL. (2006). Hussinger, Katrin.
    In: Economics of Innovation and New Technology.
    RePEc:taf:ecinnt:v:15:y:2006:i:8:p:735-752.

    Full description at Econpapers || Download paper

  31. Managing Knowledge Flows through Appropriation and Learning Strategies. (2006). Webster, Elizabeth ; Jensen, Paul.
    In: Melbourne Institute Working Paper Series.
    RePEc:iae:iaewps:wp2006n06.

    Full description at Econpapers || Download paper

  32. Endogenous protection of R and D investments. (2006). Milliou, Chrysovalantou.
    In: UC3M Working papers. Economics.
    RePEc:cte:werepe:we066325.

    Full description at Econpapers || Download paper

  33. The market value of patents and R&D: Evidence from European firms. (2006). Torrisi, Salvatore ; Thoma, Grid ; Hall, Bronwyn.
    In: KITeS Working Papers.
    RePEc:cri:cespri:wp186.

    Full description at Econpapers || Download paper

  34. The Trade-Off Of Intellectual Property Rights Reconsidered: Technological Knowledge As An Essential Facility.. (2005). antonelli, cristiano ; Cristiano, Antonelli .
    In: Department of Economics and Statistics Cognetti de Martiis LEI & BRICK - Laboratory of Economics of Innovation Franco Momigliano, Bureau of Research i.
    RePEc:uto:labeco:200509.

    Full description at Econpapers || Download paper

  35. Technological Knowledge As An Essential Facility.. (2005). antonelli, cristiano ; Cristiano, Antonelli .
    In: Department of Economics and Statistics Cognetti de Martiis LEI & BRICK - Laboratory of Economics of Innovation Franco Momigliano, Bureau of Research i.
    RePEc:uto:labeco:200504.

    Full description at Econpapers || Download paper

  36. Is Silence Golden? Patents versus Secrecy at the Firm Level. (2005). Hussinger, Katrin.
    In: Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems.
    RePEc:trf:wpaper:37.

    Full description at Econpapers || Download paper

  37. Innovation, strategic renewal and its effect on small firm performance. (2005). van Stel, André ; Meijaard, Joris ; Folkeringa, Mickey .
    In: Papers on Entrepreneurship, Growth and Public Policy.
    RePEc:esi:egpdis:2005-36.

    Full description at Econpapers || Download paper

  38. Patents versus ex post rewards: A new look. (2005). Pénin, Julien ; Penin, Julien.
    In: Research Policy.
    RePEc:eee:respol:v:34:y:2005:i:5:p:641-656.

    Full description at Econpapers || Download paper

  39. Towards a dynamic (Schumpeterian) welfare economics. (2005). Dolfsma, Wilfred.
    In: Research Policy.
    RePEc:eee:respol:v:34:y:2005:i:1:p:69-82.

    Full description at Econpapers || Download paper

  40. The decision to patent, cumulative innovation, and optimal policy. (2005). Erkal, Nisvan.
    In: International Journal of Industrial Organization.
    RePEc:eee:indorg:v:23:y:2005:i:7-8:p:535-562.

    Full description at Econpapers || Download paper

  41. Why IT Matters: An Empirical Study of E-Business Usage, Innovation, and Firm Performance. (2005). Koellinger, Philipp.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp495.

    Full description at Econpapers || Download paper

  42. My Precious. The Role of Appropriability Strategies in Shaping Innovative Performance. (2005). Laursen, Keld ; Salter, Ammon.
    In: DRUID Working Papers.
    RePEc:aal:abbswp:05-02.

    Full description at Econpapers || Download paper

  43. Is Silence Golden? Patents versus Secrecy at the Firm Level. (2004). Hussinger, Katrin.
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:2883.

    Full description at Econpapers || Download paper

  44. Spatial Inventor Networks As Studied by Patent Coinventorship. (2004). Karlsson, Charlie ; Ejermo, Olof.
    In: Working Paper Series in Economics and Institutions of Innovation.
    RePEc:hhs:cesisp:0017.

    Full description at Econpapers || Download paper

  45. Biotechnology entrepreneurial scientists and their collaborations. (2004). Oliver, Amalya L..
    In: Research Policy.
    RePEc:eee:respol:v:33:y:2004:i:4:p:583-597.

    Full description at Econpapers || Download paper

  46. Interrelation between patenting and standardisation strategies: empirical evidence and policy implications. (2004). Blind, Knut ; Thumm, Nikolaus .
    In: Research Policy.
    RePEc:eee:respol:v:33:y:2004:i:10:p:1583-1598.

    Full description at Econpapers || Download paper

  47. The Protection of Innovations. (2004). Atallah, Gamal.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-02.

    Full description at Econpapers || Download paper

  48. Patents versus ex-post rewards: a new look.. (2003). Pénin, Julien ; Penin, Julien.
    In: Working Papers of BETA.
    RePEc:ulp:sbbeta:2003-09.

    Full description at Econpapers || Download paper

  49. The contract theory of patents. (2003). Franzoni, Luigi Alberto ; Denicolo', Vincenzo.
    In: International Review of Law and Economics.
    RePEc:eee:irlaec:v:23:y:2003:i:4:p:365-380.

    Full description at Econpapers || Download paper

  50. Patents versus ex-post rewards : a new look. (2003). Pénin, Julien ; Penin, Julien.
    In: Cahiers de recherche du Département des sciences économiques, UQAM.
    RePEc:cre:uqamwp:20-19.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-15 10:31:20 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.