Browsing by Author McAleer, Michael

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Showing results 1 to 18 of 18
Issue DateTitleAuthor(s)Citation
2014Asymmetric Realized Volatility RiskAllen, David; McAleer, Michael; Scharth, Marcel; Mathematics & StatisticsAsymmetric Realized Volatility Risk, Journal of Risk and Financial Management, vol.7, 2, 2014,pp 80-109
2017A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crisesMcAleer, Michael; Guo, Xu; Wong, Wing-Keung; Zhu, Lixing; Business AnalyticsA Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises, North American Journal of Economics and Finance, vol.42, N/A, 2017,pp 346-358
2009Comparison of Alternative ACD Models via density and interval forecasts: Evidence from the Australian Stock MarketPeiris, Mahatelge (Shelton); Allen, David E.; Lazarov, Zdravetz; McAleer, Michael; Mathematics & StatisticsComparison of Alternative ACD Models via density and interval forecasts: Evidence from the Australian Stock Market, Mathematics and Computers in Simulation, vol.79,(8),2009,pp 2535-2555
2017The correct regularity condition and interpretation of asymmetry in EGARCHMcAleer, Michael; Chang, Chia-Lin; Business AnalyticsThe correct regularity condition and interpretation of asymmetry in EGARCH, Economics Letters, vol.161, N/A, 2017,pp 52-55
2017Estimating and Forecasting with Generalized Fractional Long Memory Stochastic Volatility ModelsMcAleer, Michael; Peiris, Mahatelge Shelton; Asai, Manabu; Business Analytics; Mathematics & StatisticsEstimating and Forecasting with Generalized Fractional Long Memory Stochastic Volatility Models, Journal of Risk and Financial Management, vol.10, 4, 2017,pp 1-16
2012Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day rangeGerlach, Richard; Chen, Cathy W S; Hwang, Bruce; McAleer, Michael; Business AnalyticsForecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range, International Journal of Forecasting, vol.28, 3, 2012,pp 557-574
2017A generalized email classification system for workflow analysisMcAleer, Michael; Chaipornkaew, Piyanuch; Chang, Chia-Lin; Prexawanprasut, Takorn; Business AnalyticsA generalized email classification system for workflow analysis, Journal of Management Information and Decision Sciences, vol.20, N/A, 2017,pp 1-12
2015Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Real-Time High-Frequency Sentiment SeriesAllen, David; McAleer, Michael; Singh, Abhay; Mathematics & StatisticsMachine News and Volatility: The Dow Jones Industrial Average and the TRNA Real-Time High-Frequency Sentiment Series in Handbook of High Frequency Trading, Academic Press, 2015, pp. 327-344
2017Management information, decision sciences and financial economics: A connectionMcAleer, Michael; Chang, Chia-Lin; Wong, Wing-Keung; Business AnalyticsManagement information, decision sciences and financial economics: A connection, Journal of Management Information and Decision Sciences, vol.20, Specialissue1, 2017,pp N/A-N/A
2016Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major CurrenciesAllen, David; Peiris, Mahatelge Shelton; McAleer, Michael; Singh, Abhay; Mathematics & Statistics; Mathematics & StatisticsNonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies, Risks, vol.4, 7, 2016,pp 1-14
2014Nonparametric Multiple Change-Point Analysis of the Responses of Asian Markets to the Global Financial CrisisAllen, David; Kalev, Petko; McAleer, Michael; Singh, Abhay; Mathematics & Statistics; Business School AdminNonparametric Multiple Change-Point Analysis of the Responses of Asian Markets to the Global Financial Crisis in Handbook of Asian Finance: REITs, Trading, and Fund Performance, Academic Press, 2014, pp. 267-284
2017Prediction of gas concentration based on the opposite degree algorithmMcAleer, Michael; Yue, Xiao-Guang; Business AnalyticsPrediction of gas concentration based on the opposite degree algorithm, Journal of Reviews on Global Economics, vol.6, N/A, 2017,pp 154-162
2017Re-opening the silk road to transform Chinese tradeMcAleer, Michael; Mao, Ning; Business AnalyticsRe-opening the silk road to transform Chinese trade, Journal of Reviews on Global Economics, vol.6, N/A, 2017,pp 225-232
2017Realized stochastic volatility with general asymmetry and long memoryMcAleer, Michael; Asai, M; Chang, C; Business AnalyticsRealized stochastic volatility with general asymmetry and long memory, Journal of Econometrics, vol.199, 2, 2017,pp 202-212
2017Recent topical research on global, energy, health & medical, and tourism economics, and global software: An overviewMcAleer, Michael; Chang, Chialin; Business AnalyticsRecent topical research on global, energy, health & medical, and tourism economics, and global software: An overview, Journal of Reviews on Global Economics, vol.6, N/A, 2017,pp 218-224
2017Risk Measurement and Risk Modelling Using Applications of Vine CopulasAllen, David; McAleer, Michael; Singh, A K; Mathematics & Statistics; Business AnalyticsRisk Measurement and Risk Modelling Using Applications of Vine Copulas, Sustainability, vol.9, 1762, 2017,pp 1-34
2017Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USAMcAleer, Michael; Chang, C; Zuo, Guangdong; Business AnalyticsVolatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA, Sustainability, vol.9, 10, 2017,pp 1-22
2017You've got email: A workflow management extraction systemMcAleer, Michael; Chaipornkaew, Piyanuch; Prexawanprasut, Takorn; Business AnalyticsYou've got email: A workflow management extraction system, Journal of Reviews on Global Economics, vol.6, N/A, 2017,pp 342-349