Abdul, Hakim, McAleer, Michael
The paper investigates the interdependence and conditional correlations between futures contracts and their underlying assets, both for stock and bond markets, and the impact of the interdependence...
Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns (2009)
Tanchanok, Khamkaew, McAleer, Michael, Tansucha, Roengchai
Asia is presently the most important market for the production and consumption of natural rubber. World prices of rubber are not only subject to changes in demand, but also to speculation regarding...
Abdul, Hakim, McAleer, Michael
The paper models the dynamic conditional correlations in emerging stock, bond and foreign exchange markets using the DCC model of Engle (2002) and the GARCC model of McAleer et al. (2008). The highly...
Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies (2009)
Hammoudeh, Shawkat M., Yuan, Yuan, McAleer, Michael
This paper examines the inclusion of the dollar/euro exchange rate together with important commodities in two different BEKK, or multivariate conditional covariance, models. Such inclusion increases...
Optimal Risk Management Before, During and After the 2008-09 Financial Crisis (2009)
McAleer, Michael, Jimenez-Martin, Juan-Angel, Teodosio P?rez-Amaral
In this paper we advance the idea that optimal risk management under the Basel II Accord will typically require the use of a combination of different models of risk. This idea is illustrated by...
Bartolomé, Ana, McAleer, Michael, Ramos, Vicente, Rey-Maquieira, Javier
Spain is a leader in terms of total international tourist arrivals and receipts. The Balearic Islands are one of the most popular destinations in Spain. For tourism management and marketing, it is...
Cruising is Risky Business (2009)
Bartolomé, Ana, McAleer, Michael, Ramos, Vicente, Rey-Maquieira, Javier
As the fastest growing sector within the international tourism industry, having grown at roughly double the rate of international tourism as a whole, the cruise liner business has shown impressive...
Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets (2009)
Abdul, Hakim, McAleer, Michael
The benefits of investing internationally depend on three conditions, namely cross-country correlations, market volatilities, and future changes in currency risks (see Odier and Solnik (1993)). This...
A Trinomial Test for Paired Data When There are Many Ties (2009)
Guorui, Bian, McAleer, Michael, Wong, Wing-Keung
This paper develops a new test, the trinomial test, for pairwise ordinal data samples to improve the power of the sign test by modifying its treatment of zero diferences between observations, thereby...
Testing the Box-Cox Parameter in an Integrated Process (2009)
Huang, Jian, Kobayashi, Masahito, McAleer, Michael
This paper analyses the constant elasticity of volatility (CEV) model suggested by [6]. The CEV model without mean reversion is shown to be the inverse Box-Cox transformation of integrated processes...
Joseph, Macri, McAleer, Michael, Sinha, Dipendra
Just as friendly arguments based on an ignorance of facts eventually led to the creation of the definitive Guinness Book of World Records, any argument about university rankings has seemingly been a...
Value-at-Risk for Country Risk Ratings (2009)
McAleer, Michael, Bernardo Da Veiga, Hoti, Suhejla
The country risk literature argues that country risk ratings have a direct impact on the cost of borrowings as they reflect the probability of debt default by a country. An improvement in country...
Optimal Risk Management Before, During and After the 2008-09 Financial Crisis (2009)
McAleer, Michael, Jimenez-Martin, Juan-Angel, Pérez-Amaral, Teodosio
In this paper we advance the idea that optimal risk management under the Basel II Accord will typically require the use of a combination of different models of risk. This idea is illustrated by...
Simple Expected Volatility (SEV) Index : Application to SET50 Index Options (2009)
Chatayan, Wiphatthanananthakul, McAleer, Michael
In 2003, the Chicago Board Options Exchange (CBOE) made two key enhancements to the volatility index (VIX) methodology based on S&P options. The new VIX methodology seems to be based on a complicated...
Moment-Based Estimation of Smooth Transition Regression Models with Endogenous Variables (2009)
Areosa, Waldyr Dutra, McAleer, Michael, Medeiros, Marcelo C.
Nonlinear regression models have been widely used in practice for a variety of time series and cross-section datasets. For purposes of analyzing univariate and multivariate time series data, in...
A General Asymptotic Theory for Time Series Models (2009)
Shiqing, Ling, McAleer, Michael
This paper develops a general asymptotic theory for the estimation of strictly stationary and ergodic time series models. Under simple conditions that are straightforward to check, we establish the...
Modelling and Forecasting Noisy Realized Volatility (2009)
Asai, Manabu, McAleer, Michael, Medeiros, Marcelo C.
Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obtain consistent estimates of the integrated...
Dynamic Conditional Correlations for Asymmetric Processes (2009)
Asai, Manabu, McAleer, Michael
The paper develops two Dynamic Conditional Correlation (DCC) models, namely the Wishart DCC (WDCC) model and the Matrix-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC...
Asymmetry and Leverage in Realized Volatility (2009)
Asai, Manabu, McAleer, Michael, Medeiros, Marcelo C.
A wide variety of conditional and stochastic variance models has been used to estimate latent volatility (or risk). In both the conditional and stochastic volatility literature, there has been some...
Alternative Asymmetric Stochastic Volatility Models (2009)
Asai, Manabu, McAleer, Michael
The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between the innovations in returns and volatility. In this paper, we propose a new...
The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges (2009)
Credit risk is the most important type of risk in terms of monetary value. Another key risk measure is market risk, which is concerned with stocks and bonds, and related financial derivatives, as...
An Econometric Analysis of SARS and Avian Flu on International Tourist Arrivals to Asia (2009)
McAleer, Michael, Huang, Bing-Wen, Kuo, Hsiao-I, Chen, Chi-Chung, Chang, Chia-Lin
This paper compares the impacts of SARS and human deaths arising from Avian Flu on international tourist arrivals to Asia. The effects of SARS and human deaths from Avian Flu will be compared...
Does the FOMC Have Expertise, and Can It Forecast? (2009)
Franses, Philip Hans, McAleer, Michael, Legerstee, Rianne
The primary purpose of the paper is to answer the following two questions regarding the performance of the influential Federal Open Market Committee (FOMC) of the Federal Reserve System, in...
Chang, Chia-Lin, McAleer, Michael, Lim, Christine
This paper estimates the effects of short and long haul volatility (or risk) in monthly Japanese tourist arrivals to Taiwan and New Zealand , respectively. In order to model appropriately the...
A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk (2009)
McAleer, Michael, Jimenez-Martin, Juan-Angel, Teodosio Pérez-Amaral
Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading...
Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis? (2009)
McAleer, Michael, Jimenez-Martin, Juan-Angel, Teodosio Pérez-Amaral
The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each...
Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO (2009)
Chang, Chia-Lin, Huang, Biing-Wen, Chen, Meng-Gu, McAleer, Michael
The hog industry, where prices are determined according to an auction system, is of vital importance to the agricultural industry in Taiwan by providing significant production and employment. In...
Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets (2009)
Chang, Chia-Lin, McAleer, Michael, Roengchai, Tansuchat
Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over a decade, and is crucial for forecasting volatility and Value-at- Risk (VaR)....
Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets (2009)
Chang, Chia-Lin, McAleer, Michael, Roengchai, Tansuchat
This paper estimates univariate and multivariate conditional volatility and conditional correlation models of spot, forward and futures returns from three major benchmarks of international crude oil...
Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return (2009)
Chang, Chia-Lin, McAleer, Michael, Roengchai, Tansuchat
The purpose of this paper is to investigate the volatility spillovers between the returns on crude oil futures and oil company stocks using alternative multivariate GARCH models, namely the CCC model...
Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models (2009)
Caporin, Massimiliano, McAleer, Michael
Large and very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations are BEKK and DCC....
How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan (2009)
Chang, Chia-Lin, Franses, Philip Hans, McAleer, Michael
A government’s ability to forecast key economic fundamentals accurately can affect business confidence, consumer sentiment, and foreign direct investment, among others. A government forecast based...
What Happened to Risk Management During the 2008-09 Financial Crisis? (2009)
When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital requirements and higher profits. Typically, GARCH type models are chosen to forecast Value-at-Risk...
Chu, LanFen, McAleer, Michael, Chen, Chi-Chung
The El Ninos Southern Oscillations (ENSO) is a periodical phenomenon of climatic interannual variability which could be measured through either the Southern Oscillation Index (SOI) or the Sea Surface...
Estimating the Impact of Whaling on Global Whale Watching (2009)
Kuo, Hsiao-I, Chen, Chi-Chung, McAleer, Michael
After the commercial whaling moratorium was enacted in 1986, whale watching became one of the fastest growing tourism industries worldwide. As whaling was regarded as an activity incompatible with...
What Happened to Risk Management During the 2008-09 Financial Crisis? (2009)
Jimenez-Martin, Juan-Angel, McAleer, Michael, Pérez-Amaral, Teodosio
When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital requirements and higher profits. Typically, GARCH type models are chosen to forecast Value-at-Risk...
Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis? (2009)
McAleer, Michael, Jimenez-Martin, Juan-Angel, Pérez-Amaral, Teodosio
The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each...
Modelling Sustainable International Tourism Demand to the Brazilian Amazon (2009)
Divino, Jose Angelo, McAleer, Michael
The Amazon rainforest is one of the world’s greatest natural wonders and holds great importance and significance for the world’s environmental balance. Around 60% of the Amazon rainforest is...
Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO (2009)
Chang, Chia-Lin, Huang, Biing-Wen, Chen, Meng-Gu, McAleer, Michael
The hog industry, where prices are determined according to an auction system, is of vital importance to the agricultural industry in Taiwan by providing significant production and employment. In...
Modelling the Growth and Volatility in Daily International Mass Tourism to Peru (2009)
Divino, Jose Angelo, McAleer, Michael
Peru is a South American country that is divided into two parts by the Andes Mountains. The rich historical, cultural and geographic diversity has led to the inclusion of ten Peruvian sites on...
A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options (2009)
Wiphatthanananthakul, Chatayan, McAleer, Michael
In 2003, the Chicago Board Options Exchange (CBOE) made two key enhancements to the volatility index (VIX) methodology based on S&P options. The new VIX methodology seems to be based on a complicated...
A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk (2009)
McAleer, Michael, Jimenez-Martin, Juan-Angel, Peréz, Teodosio
Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading...
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH (2009)
Caporin, Massimiliano, McAleer, Michael
DAMGARCH is a new model that extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances....
The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord (2009)
Jiménez-Martín, Juan-Ángel, McAleer, Michael, Pérez-Amaral, Teodosio
Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) are required to communicate their daily market risk estimates to the relevant national monetary authority at...
Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models (2009)
Caporin, Massimiliano, McAleer, Michael
Large and very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations are BEKK and DCC....
A Scientific Classification of Volatility Models (2009)
Caporin, Massimiliano, McAleer, Michael
Modeling volatility, or “predictable changes” over time and space in a variable, is crucial in the natural and social sciences. Life can be volatile, and anything that matters, and which changes...
Modelling International Tourist Arrivals and Volatility: An Application to Taiwan (2009)
Chang, Chia-Lin, McAleer, Michael, Slottje, Dan
International tourism is a major source of export receipts for many countries worldwide. Although it is not yet one of the most important industries in Taiwan (or the Republic of China), an island in...
The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges (2009)
Credit risk is the most important type of risk in terms of monetary value. Another key risk measure is market risk, which is concerned with stocks and bonds, and related financial derivatives, as...
Forecasting h(m)otel guest nights in New Zealand (2009)
Lim, Christine, Chang, Chialin, McAleer, Michael
The purpose of this paper is to highlight some time series models which hotel and motel industry practitioners could use to forecast guest nights. Given their considerable practicality, the lodging...
What Happened to Risk Management During the 2008-09 Financial Crisis? (2009)
McAleer, Michael, Jimenez-Martin, Juan-Angel, Pérez-Amaral, Teodosio
When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital requirements and higher profits. Typically, GARCH type models are chosen to forecast Value-at-Risk...
Modelling and managing financial risk: An overview (2009)
Allen, David E., Gao, Jiti, McAleer, Michael
David E. Allen, Jiti Gao, Michael McAleer
Modelling and managing financial risk: An overview (2009)
Allen, David E., Gao, Jiti, McAleer, Michael
David E. Allen, Jiti Gao, Michael McAleer
Edited Arnold Zellner, Hugo A. Keuzenkamp, Michael Mcaleer, More Information, Hugo A. Keuzenkamp, Michael Mcaleer, ...
Many scientists believe that simplicity is a crucial element in their quest for knowledge. The order, which is found in chaos, it is thought, facilitates understanding, prediction and intervention....
Volatility in International Tourism Demand for Small Island Tourism Economies (2008)
Abstract: Volatility in monthly international tourist arrivals is defined as the squared deviation from mean monthly international tourist arrivals. Consequently, volatility is directly related to...
MONETARY AND ECONOMIC STUDIES/MAY 2001 The Phillips Curve and Underlying Inflation (2008)
Hitoshi Mio, Fumio Hayashi, Michael Mcaleer
This paper examines methods of controlling the supply shock in the estimation of the Phillips curve and discusses the relationship between the supply shock and inflation inertia. The empirical...
Analysing seasonal changes in New Zealand's largest inbound market (2008)
Lim, Christine, McAleer, Michael
The purpose of the paper is to analyse seasonal changes in tourism demand by New Zealand's major tourist source market, Australia, for the period 1979-2005. A time series regression model is used to...
Econometric modelling in finance and risk management: An overview (2008)
Gao, Jiti, McAleer, Michael, Allen, David E.
Jiti Gao, Michael McAleer and David E. Allen
Econometric modelling in finance and risk management: An overview (2008)
Gao, Jiti, McAleer, Michael, Allen, David E.
Jiti Gao, Michael McAleer and David E. Allen
Testing the Sensitivity of Spillover Effects Across Financial Markets (2007)
Bernardo Veiga, Michael Mcaleer
Abstract: Although market interdependence would seem to be conceptually straightforward, being based on international fundamentals, there are no generally accepted testing strategies. This paper...
Multivariate Volatility and Spillover Effects in Financial Markets (2007)
Bernardo Veiga, Michael Mcaleer
Abstract: The relationship between volatility and risk has been one of the main factors underlying the interest in volatility modelling. An important question for international diversification is...
Modelling the Volatility in Country Risk for Small Island Tourism Economies (2007)
Suhejla Hoti, Michael Mcaleer, Riaz Shareef
Abstract: Small Island Tourism Economies (SITEs) differ significantly in their size, location, political systems, historical experience, economic prospects, ecological fragility, and vulnerability to...
Modelling Ratings Effects in Country Risk (2007)
Suhejla Hoti, Felix Chan, Michael Mcaleer
Abstract: Country risk has recently become a topic of major concern for the international financial community. A critical assessment of country risk is essential because it reflects the ability and...
Sinha, Dipendra, Macri, Joseph, McAleer, Michael
Just as friendly arguments based on an ignorance of facts eventually led to the creation of the definitive Guinness Book of World Records, any argument about university rankings has seemingly been a...
Econometric modelling in finance and risk management: An overview (2006)
Gao, Jiti, McAleer, Michael, Allen, Dave
This paper gives an overview about the sixteen papers included in this special issue. The papers in this special issue cover a wide range of topics. Such topics include discussing a class of tests...
Michael Mcaleer, Marcelo C. Medeiros, Departamento De Economia, Michael Mcaleer, Marcelo C. Medeiros
A multiple regime smooth transition
Dynamic Asymmetric GARCH (2006)
Caporin, Massimiliano, McAleer, Michael
This article develops the dynamic asymmetric GARCH (or DAGARCH) model that generalizes asymmetric GARCH models such as that of Glosten, Jagannathan, and Runkle (GJR), introduces multiple thresholds,...
Dynamic Asymmetric GARCH (2006)
Caporin, Massimiliano, McAleer, Michael
This article develops the dynamic asymmetric GARCH (or DAGARCH) model that generalizes asymmetric GARCH models such as that of Glosten, Jagannathan, and Runkle (GJR), introduces multiple thresholds,...
Dynamic Asymmetric GARCH (2006)
Caporin, Massimiliano, McAleer, Michael
This article develops the dynamic asymmetric GARCH (or DAGARCH) model that generalizes asymmetric GARCH models such as that of Glosten, Jagannathan, and Runkle (GJR), introduces multiple thresholds,...
Modelling Conditional Correlations in International Tourism Demand (2004)
Chan, Felix, Lim, Christine, McAleer, Michael, C. Pahl-Wostl
Yes
Modelling Conditional Correlations in International Tourism Demand (2004)
Chan, Felix, Lim, Christine, McAleer, Michael
Yes
International Tourism Demand and Volatility Models for the Canary Islands (2004)
Suhejla Hoti, Carmelo Leon, Michael McAleer
International tourism is an important source of service exports to Spain and its regions, particularly the Canary Islands. Tourism is the major industry in the Canary Islands, accounting for about...
1 Modelling Environmental Risk (2004)
Suhejla Hoti, Michael Mcaleer, Laurent L. Pauwels, Suhejla Hoti, Michael Mcaleer, Laurent L. Pauwels
As environmental issues have become increasingly important in economic research and policy for sustainable development, firms in the private sector have introduced environmental and social issues in...
On adaptive estimation in nonstationary ARMA Models with GARCH errors (2003)
Ling, Shiqing, McAleer, Michael
This paper considers adaptive estimation in nonstationary autoregressive moving average models with the noise sequence satisfyinga generalized autoregressive conditional heteroscedastic process. The...
Asymptotic theory for a new vector ARMA-GARCH model (2003)
Ling, Shi-Qing, McAleer, Michael
This paper investigates the asymptotic theory for a vector autoregressive moving average–generalized autoregressive conditional heteroskedasticity (ARMA-GARCH) model. The conditions for the strict...
On adaptive estimation in nonstationary ARMA models with GARCH errors (2003)
Ling, Shi-Qing, McAleer, Michael
This paper considers adaptive estimation in nonstationary autoregressive moving average models with the noise sequence satisfying a generalized autoregressive conditional heteroscedastic process. The...
Pricing of Non-ferrous Metals Futures on the London Metal Exchange (2003)
Watkins, Clinton, Michael McAleer
The London Metal Exchange (LME) is the most important centre for spot and futures trading in the main industrially-used non-ferrous metals. In this paper, data on 3-month futures contracts for...
Modelling International Travel Demand from Singapore to Australia (2003)
Lim, Christine, McAleer, Michael, Nazmi Kozak
Yes
Modelling International Travel Demand from Singapore to Australia (2003)
Lim, Christine, McAleer, Michael
Yes
Ling, Shi-Qing, McAleer, Michael
Although econometricians have been using Bollerslev's (1986, Journal of Econometrics 31, 307-327) GARCH(r, s) model for over a decade, the higher order moment structure of the model remains...
Use of Wetlands for Sustainable Tourism Management (2002)
Lim, Christine, McAleer, Michael, A. Rizzoli
Yes
A Cointegration Analysis of Annual Tourism Demand by Malaysia for Australia (2002)
Lim, Christine, McAleer, Michael
Yes
Time Series Forecasts of International Travel Demand for Australia (2002)
Lim, Christine, McAleer, Michael
This paper analyses stationary and non-stationary international tourism time series data by formally testing for the presence of unit roots and seasonal unit roots prior to estimation, model...
A Cointegration Analysis of Annual Tourism Demand by Malaysia for Australia (2002)
Lim, Christine, McAleer, Michael
Yes
Time Series Forecasts of International Travel Demand for Australia (2002)
Lim, Christine, McAleer, Michael
This paper analyses stationary and non-stationary international tourism time series data by formally testing for the presence of unit roots and seasonal unit roots prior to estimation, model...
Time Series Forecasts of International Travel Demand for Australia (2002)
Lim, Christine, McAleer, Michael
This paper analyses stationary and non-stationary international tourism time series data by formally testing for the presence of unit roots and seasonal unit roots prior to estimation, model...
Jun Yu, Jun Yu, Zhenlin Yang, Zhenlin Yang, Xibin Zhang, Xibin Zhang, ...
estimation techniques and did not have the section on option pricing. Jun Yu has benefited greatly from conversations with Ronald Gallant and Genshiro Kitagawa, from comments and suggestions from
Time Series Forecasts of International Travel Demand for Australia (2002)
Lim, Christine, McAleer, Michael
This paper analyses stationary and non-stationary international tourism time series data by formally testing for the presence of unit roots and seasonal unit roots prior to estimation, model...
Forecasting Tourist Arrivals (2001)
Lim, Christine, McAleer, Michael
Various exponential smoothing models are estimated over the period 1975 1999 to forecast quarterly tourist arrivals to Australia from Hong Kong, Malaysia, and Singapore. The root mean squared error...
Monthly Seasonal Variations: Asian Tourism to Australia (2001)
Lim, Christine, McAleer, Michael
Tourist arrivals series from Hong Kong, Malaysia, and Singapore to Australia exhibit strong seasonality. For data and policy analysis, it is useful to obtain seasonally adjusted data for...
Cointegration analysis of quarterly tourism demand by Hong Kong and Singapore for Australia (2001)
Lim, Christine, McAleer, Michael
Yes
Forecasting Tourist Arrivals (2001)
Lim, Christine, McAleer, Michael
Various exponential smoothing models are estimated over the period 1975 1999 to forecast quarterly tourist arrivals to Australia from Hong Kong, Malaysia, and Singapore. The root mean squared error...
Monthly Seasonal Variations: Asian Tourism to Australia (2001)
Lim, Christine, McAleer, Michael
Tourist arrivals series from Hong Kong, Malaysia, and Singapore to Australia exhibit strong seasonality. For data and policy analysis, it is useful to obtain seasonally adjusted data for...
Cointegration analysis of quarterly tourism demand by Hong Kong and Singapore for Australia (2001)
Lim, Christine, McAleer, Michael
Yes
Forecasting Tourist Arrivals (2001)
Lim, Christine, McAleer, Michael
Various exponential smoothing models are estimated over the period 1975 1999 to forecast quarterly tourist arrivals to Australia from Hong Kong, Malaysia, and Singapore. The root mean squared error...
Monthly Seasonal Variations: Asian Tourism to Australia (2001)
Lim, Christine, McAleer, Michael
Tourist arrivals series from Hong Kong, Malaysia, and Singapore to Australia exhibit strong seasonality. For data and policy analysis, it is useful to obtain seasonally adjusted data for...
Forecasting Tourist Arrivals (2001)
Lim, Christine, McAleer, Michael
Various exponential smoothing models are estimated over the period 1975 1999 to forecast quarterly tourist arrivals to Australia from Hong Kong, Malaysia, and Singapore. The root mean squared error...
Monthly Seasonal Variations: Asian Tourism to Australia (2001)
Lim, Christine, McAleer, Michael
Tourist arrivals series from Hong Kong, Malaysia, and Singapore to Australia exhibit strong seasonality. For data and policy analysis, it is useful to obtain seasonally adjusted data for...
Testing economic hypotheses--[microform] /--by Michael John McAleer. (1983)
Thesis (Ph. D.)--Queen's University, 1981.
Exact tests of a model against nonnested alternatives (1983)
The results of Milliken & Graybill (1970) are used to develop a general procedure for obtaining exact tests of a linear model against several nonnested and nonlinear alternatives simultaneously. The...
Dynamic demand and stock adjustment models for consumer durable goods (1976)
A minor thesis presented to the Faculty of Economics and Politics of Monash University in partial fulfilment of the requirements for the degree of Master of Economics. Summary: leaves 101-104....
Kazumitsu Nawata, Michael McAleer
The t-test of an individual coefficient is used widely in models of qualitative choice. However, it is well known that the t-test can yield misleading results when the sample size is small. This...
What Will Take the Con Out of Econometrics?
Michael McAleer, Adrian R Pagan, Paul A Volker
The paper begins with the question of whether Leamer's Extreme Bounds Analysis (EBA) really does `Take the Con Out of Econometrics' By analytically demonstrating that the extreme bounds are simply...
Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments
Suhejla Hoiti, Esfandiar Maasoumi, Michael McAleer, Daniel Slottje
As U.S. Treasury securities carry the full faith and credit of the U.S. government, they are free of default risk. Thus, their yields are risk-free rates of return, which allows the most recently...
Asymmetric Multivariate Stochastic Volatility
This paper proposes and analyses two types of asymmetric multivariate stochastic volatility (SV) models, namely: (i) SV with leverage (SV-L) model, which is based on the negative correlation between...
Managing Value-at-Risk in Daily Tourist Tax Revenues for the Maldives
Michael McAleer, Riaz Shareef, Bernardo Da Veiga
International tourism is the principal economic activity for Small Island Tourism Economies (SITEs). There is a strongly predictable component of international tourism, specifically the government...
Problems of Estimating the Linear Expenditure System and its Related Forms
Michael McAleer, Gordon Fisher, Diana Whistler
This note estimates the Linear Expenditure System (LES), the Extended Linear Expenditure System (ELES), and the Extended Linear Expenditure System with Durables (DELES), under two alternative error...
On the Consistency of Joint and Paired Tests for Non-Nested Regression Models
Naorayex K. Dastoor, Michael McAleer
This paper examines the consistency properties of some tests of a null model against a single non-nested alternative and against multiple non-nested alternatives (paired and joint tests,...
Testing Separate Regression Models Subject to Specification Error
Michael McAleer, Gordon Fisher
Within the framework of linear regression, errors arising from artificial inclusion or exclusion of variables are considered with augmentations or restrictions on a given maintained hypothesis. This...
Exact Tests of a Model Against Non-Nested Alternatives
This note applies the results of Milliken and Graybill (1970) to non-nested regression models. A test proposed by Fisher and McAleer (1981) is shown to have the t-distribution in small samples. An...
Separate Misspecified Regressions
Michael McAleer, Gordon Fisher
This note applies the traditional analysis of specification error to the Cox-tests for separate regression models. Incorrect inclusion of variables in the alternative model leads to consistent tests...
Alternative Procedures and Associated Tests of Significance for Non-Nested Hypotheses
Gordon Fisher, Michael McAleer
This paper attempts to synthesize various procedures for testing non-nested hypotheses within the framework of artificial nesting, and establishes the result that different tests correspond to...
Two Papers on Model Testing and Discrimination
Gordon Fisher, Michael McAleer
The first paper demonstrates that Theil's (1961) minimum error variance criterion is asymptotically valid for choosing between non-nested non-linear regression models, as long as one of the models is...
Gordon Fisher, Allan W. Gregory, Michael McAleer
When coefficients of endogenous variables are known, two-stage least squares and instrumental variables estimators are invariant to the form in which these variables enter computations, as raw data...
Exogeneity and Money Demand in a Small Open Economy: The Canadian Case
Allan W. Gregory, Michael McAleer
This paper examines the issue of simultaneity in the money demand equation of a small open economy by analyzing the implications of alternative exchange rate regimes. When simultaneous-bias arises,...
Principles and Methods in the Testing of Alternative Models
Gordon Fisher, Michael McAleer
This paper seeks to distinguish the principles upon which testing of statistical hypotheses may be based and the practical method which these principles generate. Six examples are given for the case...
Interest Rates and Durability in the Linear Expenditure Family
Gordon Fisher, Michael McAleer, Diana Whistler
This paper demonstrates that the extended linear expenditure system with durables (DELES) satisfies first-order conditions for local unidentifiability, and discuss alternative methods that might be...
The Interpretation of the Cox Test in Econometrics
Gordon Fisher, Michael McAleer
This note seeks to clarify whether applications of Cox's (1961) modified likelihood ratio principle logically require a two- or one-tailed test. Logic requires the test of discrimination be...
Theory and Econometric Evaluation of a Systems Approach to Money Demand, The Canadian Case
Gordon Fisher, Michael McAleer
This paper derives a complete system of commodity-expenditure and money demand equations. This approach seeks to: 1) unify the treatment of joint intertemporal decisions regarding the allocation of...
Michael McAleer, Alan A. Powell, Peter Dixon, Tony Lawson
This paper analyzes a systems approach to employment effects by formulating CONDELES, the aggregate consumption function associated with Durables in the Extended Linear Expenditure System. The...
Durable Goods in the Extended Linear Expenditure System: An Empirical Appraisal
Michael McAleer, Ian E. Gorman
This paper analyzes a systems approach to expenditure on different commodities by formulating DELES, the extended linear expenditure system with durable goods. The complete system is fitted to...
Application of Transitional Phase Polynomials to a Model of Trade Union Growth in Canada
The focus of this paper is to motivate the application of transitional phase polynomials to a model of trade union growth in Canada. The advantage and limitations of this approach to capture the...
HOW DOES COUNTRY RISK AFFECT INNOVATION? AN APPLICATION TO FOREIGN PATENTS REGISTERED IN THE USA
Innovation can occur at the national level under a wide range of settings. However, the leading innovative countries internationally have several common traits, including economic, financial and...
INTELLECTUAL PROPERTY LITIGATION ACTIVITY IN THE USA
Suhejla Hoti, Michael McAleer, Daniel Slottje
Brand names or trademarks carry incredible economic power and prestige. There is increasing recognition by world bodies that intellectual property (IP), whether manifested in patents, trademarks,...
Sinha, Dipendra, Macri, Joseph, McAleer, Michael
Just as friendly arguments based on an ignorance of facts eventually led to the creation of the definitive Guinness Book of World Records, any argument about university rankings has seemingly been a...
Patent Activity and Technical Change
Robert L. Basmann, Michael McAleer, Daniel Slottje
As creations of the mind, intellectual property includes industrial property and copyrights. This paper presents an aggregate production function of the generalized Fechner-Thurstone (GFT) form to...
NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
Ling, Shiqing, McAleer, Michael
Although econometricians have been using Bollerslev s (1986, Journal of Econometrics 31, 307 327) GARCH(r, s) model for over a decade, the higher order moment structure of the model remains...
MEASURING RISK IN ENVIRONMENTAL FINANCE
Suhejla Hoti, Michael McAleer, Laurent L. Pauwels
Environmental sustainability indices, such as the Dow Jones Sustainability Indexes and the Ethibel Sustainability Index, quantify the development and promotion of sustainable social, ethical and...
Suhejla Hoti, Michael McAleer, Laurent L. Pauwels
As environmental issues have become increasingly important in economic research and policy for sustainable development, firms in the private sector have introduced environmental and social issues in...
Volatility of a Market Index and its Components: An Application to Commodity Markets
Clinton WATKINS, Michael McALEER
cross-sectional aggregation; GARCH; index contracts; volatility.
Morimune, Kimio, McAleer, Michael
A simultaneous equation system presumes that endogenous explanatory variables are correlated with equation-specific structural disturbances. The authors' paper proposes estimation methods and tests...
Keynesian and New Classical Models of Unemployment Revisited.
McAleer, Michael, McKenzie, C R
Several Keynesian and New Classical models of unemployment for the United States are reevaluated. The models are examined for adequacy by testing the cross-equation restrictions (where appropriate)...
Non-trading day effects in asymmetric conditional and stochastic volatility models
It is well known that non-trading days (or holidays) can have significant effects on the returns in financial series. In this paper, we analyze three models of non-trading day effects in stochastic...
Kobayashi, Masahito, McAleer, Michael
This paper compares several tests for linear and loglinear regression models where both the dependent and independent variables are transformed. It is shown that the Lagrange multiplier test proposed...
ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
Ling, Shiqing, McAleer, Michael
This paper investigates the asymptotic theory for a vector autoregressive moving average generalized autoregressive conditional heteroskedasticity (ARMA-GARCH) model. The conditions for the strict...
AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
This paper uses the specific-to-general methodological approach that is widely used in science, in which problems with existing theories are resolved as the need arises, to illustrate a number of...
Econometric modelling of non-ferrous metal prices
Clinton Watkins, Michael McAleer
This article evaluates the significance of the empirical models and the distributional properties of prices in non-ferrous metal spots and futures markets published in leading refereed economics and...
An Empirical Assessment of Country Risk Ratings and Associated Models
Country risk has become a topic of major concern for the international financial community over the last two decades. The importance of country ratings is underscored by the existence of several...
Recent Theoretical Results for Time Series Models with GARCH Errors.
Li, W K, Ling, Shiqing, McAleer, Michael
This paper provides a review of some recent theoretical results for time series models with GARCH errors, and is directed towards practitioners. Starting with the simple ARCH model and proceeding to...
Pricing of Forward and Futures Contracts.
Chow, Ying-Foon, McAleer, Michael, Sequeira, John M
There has long been substantial interest in understanding the relative pricing of forward and futures contracts. This has led to the development of two standard theories of forward and futures...
Cointegration Analysis of Seasonal Time Series.
Franses, Philip Hans, McAleer, Michael
This paper reviews various recent approaches to cointegration analysis of seasonal time series. In addition to the usual decisions concerning data transformations and univariate time series...
Econometric Issues in Macroeconomic Models with Generated Regressors.
The paper critically reviews the literature on the econometric issues raised by the use of generated regressors (GR) in empirical models. The economic rationale for the use of GR is considered, with...
Efficient Estimation and Testing of Alternative Models of Currency Futures Contracts.
Sequeira, John M, McAleer, Michael, Chow, Ying-Foon
An efficient systems approach is used to estimate and test two alternative models regarding the pricing of Australian dollar futures contracts traded on the International Monetary Market of the...
Efficient Estimation: The Rao-Zyskind Condition, Kruskal's Theorem and Ordinary Least Squares.
This paper emphasizes the practicability and accessibility of the necessary and sufficient condition for ordinary least squares to yield best linear unbiased estimators in several problems that are...
On the Effects of Misspecification Errors in Models with Generated Regressors.
McKenzie, C R, McAleer, Michael
This paper considers the consistency and efficiency of two-step estimators of a structural equation when the auxiliary equation is misspecified. Underspecification generally leads to the two-step...
Realized Volatility and Long Memory: An Overview
Esfandiar Maasoumi, Michael McAleer
The challenge of modeling, estimating, testing, and forecasting financial volatility is both intellectually worthwhile and also central to the successful analysis of financial returns and optimal...
Michael McAleer, Marcelo Medeiros
This article reviews the exciting and rapidly expanding literature on realized volatility. After presenting a general univariate framework for estimating realized volatilities, a simple discrete time...
When are two step estimators efficient?
Michael McAleer, C. R. McKenzie
Kruskal's theorem is used to provide simple and elegant alternative derivations of the efficiency of some two step estimators (2SE) for models containing anticipated and unanticipated variables....
Joint tests of non-nested models and general error specifications
Anil Bera, Michael McAleer, M. Hashem Pesaran, Mann Yoon
This paper is concerned with joint tests of non-nested models and simultaneous departures from homoskedasticity, serial independence and normality of the disturbance terms. Locally equivalent...
Single-index and portfolio models for forecasting value-at-risk thresholds
Michael McAleer, Bernardo Da Veiga
The variance of a portfolio can be forecast using a single index model or the covariance matrix of the portfolio. Using univariate and multivariate conditional volatility models, this paper evaluates...
Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model
Michael Mcaleer, Bernardo Da Veiga
Accurate modelling of volatility (or risk) is important in finance, particularly as it relates to the modelling and forecasting of value-at-risk (VaR) thresholds. As financial applications typically...
Cointegration and direct tests of the rational expectations hypothesis
Michael McAleer, C. R. McKenzie, M. Hashem Pesaran
The paper is concerned with direct tests of the rational expectations hypothesis (REH) in the presence of stationary and non-stationary variables. Alternative methods of converting qualitative survey...
A sequential testing procedure for outliers and structural change
In this paper a test for outliers based on externally studentized residuals is shown to be related to a test for predictive failure. The relationships between a test for outliers, a test for a...
Further Results on Testing AR (1) against MA (1) Disturbances in the Linear Regression Model.
King, Maxwell L, McAleer, Michael
A Monte Carlo experiment compares the small-sample properties of the Cox test, some linearized Cox tests, and an approximate point optimal test for AR(1) against MA(1) disturbances, as well as a...
Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence
Theoretical and practical interest in non-linear time series models, particularly regime switching models, have increased substantially in recent years. Given the abundant research activity in...
Smith, Jeremy, McAleer, Michael
This paper analyses and extends alternative procedures for converting qualitative expectations responses to quantitative expectations. A number of conversion procedures is investigated, including the...
Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns
Matteo Manera, Alessandro Lanza, Michael McAleer
This paper estimates the dynamic conditional correlations in the returns on WTI oil one-month forward prices, and one-, three-, six-, and twelve-month futures prices, using recently developed...
Risk Management of Daily Tourist Tax Revenues for the Maldives
Michael McAleer, Riaz Shareef, Bernardo Da Veiga
International tourism is the principal economic activity for Small Island Tourism Economies (SITEs). There is a strongly predictable component of international tourism, specifically the government...
Simplicity, Scientific Interference and Econometric Modelling.
Keuzenkamp, Hugo A, McAleer, Michael
Two issues are discussed in this paper. The first is whether a formal definition and justification of simplicity (parsimony) in scientific inference can be found, and whether an optimal level of...
Financial volatility: an introduction
Philip Hans Franses, Michael McAleer
It is now 20 years since the publication of Engle's (1982) seminal paper, which introduced ARCH to the world. The ARCH paper had an enormous influence on both theoretical and applied econometrics,...
What Will Take the Con Out of Econometrics?
McAleer, Michael, Pagan, Adrian
The paper begins with the question of whether Leamer's Extreme Bounds Analysis (EBA) really does "Take the Con Out of Econometrics" By analytically demonstrating that the extreme bounds are simply...
Suhejla Hoti, Felix Chan, Michael McAleer
Following the rapid growth in the international debt of less developed countries in the 1970s and the increasing incidence of debt rescheduling in the early 1980s, country risk has become a topic of...
"Environmental Technology Strengths: International Rankings Based on US Patent Data"
Dora Marinova, Michael McAleer
Patent information has been used by economists and researchers in the field of innovation to analyse current and forecast future technological directions. The recent surge in patenting activities in...
"Regression Quantiles for Unstable Autoregressive Models"
This paper investigates regression quantiles(RQ) for unstable autoregressive models. This uniform Bahadur representation of the RQ process is obtained. The joint asymptotic distribution of the RQ...
"Ecologically Sustainable Tourism Management"
Christine Lim, Michael McAleer
One of the primary challenges facing ecotourism management is to establish a profitable and ecologically sustainable industry, while simultaneously achieving a satisfying experience for visitors and...
Shiqing Ling, W. K. Li, Michael McAleer
Least squares (LS) and maximum likelihood (ML) estimation are con-sidered for unit root processes with GARCH (1, 1) errors. The asymp-totic distributions of LS and ML estimators are derived under the...
"Modelling the Asymmetric Volatility of Electronics Patents in the USA"
Felix Chan, Dora Marinova, Michael McAleer
Since the 1970s, electronics and associated electrical equipment (henceforth "electronics") has been one of the most dominant industries in the developed countries, with its geographical centre...
"Input-output Structure and Growth in China"
The fast and steady economic growth in China during the 1990s has attracted much international attention. Using the three most recent Chinese input-output tables, this paper investigates industry...
"Volatility Models of Currency Futures in Developed and Emerging Markets"
John M. Sequeira, Pang Chia Chiat, Michael McAleer
This paper examines volatility models of currency futures contracts for three developed markets and two emerging markets. For each contract, standard models of the Unbiased Expectations Hypothesis...
"Fat Tails and Asymmetry in Financial Volatility Models"
Peter Verhoeven, Michael McAleer
Although the GARCH model has been quite successful in capturing important empirical aspects of financial data, particularly for the symmetric effects of volatility, it has had far less success in...
"Asian Monetary Integration: A Structural VAR Approach"
Zhaoyong Zhang, Kiyotaka Sato, Michael McAleer
This paper examines whether forming an optimum currency area (OCA) is viable for the East Asian region by testing the symmetry of underlying structural shocks. A structural vector autoregression...
"Pricing of Non-ferrous Metals Futures on the London Metal Exchange"
Clinton Watkins, Michael McAleer
The London Metal Exchange (LME) is the most important centre for spot and futures trading in the main industrially-used non-ferrous metals. In this paper, data on 3-month futures contracts for...
"Modelling International Travel Demand from Singapore to Australia"
Christine Lim, Michael McAleer
Prior to the recent Asian currency and economic crises, tourism from Asia had rapidly become Australia's major tourism export industry. Tourists from Singapore, which is Australia's fifth major...
Zonglu He, Koichi Maekawa, Michael McAleer
In this paper we examine the asymptotic properties of the estimator of the long-run coefficient (LRC) in a dynamic regression model with integrated regressors and serially correlated errors. We show...
"On the Structure, Asymptotic Theory and Applications of STAR-GARCH Models"
Non-linear time series models, especially regime-switching models, have become increasingly popular in the economics, finance and financial econometrics literature. However, much of the research has...
"Patent Activity and Technical Change"
Robert L. Basmann, Michael McAleer, Daniel Slottje
This paper presents an aggregate production function of the generalized Fechner-Thurstone (GFT) form to analyze the impact of an important component of intellectual industrial property, namely patent...
"Convergence and Catching Up in ASEAN: A Comparative Analysis"
The increasing diversity of average growth rates and income levels across countries has generated a large literature on testing the income convergence hypothesis. Most countries in South-East Asia,...
Cointegration Analysis of Quarterly Tourism Demand by Hong Kong and Singapore for Australia.
Lim, Christine, McAleer, Michael
Hong Kong and Singapore are two of the most important and fastest growing markets for tourists to Australia. The purpose of this paper is to investigate movements in the long-run demand for tourist...
Is a monetary union feasible for East Asia?
Zhaoyong Zhang, Kiyotaka Sato, Michael McAleer
The empirical suitability of the East Asian economies for potential monetary integration is assessed. The structural vector autoregression (VAR) method is employed to identify the underlying shocks...
Convergence and catching up in ASEAN: a comparative analysis
The increasing diversity of average growth rates and income levels across countries has generated a large literature on testing the income convergence hypothesis. Most countries in South-East Asia,...
Trends and volatilities in foreign patents registered in the USA
Felix Chan, Dora Marinova, Michael McAleer
This study analyses the patent trends and volatilities for the top 12 foreign patenting countries in the US market from 1975 to 1997. Japan is ranked first in terms of foreign patents registered in...
A Seasonal Analysis of Asian Tourist Arrivals to Australia.
Lim, Christine, McAleer, Michael
Rapid economic growth in South-East and East Asia has seen a surge in tourist arrivals from this region to Australia in the 1990s, prior to the currency crisis in late 1997. The purpose of the paper...
The paper investigates several empirical issues regarding quasi-maximum likelihood estimation of smooth transition autoregressive (STAR) models with GARCH errors (STAR-GARCH) and STAR models with...
Pricing of non-ferrous metals futures on the London Metal Exchange
Clinton Watkins, Michael McAleer
The London Metal Exchange (LME) is the most important centre for spot and futures trading in the main industrially-used non-ferrous metals. In this study, data on 3-month futures contracts for...
Matteo Manera, Michael McAleer, Margherita Grasso
This paper estimates the dynamic conditional correlations in the returns on Tapis oil spot and one-month forward prices for the period 2 June 1992 to 16 January 2004, using recently developed...
Shiqing Ling, W. Li, Michael McAleer
Least squares (LS) and maximum likelihood (ML) estimation are considered for unit root processes with GARCH (1, 1) errors. The asymptotic distributions of LS and ML estimators are derived under the...
Dynamic Asymmetric Leverage in Stochastic Volatility Models
In the class of stochastic volatility (SV) models, leverage effects are typically specified through the direct correlation between the innovations in both returns and volatility, resulting in the...
Asymmetric Multivariate Stochastic Volatility
This paper proposes and analyses two types of asymmetric multivariate stochastic volatility (SV) models, namely, (i) the SV with leverage (SV-L) model, which is based on the negative correlation...
Multivariate Stochastic Volatility: A Review
Manabu Asai, Michael McAleer, Jun Yu
The literature on multivariate stochastic volatility (MSV) models has developed significantly over the last few years. This paper reviews the substantial literature on specification, estimation, and...
How Fragile Are Fragile Inferences? A Re-evaluation of the Deterrent Effect of Capital Punishment.
McAleer, Michael, Veall, Michael R
Extreme bounds analysis attempts to measure the effects of the uncertainty in the specification of the explanatory variables in a regression model on the estimated coefficients of interest. Standard...
Variable Addition and LaGrange Multiplier Tests for Linear and Logarithmic Regression Models.
Godfrey, Leslie G, McAleer, Michael, McKenzie, Colin R
The purpose of this paper is to examine the properties of various tests of linear and logarithmic (or log-linear) regression models. The test procedures may be categorized as follows: (1) tests that...
Michael McAleer, Marcelo Cunha Medeiros
This paper reviews the exciting and rapidly expanding literature on realized volatility. After presenting a general univariate framework for estimating realized volatilities, a simple discrete time...
Massimiliano Caporin, Michael McAleer
This article develops the dynamic asymmetric GARCH (or DAGARCH) model that generalizes asymmetric GARCH models such as that of Glosten, Jagannathan, and Runkle (GJR), introduces multiple thresholds,...
Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares
Da Veiga, Bernardo, Chan, Felix, McAleer, Michael
This paper analyses the time-varying conditional correlations between Chinese A and B share returns using the Dynamic Conditional Correlation (DCC) model of Engle [Engle, R.F. (2002), "Dynamic...
Massimiliano Caporin, Michael McAleer
The paper derives the scalar special case of the well-known BEKK multivariate GARCH model using a multivariate extension of the random coefficient autoregressive (RCA) model. This representation...
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH
Massimiliano Caporin, Michael McAleer
DAMGARCH extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances. DAMGARCH models the...
Kobayashi, Masahito, McAleer, Michael
This paper compares several tests for linear and loglinear regression models where both the dependent and independent variables are transformed. It is shown that the Lagrange multiplier test proposed...
NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
Ling, Shiqing, McAleer, Michael
Although econometricians have been using Bollerslev s (1986, Journal of Econometrics 31, 307 327) GARCH(r, s) model for over a decade, the higher order moment structure of the model remains...
ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
Ling, Shiqing, McAleer, Michael
This paper investigates the asymptotic theory for a vector autoregressive moving average generalized autoregressive conditional heteroskedasticity (ARMA-GARCH) model. The conditions for the strict...
AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
This paper uses the specific-to-general methodological approach that is widely used in science, in which problems with existing theories are resolved as the need arises, to illustrate a number of...
GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
McAleer, Michael, Chan, Felix, Hoti, Suhejla, Lieberman, Offer
This paper develops a generalized autoregressive conditional correlation (GARCC) model when the standardized residuals follow a random coefficient vector autoregressive process. As a multivariate...
On exact and asymptotic tests of non-nested models
Bera, Anil K., McAleer, Michael
In this note we establish finite sample relations among some exact and asymptotic tests of non-nested linear regression models.
Econometric modelling in finance and risk management: An overview
Gao, Jiti, McAleer, Michael, Allen, Dave
This paper gives an overview about the sixteen papers included in this special issue. The papers in this special issue cover a wide range of topics. Such topics include discussing a class of tests...
Regression quantiles for unstable autoregressive models
Ling, Shiqing, McAleer, Michael
This paper investigates regression quantiles (RQ) for unstable autoregressive models. The uniform Bahadur representation of the RQ process is obtained. The joint asymptotic distribution of the RQ...
Econometric modelling in finance and risk management: An overview
Gao, Jiti, McAleer, Michael, Allen, David E.
This paper gives an overview about the sixteen papers included in this special issue. The papers in this special issue cover a wide range of topics. Such topics include discussing a class of tests...
A neural network demand system with heteroskedastic errors
McAleer, Michael, Medeiros, Marcelo C., Slottje, Daniel
In this paper we consider estimation of demand systems with flexible functional forms, allowing an error term with a general conditional heteroskedasticity function that depends on observed...
Medeiros, Marcelo C., McAleer, Michael, Slottje, Daniel, Ramos, Vicente, Rey-Maquieira, Javier
In this paper we provide an alternative approach to analyze the demand for international tourism in the Balearic Islands, Spain, by using a neural network model that incorporates time-varying...
McAleer, Michael, Medeiros, Marcelo C.
In this paper we propose a flexible model to describe nonlinearities and long-range dependence in time series dynamics. The new model is a multiple regime smooth transition extension of the...
Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks
Allen, David, Chan, Felix, McAleer, Michael, Peiris, Shelton
This paper concerns the properties of the Quasi Maximum Likelihood Estimator (QMLE) of the Logarithmic Autoregressive Conditional Duration (Log-ACD) model. Proofs of consistency and asymptotic...
Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
Michael McAleer, Suhejla Hoti, Felix Chan
Various univariate and multivariate models of volatility have been used to evaluate market risk, asymmetric shocks, thresholds, leverage effects, and Value-at-Risk in economics and finance. This...
Modelling International Tourist Arrivals and Volatility: An Application to Taiwan
Chia-Lin Chang, Michael McAleer, Dan Slottje
International tourism is a major source of export receipts for many countries worldwide. Although it is not yet one of the most important industries in Taiwan (or the Republic of China), an island in...
Modeling Exchange Rate and Industrial Commodity Volatility Transmissions
Shawkat M. Hammoudeh, Yuan Yuan, Michael McAleer
This paper examines the inclusion of the dollar/euro exchange rate together with important commodities in two different BEKK, or multivariate conditional covariance, models. Such inclusion increases...
A Scientific Classification of Volatility Models
Massimiliano Caporin, Michael McAleer
Modeling volatility, or “predictable changes” over time and space in a variable, is crucial in the natural and social sciences. Life can be volatile, and anything that matters, and which changes...
A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk
Michael McAleer, Teodosio Pérez-Amaral
Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading...
A Scientific Classification of Volatility Models.
Massimiliano Caporin, Michael McAleer
Modeling volatility, or “predictable changes” over time and space in a variable, is crucial in the natural and social sciences. Life can be volatile, and anything that matters, and which changes...
The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges
Credit risk is the most important type of risk in terms of monetary value. Another key risk measure is market risk, which is concerned with stocks and bonds, and related financial derivatives, as...
Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models
Massimiliano Caporin, Michael McAleer
Large and very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations are BEKK and DCC....
Modelling International Tourist Arrivals and Volatility: An Application to Taiwan
Chia-Lin Chang, Michael McAleer, Dan Slottje
International tourism is a major source of export receipts for many countries worldwide. Although it is not yet one of the most important industries in Taiwan (or the Republic of China), an island in...
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH
Massimiliano Caporin, Michael McAleer
DAMGARCH is a new model that extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances....
Modelling Sustainable International Tourism Demand to the Brazilian Amazon
Jose Angelo Divino, Michael McAleer
The Amazon rainforest is one of the world’s greatest natural wonders and holds great importance and significance for the world’s environmental balance. Around 60% of the Amazon rainforest is...
Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
Michael McAleer, Teodosio Pérez-Amaral
The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each...
Linear and nonlinear causality between changes in consumption and consumer attitudes
Qiao, Zhuo, McAleer, Michael, Wong, Wing-Keung
Adopting both linear and nonlinear Granger causality tests, we find consumer attitude indices of the University of Michigan's surveys are very useful in predicting consumption movements of the United...
Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
Michael McAleer, Teodosio Pérez-Amaral
The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each...
Multivariate stochastic volatility, leverage and news impact surfaces
Alternative multivariate stochastic volatility (MSV) models with leverage have been proposed in the literature. However, the existing MSV with leverage models are unclear about the definition...
Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments
Suhejla Hoti, Esfandiar Maasoumi, Michael McAleer, Daniel Slottje
As U.S. Treasury securities carry the full faith and credit of the U.S. government, they are free of default risk. Thus, their yields are risk-free rates of return, which allows the most recently...
"Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?"
Michael McAleer, Teodosio Perez-Amaral
The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each...
"Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets"
Chia-Lin Chang, Michael McAleer, Roengchai Tansuchat
This paper estimates univariate and multivariate conditional volatility and conditional correlation models of spot, forward and futures returns from three major benchmarks of international crude oil...
"How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan"
Chia-Lin Chang, Philip Hans Franses, Michael McAleer
A government's ability to forecast key economic fundamentals accurately can affect business confidence, consumer sentiment, and foreign direct investment, among others. A government forecast based on...
"Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models"
Massimiliano Caporin, Michael McAleer
Large and very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations are BEKK and DCC....
"Estimating the Impact of Whaling on Global Whale Watching"
Hsiao-I Kuo, Chi-Chung Chen, Michael McAleer
After the commercial whaling moratorium was enacted in 1986, whale watching became one of the fastest growing tourism industries worldwide. As whaling was regarded as an activity incompatible with...
"Modelling Short and Long Haul Volatility in Japanese Tourist Arrivals to New Zealand and Taiwan"
Chia-Lin Chang, Michael McAleer, Christine Lim
This paper estimates the effects of short and long haul volatility (or risk) in monthly Japanese tourist arrivals to Taiwan and New Zealand , respectively. In order to model appropriately the...
"Does the FOMC Have Expertise, and Can It Forecast?"
Philip Hans Franses, Michael McAleer, Rianne Legerstee
The primary purpose of the paper is to answer the following two questions regarding the performance of the influential Federal Open Market Committee (FOMC) of the Federal Reserve System, in...
"Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO"
Chia-Lin Chang, Biing-Wen Huang, Meng-Gu Chen, Michael McAleer
The hog industry, where prices are determined according to an auction system, is of vital importance to the agricultural industry in Taiwan by providing significant production and employment. In...
"Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return"
Chia-Lin Chang, Michael McAleer, Roengchai Tansuchat
The purpose of this paper is to investigate the volatility spillovers between the returns on crude oil futures and oil company stocks using alternative multivariate GARCH models, namely the CCC model...
LanFen Chu, Michael McAleer, Chi-Chung Chen
The El Ninos Southern Oscillations (ENSO) is a periodical phenomenon of climatic interannual variability which could be measured through either the Southern Oscillation Index (SOI) or the Sea Surface...
"A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk"
Michael McAleer, Teodosio Perez-Amaral
Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading...
"What Happened to Risk Management During the 2008-09 Financial Crisis?"
Michael McAleer, Teodosio Perez-Amaral
When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital requirements and higher profits. Typically, GARCH type models are chosen to forecast Value-at-Risk...
"Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets"
Chia-Lin Chang, Michael McAleer, Roengchai Tansuchat
Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over a decade, and is crucial for forecasting volatility and Value-at- Risk (VaR)....
"The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges"
Credit risk is the most important type of risk in terms of monetary value. Another key risk measure is market risk, which is concerned with stocks and bonds, and related financial derivatives, as...
"An Econometric Analysis of SARS and Avian Flu on International Tourist Arrivals to Asia"
Michael McAleer, Bing-Wen Huang, Hsiao-I Kuo, Chi-Chung Chen, Chia-Lin Chang
This paper compares the impacts of SARS and human deaths arising from Avian Flu on international tourist arrivals to Asia. The effects of SARS and human deaths from Avian Flu will be compared...
"Modelling and Forecasting Daily International Mass Tourism to Peru"
Jose Angelo Divino, Michael McAleer
Peru is a South American country that is divided into two parts by the Andes Mountains. The rich historical, cultural and geographic diversity has led to the inclusion of ten Peruvian sites on...
"Modelling Sustainable International Tourism Demand to the Brazilian Amazon"
Jose Angelo Divino, Michael McAleer
The Amazon rainforest is one of the world's greatest natural wonders and holds great importance and significance for the world's environmental balance. Around 60% of the Amazon rainforest is located...
Simplicity, Inference and Modelling
Zellner,Arnold, Keuzenkamp,Hugo A., McAleer,Michael
The idea that simplicity matters in science is as old as science itself, with the much cited example of Ockham’s Razor, ‘entia non sunt multiplicanda praeter necessitatem’: entities are not to...
The structure of dynamic correlations in multivariate stochastic volatility models
Asai, Manabu, McAleer, Michael
This paper proposes two types of stochastic correlation structures for Multivariate Stochastic Volatility (MSV) models, namely the constant correlation (CC) MSV and dynamic correlation (DC) MSV...
Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets
Hammoudeh, Shawkat M., Yuan, Yuan, McAleer, Michael
The major objectives of this study are twofold. The first objective is to examine the dynamic volatility and volatility transmission in a multivariate setting using the VAR(1)-GARCH(1,1) model for...
"Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets"
The benefits of investing internationally depend on three conditions, namely cross-country correlations, market volatilities, and future changes in currency risks (see Odier and Solnik (1993)). This...
Ana Bartolome, Michael McAleer, Vicente Ramos, Javier Rey-Maquieira
As the fastest growing sector within the international tourism industry, having grown at roughly double the rate of international tourism as a whole, the cruise liner business has shown impressive...
"A Trinomial Test for Paired Data When There are Many Ties"
Guorui Bian, Michael McAleer, Wing-Keung Wong
This paper develops a new test, the trinomial test, for pairwise ordinal data samples to improve the power of the sign test by modifying its treatment of zero diRerences between observations, thereby...
"Risk Management for International Tourist Arrivals: An Application to the Balearic Islands, Spain"
Ana Bartolome, Michael McAleer, Vicente Ramos, Javier Rey-Maquieira
Spain is a leader in terms of total international tourist arrivals and receipts. The Balearic Islands are one of the most popular destinations in Spain. For tourism management and marketing, it is...
"Modelling and Forecasting Noisy Realized Volatility"
Manabu Asai, Michael McAleer, Marcelo C. Medeiros
Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obtain consistent estimates of the integrated...
"Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies"
Shawkat M. Hammoudeh, Yuan Yuan, Michael McAleer
This paper examines the inclusion of the dollar/euro exchange rate together with important commodities in two different BEKK, or multivariate conditional covariance, models. Such inclusion increases...
"Optimal Risk Management Before, During and After the 2008-09 Financial Crisis"
Michael McAleer, Teodosio Perez-Amaral
In this paper we advance the idea that optimal risk management under the Basel II Accord will typically require the use of a combination of different models of risk. This idea is illustrated by...
"A General Asymptotic Theory for Time Series Models"
This paper develops a general asymptotic theory for the estimation of strictly stationary and ergodic time series models. Under simple conditions that are straightforward to check, we establish the...
Optimal Risk Management Before, During and After the 2008-09 Financial Crisis
Michael McAleer, Teodosio Pérez-Amaral
In this paper we advance the idea that optimal risk management under the Basel II Accord will typically require the use of a combination of different models of risk. This idea is illustrated by...
What Happened to Risk Management During the 2008-09 Financial Crisis?
Michael McAleer, Teodosio Pérez-Amaral
When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital requirements and higher profits. Typically, GARCH type models are chosen to forecast Value-at-Risk...
"Moment-Based Estimation of Smooth Transition Regression Models with Endogenous Variables"
Waldyr Dutra Areosa, Michael McAleer, Marcelo C. Medeiros
Nonlinear regression models have been widely used in practice for a variety of time series and cross-section datasets. For purposes of analyzing univariate and multivariate time series data, in...
"Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns"
Tanchanok Khamkaew, Michael McAleer, Roengchai Tansuchat
Asia is presently the most important market for the production and consumption of natural rubber. World prices of rubber are not only subject to changes in demand, but also to speculation regarding...
"A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options"
Chatayan Wiphatthanananthakul, Michael McAleer
In 2003, the Chicago Board Options Exchange (CBOE) made two key enhancements to the volatility index (VIX) methodology based on S&P options. The new VIX methodology seems to be based on a complicated...
On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors,
This paper considers adaptive estimation in nonstationary autoregressive moving average models with the noise sequence satisfying a generalised autoregressive conditional heteroscedastic process. The...
A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors,
W. K. Li, Shiqing Ling, Michael McAleer
This paper provides a review of some recent theoretical results for time series models with GARCH errors, and is directed towards practitioners. Starting with the simple ARCH model and proceeding to...
Modelling the Determinants of International Tourism Demand to Australia,
Christine Lim, Michael McAleer
Prior to the recent Asian currency and economic crises, tourism from Asia had rapidly become Australia's major tourism export industry. Tourists from Singapore, which is Australia's fifth major...
This paper investigates several empirical issues regarding quasimaximum likelihood estimation of Smooth Transition Autoregressive (STAR) models with GARCH errors, specifically STAR-GARCH and...
Testing Multiple Non-nested Factor Demand Systems,
Matteo Manera, Michael McAleer
Empirical factor demand analysis typically involves making a choice from among several competing non-nested functional forms. Each of the commonly used factor demand systems, such as Translog,...
Shiqing Ling, W. K. Li, Michael McAleer
Least squares (LS) and maximum likelihood (ML) estimation are considered for unit root processes with GARCH (1, 1) errors. The asymptotic distributions of LS and ML estimators are derived under the...
Although econometricians have been using Bollerslev's (1986) GARCH (r, s) model for over a decade, the higher-order moment structure of the model remains unresolved. The sufficient condition for the...
Koichi Maekawa, Michael McAleer, Zonglu He
In this paper we examine the asymptotic properties of the estimator of the long-run coefficient (LRC) in a dynamic regression model with integrated regressors and serially correlated errors. We show...
Stationarity and the Existence of Moments of a Family of GARCH Processes,
This paper investigates some structural properties of a family of GARCH processes. A simple sufficient condition for the existence of the alpha delta-order stationary solution of the processes is...
C. R. McKenzie, Michael McAleer
The purpose of this paper is to use Bahadur's asymptotic relative efficiency measure to compare the performance of various tests of autoregressive (AR) versus moving average (MA) error processes in...
Time Series Forecasts of International Tourism Demand for Australia,
Christine Lim, Michael McAleer
This paper examines stationary and nonstationary time series by formally testing for the presence of unit roots and seasonal unit roots prior to estimation, model selection and forecasting. Various...
Asymptotic Theory for a Vector ARMA-GARCH Model,
This paper investigates the asymptotic theory for a vector ARMA-GARCH model. The conditions for the strict stationarity, ergodicity, and the higherorder moments of the model are established....