Details about Michael McAleer

This author is deceased (2021-07-08).

Access statistics for papers by Michael McAleer.

Last updated 2023-03-10. Update your information in the RePEc Author Service.

Short-id: pmc90

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Working Papers

2020

1. Matching and Winning? The Impact of Upper and Middle Managers on Team Performance in Major League Baseball
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)

2019

2. Asymptotic Theory for Rotated Multivariate GARCH Models
   Working Papers, University of Sydney Business School, Discipline of Business Analytics
   Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018)
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018)
3. CO2 Emissions, Energy Consumption and Economic Growth
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (25)
4. CO2 emissions, energy consumption and economic growth: Evidence from the Trans-Pacific Partnership
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
5. Central Bank Intervention, Bubbles and Risk in Walrasian Financial Markets
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
   Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2019) View citations (1)
6. Corporate Financial Distress of Industry Level Listings in an Emerging Market
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
   Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2019) View citations (2)
7. Drawbacks in the 3-Factor Approach of Fama and French (2018)
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
   See also Journal Article Drawbacks in the 3-Factor Approach of Fama and French (2018), Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2023) (2023)
8. Drawbacks in the 3-factor approach of Fama and French
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
9. Editorial Statement of Intent for Advances in Decision Sciences (ADS): 22nd Anniversary Special Issue in 2018
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
10. Energy Consumption and Economic Growth: Evidence from Vietnam
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (10)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2019)
    See also Journal Article Energy Consumption and Economic Growth: Evidence from Vietnam, Journal of Reviews on Global Economics, Lifescience Global (2019) View citations (15) (2019)
11. Fake News and Propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2019)
    See also Journal Article Fake News and Propaganda: Trump’s Democratic America and Hitler’s National Socialist (Nazi) Germany, Sustainability, MDPI (2019) (2019)
12. Financial credit risk evaluation based on core enterprise supply chains
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018) View citations (18)
    See also Journal Article Financial Credit Risk Evaluation Based on Core Enterprise Supply Chains, Sustainability, MDPI (2018) View citations (17) (2018)
13. Financial inclusion and macroeconomic stability in emerging and frontier markets
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018) View citations (1)
    See also Journal Article FINANCIAL INCLUSION AND MACROECONOMIC STABILITY IN EMERGING AND FRONTIER MARKETS, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2019) View citations (14) (2019)
14. Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks, International Journal of Forecasting, Elsevier (2020) View citations (83) (2020)
15. Modelling the relationship between crude oil and agricultural commodity prices
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico View citations (2)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018)
    See also Journal Article Modeling the Relationship between Crude Oil and Agricultural Commodity Prices, Energies, MDPI (2019) View citations (29) (2019)
16. Rent Seeking for Export Licenses: Application to the Vietnam Rice Market
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2019)
17. Research Ideas for Advances in Decision Sciences (ADS): 22nd Anniversary Special Issue in 2018
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018) View citations (4)
    See also Journal Article RESEARCH IDEAS FOR ADVANCES IN DECISION SCIENCES (ADS): 22ND ANNIVERSARY SPECIAL ISSUE IN 2018, Advances in Decision Sciences, Asia University, Taiwan (2018) View citations (4) (2018)
18. Risk Analysis of Energy in Vietnam
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (2)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2019)
19. Size, Internationalization and University Rankings: Evaluating Times Higher Education (THE) Data for Japan
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018)
20. Size, Internationalization and University Rankings: Evaluating and Predicting Times Higher Education (THE) Data for Japan
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (2)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2019)
    See also Journal Article Size, Internationalization, and University Rankings: Evaluating and Predicting Times Higher Education (THE) Data for Japan, Sustainability, MDPI (2019) View citations (1) (2019)
21. The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures
    Working Papers, University of Pretoria, Department of Economics View citations (36)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2019) View citations (3)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2019) View citations (34)
    See also Journal Article The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures, Energies, MDPI (2019) View citations (35) (2019)
22. What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (19)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2019) View citations (1)
    See also Journal Article What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity, and (Non-) Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model, JRFM, MDPI (2019) View citations (16) (2019)
23. What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2019) View citations (14)
    See also Journal Article What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity and (Non-) Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model, JRFM, MDPI (2019) View citations (20) (2019)

2018

24. "Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond": Comment
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018)
25. A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
26. A Statistical Analysis of Industrial Penetration and Internet Intensity in Taiwan
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018)
    See also Journal Article A Statistical Analysis of Industrial Penetration and Internet Intensity in Taiwan, Future Internet, MDPI (2018) (2018)
27. An Event Study of Chinese Tourists to Taiwan
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018) View citations (2)
28. Asymmetric Risk Impacts of Chinese Tourists to Taiwan
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2018)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018)
29. Bayesian Analysis of Realized Matrix-Exponential GARCH Models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2018)
    See also Journal Article Bayesian Analysis of Realized Matrix-Exponential GARCH Models, Computational Economics, Springer (2022) (2022)
30. Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (11)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2018) View citations (10)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018)
    See also Journal Article Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections, JRFM, MDPI (2018) View citations (9) (2018)
31. Carpooling with heterogeneous users in the bottleneck model
    Tinbergen Institute Discussion Papers, Tinbergen Institute
32. Cointegrated Dynamics for A Generalized Long Memory Process
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
33. Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    See also Journal Article Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates, Journal of Time Series Econometrics, De Gruyter (2020) View citations (1) (2020)
34. Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018) View citations (3)
    See also Journal Article Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK, JRFM, MDPI (2018) View citations (3) (2018)
35. Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (3)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2018) View citations (4)
36. Earnings responses to disability benefit cuts
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
37. Editorial Statement of Intent for Advances in Decision Sciences (ADS): 22nd Anniversary Special Issue in 2018
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (5)
38. Establishing National Carbon Emission Prices for China
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2018)
    See also Journal Article Establishing national carbon emission prices for China, Renewable and Sustainable Energy Reviews, Elsevier (2019) View citations (14) (2019)
39. Fake News and Indifference to Scientific Fact: President Trump's Confused Tweets on Global Warming, Climate Change and Weather
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    See also Journal Article Fake news and indifference to scientific fact: President Trump’s confused tweets on global warming, climate change and weather, Scientometrics, Springer (2018) View citations (7) (2018)
40. Fake News and Indifference to Truth
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (5)
41. Fake News and Indifference to Truth: Dissecting Tweets and State of the Union Addresses by Presidents Obama and Trump
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018)
    See also Journal Article FAKE NEWS AND INDIFFERENCE TO TRUTH: DISSECTING TWEETS AND STATE OF THE UNION ADDRESSES BY PRESIDENTS OBAMA AND TRUMP, Advances in Decision Sciences, Asia University, Taiwan (2018) View citations (5) (2018)
42. Financial Credit Risk and Core Enterprise Supply Chains
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (17)
43. Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018) View citations (1)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018)
44. Long Run Returns Predictability and Volatility with Moving Averages
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018) View citations (7)
    See also Journal Article Long Run Returns Predictability and Volatility with Moving Averages, Risks, MDPI (2018) View citations (7) (2018)
45. Management Information, Decision Sciences, and Financial Economics: A Connection
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (21)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018) View citations (15)
46. Market Timing with Moving Averages
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (6)
    See also Journal Article Market Timing with Moving Averages, Sustainability, MDPI (2018) View citations (6) (2018)
47. Market Timing with Moving Averages for Fossil Fuel and Renewable Energy Stocks
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018)
48. Pricing Carbon Emissions in China
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (5)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2018) View citations (5)
    See also Journal Article PRICING CARBON EMISSIONS IN CHINA, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2018) View citations (5) (2018)
49. Pros and Cons of the Impact Factor in a Rapidly Changing Digital World
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018)
50. Risk Spillovers in Returns for Chinese and International Tourists to Taiwan
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2018)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018)
51. Simple Market Timing with Moving Averages
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (4)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2018) View citations (5)
52. Spurious Cross-Sectional Dependence in Credit Spread Changes
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018)
    See also Journal Article Spurious cross-sectional dependence in credit spread changes, Econometrics and Statistics, Elsevier (2021) (2021)
53. The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (19)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018)
    See also Journal Article The fiction of full BEKK: Pricing fossil fuels and carbon emissions, Finance Research Letters, Elsevier (2019) View citations (12) (2019)
54. Why did Warrant Markets Close in China but not Taiwan?
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (13)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2018) View citations (2)

2017

55. A Generalized Email Classification System for Workflow Analysis
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2017)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2017)
56. A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016)
57. A New Inequality Measure that is Sensitive to Extreme Values and Asymmetries
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2017) View citations (1)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2017) View citations (2)
    See also Journal Article A New Inequality Measure that is Sensitive to Extreme Values and Asymmetries, Advances in Decision Sciences, Asia University, Taiwan (2019) View citations (2) (2019)
58. A Tourism Financial Conditions Index for Tourism Finance
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2017) View citations (2)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2017)
    See also Journal Article A Tourism Financial Conditions Index for Tourism Finance, Challenges, MDPI (2017) View citations (2) (2017)
59. Connecting VIX and Stock Index ETF
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2017)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2017)
60. Forecasting the Volatility of Nikkei 225 Futures
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2017)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2017) View citations (1)
    See also Journal Article Forecasting the volatility of Nikkei 225 futures, Journal of Futures Markets, John Wiley & Sons, Ltd. (2017) View citations (1) (2017)
61. Impact of Psychological Needs on Luxury Consumption
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2017)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2017)
62. Joint and Cross-border Patents as Proxies for International Technology Diffusion
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) View citations (1)
    See also Journal Article Joint and Cross-Border Patents as Proxies for International Technology Diffusion, International Journal of Innovation and Technology Management (IJITM), World Scientific Publishing Co. Pte. Ltd. (2018) View citations (1) (2018)
63. Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (21)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)
    See also Journal Article Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices, Renewable and Sustainable Energy Reviews, Elsevier (2018) View citations (31) (2018)
64. Re-Opening the Silk Road to Transform Chinese Trade
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2017) View citations (1)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2017)
    See also Journal Article Re-Opening the Silk Road to Transform Chinese Trade, Journal of Reviews on Global Economics, Lifescience Global (2017) View citations (1) (2017)
65. Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (9)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2017)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2017) View citations (11)
    See also Journal Article Realized stochastic volatility models with generalized Gegenbauer long memory, Econometrics and Statistics, Elsevier (2020) View citations (2) (2020)
66. Realized Stochastic Volatility with General Asymmetry and Long Memory
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (19)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2017) View citations (17)
    See also Journal Article Realized stochastic volatility with general asymmetry and long memory, Journal of Econometrics, Elsevier (2017) View citations (17) (2017)
67. Recent Topical Research on Global, Energy, Health & Medical, and Tourism Economics, and Global Software
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (2)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2017)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2017) View citations (2)
68. Specification Testing of Production in a Stochastic Frontier Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2017)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2017)
    See also Journal Article Specification Testing of Production in a Stochastic Frontier Model, Sustainability, MDPI (2018) View citations (13) (2018)
69. Stationarity and Invertibility of a Dynamic Correlation Matrix
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (8)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2017) View citations (4)
70. Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2017) View citations (1)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2017)
71. The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2017) View citations (22)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2017) View citations (25)
    See also Journal Article The correct regularity condition and interpretation of asymmetry in EGARCH, Economics Letters, Elsevier (2017) View citations (27) (2017)
72. The Fiction of Full BEKK
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (5)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2017)
73. Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (3)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2017)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2017) View citations (3)
    See also Journal Article Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management, Energies, MDPI (2018) View citations (4) (2018)
74. Theory and Application of an Economic Performance Measure of Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (9)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2017) View citations (6)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2017)
    See also Journal Article Theory and application of an economic performance measure of risk, International Review of Economics & Finance, Elsevier (2018) View citations (18) (2018)
75. Theravada Buddhism and Thai Luxury Fashion Consumption
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) View citations (2)
    See also Journal Article Theravada Buddhism and Thai Luxury Fashion Consumption, Journal of Reviews on Global Economics, Lifescience Global (2017) View citations (4) (2017)
76. Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic Factors
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2017) View citations (1)
77. Tourism stocks in times of crises: An econometric investigation of non-macro factors
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2016)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016)
78. Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (21)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2017)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2017) View citations (28)
    See also Journal Article Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA, Sustainability, MDPI (2017) View citations (21) (2017)
79. You've Got Email: A Workflow Management Extraction System
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2017) View citations (2)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2017)

2016

80. A Bayesian Approach to Excess Volatility, Short-term Underreaction and Long-term Overreaction During Financial Crises
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016)
    See also Journal Article A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises, The North American Journal of Economics and Finance, Elsevier (2017) View citations (24) (2017)
81. A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016)
    See also Journal Article A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices, Applied Economics, Taylor & Francis Journals (2018) View citations (14) (2018)
82. A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016)
83. A Simple Test for Causality in Volatility
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) View citations (2)
    See also Journal Article A Simple Test for Causality in Volatility, Econometrics, MDPI (2017) View citations (25) (2017)
84. An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) View citations (1)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)
    See also Journal Article An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors, IJFS, MDPI (2017) View citations (1) (2017)
85. An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016)
    See also Journal Article An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series, Applied Economics, Taylor & Francis Journals (2017) View citations (13) (2017)
86. Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) View citations (5)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) View citations (4)
    See also Journal Article Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?, International Review of Economics & Finance, Elsevier (2019) View citations (5) (2019)
87. Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (2)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2016)
88. Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)
    See also Journal Article Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models, JRFM, MDPI (2017) View citations (2) (2017)
89. How are VIX and Stock Index ETF Related?
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) View citations (12)
90. Industrial Penetration and Internet Intensity
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)
91. Management Science, Economics and Finance: A Connection
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (15)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) View citations (7)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)
92. Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (22)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)
93. Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2016)
    See also Journal Article Modeling and Testing Volatility Spillovers in Oil and Financial Markets for the USA, the UK, and China, Energies, MDPI (2019) View citations (7) (2019)
94. Prediction of Gas Concentration Based on the Opposite Degree Algorithm
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2016)
    See also Journal Article Prediction of Gas Concentration Based on the Opposite Degree Algorithm, Journal of Reviews on Global Economics, Lifescience Global (2017) (2017)
95. Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (18)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) View citations (13)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)
96. Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) View citations (12)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)
    See also Journal Article Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization, Econometrics and Statistics, Elsevier (2022) (2022)
97. Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2016)
    See also Journal Article Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances, Energy, Elsevier (2018) View citations (16) (2018)
98. Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2016)
99. US Antidumping Petitions and Revealed Comparative Advantage of Shrimp Exporting Countries
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016)
100. Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events
     Tinbergen Institute Discussion Papers, Tinbergen Institute
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)
     See also Journal Article Volatility spillover and multivariate volatility impulse response analysis of GFC news events, Applied Economics, Taylor & Francis Journals (2017) View citations (10) (2017)
101. Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
     Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) View citations (1)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)

2015

102. A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) View citations (2)
103. Behavioural, Financial, and Health & Medical Economics: A Connection
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015)
104. Bibliometric Rankings of Journals Based on the Thomson Reuters Citations Database
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) View citations (7)
     See also Journal Article Bibliometric Rankings of Journals Based on the Thomson Reuters Citations Database, Journal of Reviews on Global Economics, Lifescience Global (2015) View citations (6) (2015)
105. Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) View citations (2)
     See also Journal Article Choosing expected shortfall over VaR in Basel III using stochastic dominance, International Review of Economics & Finance, Elsevier (2019) View citations (10) (2019)
106. Daily Market News Sentiment and Stock Prices
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) View citations (4)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) View citations (3)
     See also Journal Article Daily market news sentiment and stock prices, Applied Economics, Taylor & Francis Journals (2019) View citations (20) (2019)
107. Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
     Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015)
108. From Disorder to Order
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
     Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015)
109. Frontiers in Time Series and Financial Econometrics
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
110. Frontiers in Time Series and Financial Econometrics: An Overview
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) View citations (1)
     See also Journal Article Frontiers in Time Series and Financial Econometrics: An overview, Journal of Econometrics, Elsevier (2015) View citations (1) (2015)
111. Industrial Agglomeration and Use of the Internet
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) View citations (1)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) View citations (1)
112. Informatics, Data Mining, Econometrics and Financial Economics: A Connection
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (17)
113. International Technology Diffusion of Joint and Cross-border Patents
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2013)
114. International Technology Diffusion of Joint and Cross-border Patents (Revised version)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
115. Market Integration Dynamics and Asymptotic Price Convergence in Distribution
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) View citations (1)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2013)
     See also Journal Article Market integration dynamics and asymptotic price convergence in distribution, Economic Modelling, Elsevier (2016) View citations (3) (2016)
116. Multivariate Volatility Impulse Response Analysis of GFC News Events
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) View citations (1)
117. Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies
     Tinbergen Institute Discussion Papers, Tinbergen Institute
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015)
     See also Journal Article Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies, Risks, MDPI (2016) View citations (5) (2016)
118. On the Invertibility of EGARCH(p,q)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (14)
     Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) View citations (1)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2014)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2014)
     See also Journal Article On the invertibility of EGARCH(p, q), Econometric Reviews, Taylor & Francis Journals (2018) View citations (13) (2018)
119. Quality Weighted Citations Versus Total Citations in the Sciences and Social Sciences, with an Application to Finance and Accounting
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
     Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) View citations (2)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015)
120. Research Ideas for the Journal of Health & Medical Economics: Opinion
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015)
121. Research Ideas for the Journal of Informatics and Data Mining: Opinion
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015)
122. The Endowment Effect in Games
     Tinbergen Institute Discussion Papers, Tinbergen Institute
123. The Fundamental Equation in Tourism Finance
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (21)
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) View citations (15)
     See also Journal Article The Fundamental Equation in Tourism Finance, JRFM, MDPI (2015) View citations (15) (2015)
124. The Impact of Jumps and Leverage in Forecasting Co-Volatility
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) View citations (5)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015)
     See also Journal Article The impact of jumps and leverage in forecasting covolatility, Econometric Reviews, Taylor & Francis Journals (2017) View citations (16) (2017)
125. Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) View citations (35)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) View citations (36)
     See also Journal Article Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice, Energies, MDPI (2018) View citations (28) (2018)

2014

126. A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) View citations (17)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) View citations (17)
127. A One Line Derivation of EGARCH
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (88)
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) View citations (88)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2014) View citations (74)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014)
     LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2014) View citations (83)
     See also Journal Article A One Line Derivation of EGARCH, Econometrics, MDPI (2014) View citations (74) (2014)
128. A Tourism Conditions Index
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2014) View citations (2)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) View citations (2)
129. A Tourism Financial Conditions Index
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2014) View citations (2)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) View citations (2)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014)
130. Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2014)
     See also Journal Article Advances in financial risk management and economic policy uncertainty: An overview, International Review of Economics & Finance, Elsevier (2015) View citations (27) (2015)
131. Asymmetric Realized Volatility Risk
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (4)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) View citations (1)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) View citations (4)
     See also Journal Article Asymmetric Realized Volatility Risk, JRFM, MDPI (2014) View citations (3) (2014)
132. Asymmetry and Leverage in Conditional Volatility Models
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
     Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) View citations (101)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) View citations (76)
     See also Journal Article Asymmetry and Leverage in Conditional Volatility Models, Econometrics, MDPI (2014) View citations (76) (2014)
133. Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2014)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2014)
134. Econometric Analysis of Financial Derivatives
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (4)
135. Econometric Analysis of Financial Derivatives: An Overview
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2014)
     See also Journal Article Econometric analysis of financial derivatives: An overview, Journal of Econometrics, Elsevier (2015) View citations (5) (2015)
136. European Market Portfolio Diversifcation Strategies across the GFC
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (2)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) View citations (1)
137. Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) View citations (5)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014)
     See also Journal Article Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance, Journal of Econometrics, Elsevier (2015) View citations (23) (2015)
138. Hedge Fund Portfolio Diversification Strategies Across the GFC
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) View citations (1)
139. Just How Good are the Top Three Journals in Finance? An Assessment Based on Quantity and Quality Citations
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2014) View citations (3)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) View citations (3)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) View citations (5)
     See also Journal Article JUST HOW GOOD ARE THE TOP THREE JOURNALS IN FINANCE? AN ASSESSMENT BASED ON QUANTITY AND QUALITY CITATIONS, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2014) View citations (3) (2014)
140. Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) View citations (4)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014)
141. Quality Weighted Citations Versus Total Citations in the Sciences and Social Sciences
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2014) View citations (3)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) View citations (8)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) View citations (5)
142. Ranking Economics and Econometrics ISI Journals by Quality Weighted Citations
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2014) View citations (1)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) View citations (1)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) View citations (1)
     See also Journal Article Ranking Economics and Econometrics ISI Journals by Quality Weighted Citations, Review of Economics, De Gruyter (2014) View citations (7) (2014)
143. Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (4)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (13)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) View citations (10)
     See also Journal Article Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc, Econometrics, MDPI (2013) View citations (15) (2013)
144. Risk Measurement and Risk Modelling Using Applications of Vine Copulas
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (3)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) View citations (3)
     See also Journal Article Risk Measurement and Risk Modelling Using Applications of Vine Copulas, Sustainability, MDPI (2017) View citations (10) (2017)
145. Survival Analysis of Very Low Birth Weight Infant Mortality in Taiwan
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2014)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014)
146. The Maximum Number of Parameters for the Hausman Test When the Estimators are from Different Sets of Equations
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (1)
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2013)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
     See also Journal Article The maximum number of parameters for the Hausman test when the estimators are from different sets of equations, Economics Letters, Elsevier (2014) View citations (1) (2014)
147. Volatility Spillovers from Australia's Major Trading Partners across the GFC
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) View citations (2)
     See also Journal Article Volatility Spillovers from Australia's major trading partners across the GFC, International Review of Economics & Finance, Elsevier (2017) View citations (7) (2017)

2013

148. A Capital Adequacy Buffer Model
     Tinbergen Institute Discussion Papers, Tinbergen Institute
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) View citations (1)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
     See also Journal Article A capital adequacy buffer model, Applied Economics Letters, Taylor & Francis Journals (2016) View citations (1) (2016)
149. A Fractionally Integrated Wishart Stochastic Volatility Model
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2013) View citations (1)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
     See also Journal Article A fractionally integrated Wishart stochastic volatility model, Econometric Reviews, Taylor & Francis Journals (2017) (2017)
150. A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2012)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012)
     See also Journal Article A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500, JRFM, MDPI (2013) View citations (2) (2013)
151. Analyzing Fixed-Event Forecast Revisions
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2011)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
     See also Journal Article Analyzing fixed-event forecast revisions, International Journal of Forecasting, Elsevier (2013) View citations (7) (2013)
152. Are Forecast Updates Progressive?
     MPRA Paper, University Library of Munich, Germany View citations (4)
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2011)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) View citations (4)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (4)
     See also Journal Article Are forecast updates progressive?, Mathematics and Computers in Simulation (MATCOM), Elsevier (2013) View citations (4) (2013)
153. Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (33)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) View citations (33)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) View citations (33)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2013) View citations (33)
     See also Journal Article Coercive journal self citations, impact factor, Journal Influence and Article Influence, Mathematics and Computers in Simulation (MATCOM), Elsevier (2013) View citations (27) (2013)
154. Estimating Implied Recovery Rates from the Term Structure of CDS Spreads
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2012) View citations (4)
155. Financial Dependence Analysis: Applications of Vine Copulae
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (15)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2013) View citations (15)
     See also Journal Article Financial dependence analysis: applications of vine copulas, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2013) View citations (16) (2013)
156. Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2012)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012)
     See also Journal Article Forecasting Value-at-Risk using block structure multivariate stochastic volatility models, International Review of Economics & Finance, Elsevier (2015) View citations (9) (2015)
157. GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) View citations (2)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) View citations (2)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2011) View citations (2)
     See also Journal Article GFC-robust risk management under the Basel Accord using extreme value methodologies, Mathematics and Computers in Simulation (MATCOM), Elsevier (2013) View citations (1) (2013)
158. Has the Basel Accord Improved Risk Management During the Global Financial Crisis
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (33)
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2012) View citations (1)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (27)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012)
     See also Journal Article Has the Basel Accord improved risk management during the global financial crisis?, The North American Journal of Economics and Finance, Elsevier (2013) View citations (35) (2013)
159. Herding, Information Cascades and Volatility Spillovers in Futures Markets
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) View citations (3)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (3)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2013) View citations (3)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) View citations (4)
     See also Journal Article Herding, Information Cascades and Volatility Spillovers in Futures Markets, Journal of Reviews on Global Economics, Lifescience Global (2013) View citations (4) (2013)
160. How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?
     Tinbergen Institute Discussion Papers, Tinbergen Institute
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2012) View citations (1)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) View citations (1)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) View citations (1)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) View citations (1)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012)
     See also Journal Article How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?, Journal of Reviews on Global Economics, Lifescience Global (2012) View citations (1) (2012)
161. Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (17)
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) View citations (19)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2012) View citations (2)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012)
     See also Journal Article Is small beautiful? Size effects of volatility spillovers for firm performance and exchange rates in tourism, The North American Journal of Economics and Finance, Elsevier (2013) View citations (19) (2013)
162. Journal Impact Factor, Eigenfactor, Journal Influence and Article Influence
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2012)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012)
163. Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (2)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2013) View citations (5)
     See also Journal Article Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing, Journal of Econometrics, Elsevier (2015) View citations (10) (2015)
164. Modeling and Simulation: An Overview
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance
     Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2013) View citations (19)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) View citations (2)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
165. Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (1)
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2013) View citations (1)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (1)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) View citations (2)
     See also Journal Article Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility, JRFM, MDPI (2012) View citations (14) (2012)
166. Nonparametric Multiple Change Point Analysis of the Global Financial Crisis
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (1)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2013) View citations (1)
     See also Journal Article NON-PARAMETRIC MULTIPLE CHANGE POINT ANALYSIS OF THE GLOBAL FINANCIAL CRISIS, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2018) View citations (2) (2018)
167. Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis
     Tinbergen Institute Discussion Papers, Tinbergen Institute
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2013) View citations (1)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013)
     See also Journal Article Profiteering from the Dot-Com Bubble, Subprime Crisis and Asian Financial Crisis, The Japanese Economic Review, Springer (2016) View citations (16) (2016)
168. Realized Volatility Risk
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (10)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (9)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (1)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (2)
     CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) View citations (6)
169. Recent Developments in Financial Economics and Econometrics: An Overview
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (4)
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2013) View citations (4)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (4)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) View citations (4)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
     See also Journal Article Recent developments in financial economics and econometrics: An overview, The North American Journal of Economics and Finance, Elsevier (2013) View citations (4) (2013)
170. Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
171. Risk Modeling and Management: An Overview
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (1)
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2013)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2013) View citations (1)
172. Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) View citations (2)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (1)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) View citations (1)
173. Robust Estimation and Forecasting of the Capital Asset Pricing Model
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (16)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (3)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2010)
     See also Journal Article ROBUST ESTIMATION AND FORECASTING OF THE CAPITAL ASSET PRICING MODEL, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2013) View citations (16) (2013)
174. Robust Ranking of Journal Quality: An Application to Economics
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2012) View citations (41)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) View citations (27)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) View citations (26)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012)
     See also Journal Article Robust Ranking of Journal Quality: An Application to Economics, Econometric Reviews, Taylor & Francis Journals (2016) View citations (12) (2016)
175. Statistical Modelling of Extreme Rainfall in Taiwan
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance
     Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2012)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012)
176. Ten Things You Should Know About DCC
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2013) View citations (3)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) View citations (68)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (3)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) View citations (66)
177. Ten Things You Should Know About the Dynamic Conditional Correlation Representation
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (85)
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2013) View citations (84)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) View citations (85)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (83)
     See also Journal Article Ten Things You Should Know about the Dynamic Conditional Correlation Representation, Econometrics, MDPI (2013) View citations (85) (2013)
178. The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) View citations (1)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (1)
     See also Journal Article The impact of China on stock returns and volatility in the Taiwan tourism industry, The North American Journal of Economics and Finance, Elsevier (2014) View citations (7) (2014)
179. Volatility Smirk as an Externality of Agency Conflict and Growing Debt
     Tinbergen Institute Discussion Papers, Tinbergen Institute
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
     See also Journal Article Volatility smirk as an externality of agency conflict and growing debt, International Journal of Economic Theory, The International Society for Economic Theory (2015) (2015)
180. Volatility Spillovers from the US to Australia and China across the GFC
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2012)
181. What Do Experts Know About Forecasting Journal Quality? A Comparison with ISI Research Impact in Finance
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (12)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2013) View citations (3)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (3)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) View citations (3)
     See also Journal Article WHAT DO EXPERTS KNOW ABOUT FORECASTING JOURNAL QUALITY? A COMPARISON WITH ISI RESEARCH IMPACT IN FINANCE, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2013) View citations (3) (2013)

2012

182. Asymmetric Adjustments in the Ethanol and Grains Markets
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico View citations (1)
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2010)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (2)
     See also Journal Article Asymmetric adjustments in the ethanol and grains markets, Energy Economics, Elsevier (2012) View citations (18) (2012)
183. Estimating Price Effects in an Almost Ideal Demand Model of Outbound Thai Tourism to East Asia
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010)
184. Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2012) View citations (7)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) View citations (10)
     See also Journal Article EVALUATING MACROECONOMIC FORECASTS: A CONCISE REVIEW OF SOME RECENT DEVELOPMENTS, Journal of Economic Surveys, Wiley Blackwell (2014) View citations (1) (2014)
185. Globalization and Knowledge Spillover: International Direct Investment, Exports and Patents
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (2)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (5)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010)
     See also Journal Article Globalization and knowledge spillover: international direct investment, exports and patents, Economics of Innovation and New Technology, Taylor & Francis Journals (2013) View citations (19) (2013)
186. How Should Journal Quality be Ranked? An Application to Agricultural, Energy, Environmental and Resource Economics
     KIER Working Papers, Kyoto University, Institute of Economic Research
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) View citations (1)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) View citations (1)
     See also Journal Article How Should Journal Quality be Ranked? An Application to Agricultural, Energy, Environmental and Resource Economics, Journal of Reviews on Global Economics, Lifescience Global (2014) View citations (8) (2014)
187. Modelling Long Memory Volatility in Agricultural Commodity Futures Return
     KIER Working Papers, Kyoto University, Institute of Economic Research View citations (30)
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) View citations (20)
     CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (7)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) View citations (5)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) View citations (21)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (6)
     See also Journal Article MODELLING LONG MEMORY VOLATILITY IN AGRICULTURAL COMMODITY FUTURES RETURNS, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2012) View citations (19) (2012)
188. Ranking Journal Quality by Harmonic Mean of Ranks: An Application to ISI Statistics & Probability
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (19)
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2012)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) View citations (4)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012)
     See also Journal Article Ranking journal quality by harmonic mean of ranks: an application to ISI statistics & probability, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2013) View citations (17) (2013)
189. Risk Management and Financial Derivatives: An Overview
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2012) View citations (1)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) View citations (1)
     See also Journal Article Risk management and financial derivatives: An overview, The North American Journal of Economics and Finance, Elsevier (2013) View citations (22) (2013)
190. Robust Ranking of Multivariate GARCH Models by Problem Dimension
     KIER Working Papers, Kyoto University, Institute of Economic Research View citations (10)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) View citations (9)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) View citations (7)
     See also Journal Article Robust ranking of multivariate GARCH models by problem dimension, Computational Statistics & Data Analysis, Elsevier (2014) View citations (23) (2014)
191. Statistical Modeling of Recent Changes in Extreme Rainfall in Taiwan
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance
     Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2012)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2012)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012)
192. Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China
     KIER Working Papers, Kyoto University, Institute of Economic Research View citations (6)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012)
     See also Journal Article Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China, Quantitative Finance, Taylor & Francis Journals (2015) View citations (61) (2015)
193. The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2012) View citations (2)
194. What do Experts Know About Ranking Journal Quality? A Comparison with ISI Research Impact in Finance
     KIER Working Papers, Kyoto University, Institute of Economic Research View citations (2)
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) View citations (2)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) View citations (2)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012)

2011

195. Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) View citations (6)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (4)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (3)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) View citations (2)
     See also Journal Article AGGREGATION, HETEROGENEOUS AUTOREGRESSION AND VOLATILITY OF DAILY INTERNATIONAL TOURIST ARRIVALS AND EXCHANGE RATES, The Japanese Economic Review, Japanese Economic Association (2012) View citations (18) (2012)
196. Asymmetry and Long Memory in Volatility Modelling
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2010)
     See also Journal Article Asymmetry and Long Memory in Volatility Modeling, Journal of Financial Econometrics, Oxford University Press (2012) View citations (58) (2012)
197. Causality Between Market Liquidity and Depth for Energy and Grains
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (3)
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2011) View citations (3)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) View citations (3)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
     See also Journal Article Causality between market liquidity and depth for energy and grains, Energy Economics, Elsevier (2012) View citations (24) (2012)
198. Citations and Impact of ISI Tourism and Hospitality Journals
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (14)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) View citations (5)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2011) View citations (20)
199. Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) View citations (38)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (16)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) View citations (31)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (14)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) View citations (14)
     See also Journal Article Conditional correlations and volatility spillovers between crude oil and stock index returns, The North American Journal of Economics and Finance, Elsevier (2013) View citations (135) (2013)
200. Dynamic Conditional Correlations for Asymmetric Processes
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010)
     CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
201. Estimating the Impact of Whaling on Global Whale Watching
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (1)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
     See also Journal Article Estimating the impact of whaling on global whale-watching, Tourism Management, Elsevier (2012) View citations (1) (2012)
202. Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 VIX
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (9)
203. Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) View citations (11)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2011) View citations (11)
204. Evaluating Individual and Mean Non-Replicable Forecasts
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2011)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011)
     See also Journal Article Evaluating Individual and Mean Non-Replicable Forecasts, Journal for Economic Forecasting, Institute for Economic Forecasting (2012) View citations (1) (2012)
205. Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments
     KIER Working Papers, Kyoto University, Institute of Economic Research View citations (1)
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (2)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
206. Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range
     KIER Working Papers, Kyoto University, Institute of Economic Research
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011)
     See also Journal Article Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range, International Journal of Forecasting, Elsevier (2012) View citations (24) (2012)
207. Great Expectatrics: Great Papers, Great Journals, Great Econometrics
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (44)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (37)
     See also Journal Article Great Expectatrics: Great Papers, Great Journals, Great Econometrics, Econometric Reviews, Taylor & Francis Journals (2011) View citations (19) (2011)
208. Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
     KIER Working Papers, Kyoto University, Institute of Economic Research View citations (4)
     Also in Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (7)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (11)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009)
     CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (29)
209. How Volatile is ENSO?
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2010)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009)
210. How are Journal Impact, Prestige and Article Influence Related? An Application to Neuroscience
     KIER Working Papers, Kyoto University, Institute of Economic Research View citations (34)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) View citations (5)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) View citations (25)
     See also Journal Article How are journal impact, prestige and article influence related? An application to neuroscience, Journal of Applied Statistics, Taylor & Francis Journals (2011) View citations (13) (2011)
211. International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (6)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) View citations (1)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2011) View citations (11)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) View citations (20)
     See also Journal Article International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord, Journal of Forecasting, John Wiley & Sons, Ltd. (2013) View citations (13) (2013)
212. Investor Preferences for Oil Spot and Futures based on Mean-Variance and Stochastic Dominance
     KIER Working Papers, Kyoto University, Institute of Economic Research
     Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) View citations (1)
     CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) View citations (1)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (2)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) View citations (5)
213. Modelling and Forecasting Noisy Realized Volatility
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
     Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (1)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2011)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
     See also Journal Article Modelling and forecasting noisy realized volatility, Computational Statistics & Data Analysis, Elsevier (2012) View citations (25) (2012)
214. Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) View citations (4)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (5)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) View citations (1)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2011) View citations (1)
215. Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) View citations (5)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2011) View citations (3)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) View citations (5)
216. Risk Management of Precious Metals
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico View citations (2)
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (1)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2011) View citations (82)
     See also Journal Article Risk management of precious metals, The Quarterly Review of Economics and Finance, Elsevier (2011) View citations (78) (2011)
217. Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (26)
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2011) View citations (24)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) View citations (14)
     See also Journal Article Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures, Mathematics and Computers in Simulation (MATCOM), Elsevier (2013) View citations (5) (2013)
218. Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (20)
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2011) View citations (23)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) View citations (23)
219. Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) View citations (2)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) View citations (1)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2011) View citations (2)
     See also Journal Article Risk spillovers in oil-related CDS, stock and credit markets, Energy Economics, Elsevier (2013) View citations (33) (2013)
220. Structure and Asymptotic theory for Nonlinear Models with GARCH Errors
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (1)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
     See also Journal Article Structure and asymptotic theory for nonlinear models with GARCH erros, Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics] (2015) View citations (2) (2015)
221. Testing the Box-Cox Parameter for an Integrated Process
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2010)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011)
222. The Dynamics of Energy-Grain Prices with Open Interest
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (1)
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2011)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
223. The Rise and Fall of S&P500 Variance Futures
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2011) View citations (7)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) View citations (8)
     See also Journal Article The rise and fall of S&P500 variance futures, The North American Journal of Economics and Finance, Elsevier (2013) View citations (8) (2013)
224. Volatility Spillovers from the Chinese Stock Market to Economic Neighbours
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (3)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) View citations (3)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2011) View citations (7)
     See also Journal Article Volatility spillovers from the Chinese stock market to economic neighbours, Mathematics and Computers in Simulation (MATCOM), Elsevier (2013) View citations (25) (2013)

2010

225. A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (15)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009)
     CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009)
     See also Journal Article A simple expected volatility (SEV) index: Application to SET50 index options, Mathematics and Computers in Simulation (MATCOM), Elsevier (2010) View citations (10) (2010)
226. A Trinomial Test for Paired Data When There are Many Ties
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance
     Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2010)
     See also Journal Article A trinomial test for paired data when there are many ties, Mathematics and Computers in Simulation (MATCOM), Elsevier (2011) View citations (14) (2011)
227. Alternative Asymmetric Stochastic Volatility Models
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance
     Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (10)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (2)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2010)
     See also Journal Article Alternative Asymmetric Stochastic Volatility Models, Econometric Reviews, Taylor & Francis Journals (2011) View citations (35) (2011)
228. Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (30)
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (35)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) View citations (83)
229. Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (98)
     See also Journal Article Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets, Energy Economics, Elsevier (2010) View citations (98) (2010)
230. Article Influence Score = 5YIF divided by 2
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010)
231. Block Structure Multivariate Stochastic Volatility Models
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance
     Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (40)
232. Combining Non-Replicable Forecasts
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010)
233. Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
     KIER Working Papers, Kyoto University, Institute of Economic Research View citations (5)
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) View citations (5)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (13)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) View citations (5)
     See also Journal Article Crude oil hedging strategies using dynamic multivariate GARCH, Energy Economics, Elsevier (2011) View citations (222) (2011)
234. Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
     KIER Working Papers, Kyoto University, Institute of Economic Research View citations (34)
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) View citations (27)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (27)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) View citations (33)
     See also Journal Article DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS, Journal of Economic Surveys, Wiley Blackwell (2012) View citations (120) (2012)
235. Evaluating Combined Non-Replicable Forecast
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
236. Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (4)
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (3)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) View citations (3)
     CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) View citations (3)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) View citations (2)
237. Forecasting Realized Volatility with Linear and Nonlinear Models
     Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (1)
     Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009)
     CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009)
238. Forecasting Realized Volatility with Linear and Nonlinear Univariate Models
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (1)
     See also Journal Article FORECASTING REALIZED VOLATILITY WITH LINEAR AND NONLINEAR UNIVARIATE MODELS, Journal of Economic Surveys, Wiley Blackwell (2011) View citations (14) (2011)
239. GFC-Robust Risk Management Strategies under the Basel Accord
     KIER Working Papers, Kyoto University, Institute of Economic Research View citations (9)
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (8)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) View citations (2)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2010)
     See also Journal Article GFC-robust risk management strategies under the Basel Accord, International Review of Economics & Finance, Elsevier (2013) View citations (18) (2013)
240. How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (17)
     Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (12)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (16)
     See also Journal Article How accurate are government forecasts of economic fundamentals? The case of Taiwan, International Journal of Forecasting, Elsevier (2011) View citations (21) (2011)
241. How does Zinfluence Affect Article Influence?
     KIER Working Papers, Kyoto University, Institute of Economic Research
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010)
242. IV Estimation of a Panel Threshold Model of Tourism Specialization and Economic Development
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (10)
     Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) View citations (30)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (10)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (10)
     See also Journal Article IV Estimation of a Panel Threshold Model of Tourism Specialization and Economic Development, Tourism Economics (2012) View citations (34) (2012)
243. Identifying Shocks in Regionally Integrated East Asian Economies with Structural VAR and Block Exogeneity
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) View citations (32)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (10)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (11)
     See also Journal Article Identifying shocks in regionally integrated East Asian economies with structural VAR and block exogeneity, Mathematics and Computers in Simulation (MATCOM), Elsevier (2011) View citations (30) (2011)
244. Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (11)
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) View citations (7)
     CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (1)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (10)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (7)
     See also Journal Article Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations, Tourism Economics (2011) View citations (18) (2011)
245. Journal Impact Factor Versus Eigenfactor and Article Influence
     KIER Working Papers, Kyoto University, Institute of Economic Research View citations (6)
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) View citations (5)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (6)
246. Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach
     KIER Working Papers, Kyoto University, Institute of Economic Research View citations (71)
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (77)
     See also Journal Article Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach, Energy Economics, Elsevier (2010) View citations (74) (2010)
247. Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach
     CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo View citations (68)
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) View citations (72)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) View citations (74)
248. Model Selection and Testing of Conditional and Stochastic Volatility Models
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (17)
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (13)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (24)
249. Modeling the Effect of Oil Price on Global Fertilizer Prices
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (5)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (5)
250. Modeling the Volatility in Global Fertilizer Prices
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2010)
251. Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
     KIER Working Papers, Kyoto University, Institute of Economic Research View citations (7)
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (1)
     CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) View citations (8)
     See also Journal Article Modelling conditional correlations in the volatility of Asian rubber spot and futures returns, Mathematics and Computers in Simulation (MATCOM), Elsevier (2011) View citations (9) (2011)
252. Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (3)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009)
     See also Journal Article Modelling the asymmetric volatility in hog prices in Taiwan: The impact of joining the WTO, Mathematics and Computers in Simulation (MATCOM), Elsevier (2011) View citations (8) (2011)
253. Moment Restriction-based Econometric Methods: An Overview
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance
     Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010)
254. Moment-based estimation of smooth transition regression models with endogenous variables
     Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (2)
     Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (3)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2008) View citations (1)
     See also Journal Article Moment-based estimation of smooth transition regression models with endogenous variables, Journal of Econometrics, Elsevier (2011) View citations (15) (2011)
255. Ranking Multivariate GARCH Models by Problem Dimension
     CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo View citations (13)
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (13)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) View citations (13)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) View citations (13)
     "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2010) View citations (18)
256. Ten Things We Should Know About Time Series
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (2)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2010)
     See also Journal Article TEN THINGS WE SHOULD KNOW ABOUT TIME SERIES, Journal of Economic Surveys, Wiley Blackwell (2011) (2011)
257. Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (3)
     Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010)
     "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2008)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009)
     CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2010)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
     See also Journal Article Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2011) View citations (9) (2011)
258. Time Series Modelling of Tourism Demand from the USA, Japan and Malaysia to Thailand
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010)
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
259. Value-at-Risk for Country Risk Ratings
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (3)
     Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (2)
     CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009)
     See also Journal Article Value-at-Risk for country risk ratings, Mathematics and Computers in Simulation (MATCOM), Elsevier (2011) View citations (4) (2011)
260. What Makes a Great Journal Great in Economics? The Singer Not the Song
     KIER Working Papers, Kyoto University, Institute of Economic Research
     Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (40)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) View citations (25)
     See also Journal Article WHAT MAKES A GREAT JOURNAL GREAT IN ECONOMICS? THE SINGER NOT THE SONG, Journal of Economic Surveys, Wiley Blackwell (2011) View citations (20) (2011)
261. What Makes a Great Journal Great in the Sciences? Which Came First, the Chicken or the Egg?
     Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (1)
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010)
     KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (45)
     See also Journal Article What makes a great journal great in the sciences? Which came first, the chicken or the egg?, Scientometrics, Springer (2011) View citations (13) (2011)

2009

262. A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (49)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009)
     CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (22)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2008) View citations (7)
263. A General Asymptotic Theory for Time Series Models
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
     See also Journal Article A general asymptotic theory for time‐series models, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2010) View citations (11) (2010)
264. A Panel Threshold Model of Tourism Specialization and Economic Development
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (2)
     Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (23)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (14)
265. A Scientific Classification of Volatility Models
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     See also Journal Article A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS, Journal of Economic Surveys, Wiley Blackwell (2010) View citations (5) (2010)
266. An Econometric Analysis of SARS and Avian Flu on International Tourist Arrivals to Asia
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (3)
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2008) View citations (8)
267. Asymmetry and Leverage in Realized Volatility
     CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo View citations (1)
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2008)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (1)
268. Cruising is Risky Business
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (1)
269. Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (15)
     Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (15)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) View citations (15)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (17)
     See also Journal Article Daily Tourist Arrivals, Exchange Rates and Voatility for Korea and Taiwan, Korean Economic Review, Korean Economic Association (2009) View citations (5) (2009)
270. Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models
     CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo View citations (76)
     Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (61)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009)
271. Does the FOMC Have Expertise, and Can It Forecast?
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2008)
272. Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (1)
     Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (1)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) View citations (1)
273. Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (2)
     Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (1)
274. Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) View citations (4)
     CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (3)
275. How Accurate are Government Forecast of Economic Fundamentals?
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (2)
276. It Pays to Violate: How Effective are the Basel Accord Penalties?
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
     Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (1)
277. Modeling Exchange Rate and Industrial Commodity Volatility Transmissions
     "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (7)
278. Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets
     CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo View citations (15)
     Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (20)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) View citations (23)
279. Modelling International Tourist Arrivals and Volatility: An Application to Taiwan
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
     Also in "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2009) View citations (19)
280. Modelling Short and Long Haul Volatility in Japanese Tourist Arrivals to New Zealand and Taiwan
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (3)
281. Modelling Sustainable International Tourism Demand to the Brazilian Amazon
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (13)
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2008) View citations (9)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009)
282. Modelling and Forecasting Daily International Mass Tourism to Peru
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (19)
     See also Journal Article Modelling and forecasting daily international mass tourism to Peru, Tourism Management, Elsevier (2010) View citations (30) (2010)
283. Modelling the Growth and Volatility in Daily International Mass Tourism to Peru
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
284. Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (6)
     Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (7)
     See also Journal Article Modelling the interactions across international stock, bond and foreign exchange markets, Applied Economics, Taylor & Francis Journals (2010) View citations (31) (2010)
285. On the Robustness of Alternative Rankings Methodologies For Australian and New Zealand Economics Departments
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (2)
286. Optimal Risk Management Before, During and After the 2008-09 Financial Crisis
     CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo View citations (7)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009)
     MPRA Paper, University Library of Munich, Germany (2009)
287. Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (5)
     Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (1)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) View citations (34)
     See also Journal Article Precious metals-exchange rate volatility transmissions and hedging strategies, International Review of Economics & Finance, Elsevier (2010) View citations (148) (2010)
288. Risk Management for International Tourist Arrivals: An Application to the Balearic Islands, Spain
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (2)
289. Testing the Box-Cox Parameter in an Integrated Process
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
290. The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico View citations (7)
     See also Journal Article THE TEN COMMANDMENTS FOR MANAGING VALUE AT RISK UNDER THE BASEL II ACCORD, Journal of Economic Surveys, Wiley Blackwell (2009) View citations (45) (2009)
291. The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges
     CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo View citations (49)
     Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (49)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2008) View citations (13)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009) View citations (7)
     See also Journal Article THE TEN COMMANDMENTS FOR OPTIMIZING VALUE‐AT‐RISK AND DAILY CAPITAL CHARGES, Journal of Economic Surveys, Wiley Blackwell (2009) View citations (58) (2009)
292. VaR Forecast and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
     Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (1)
     CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (1)
293. Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return
     CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo View citations (25)
     Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (25)
294. What Happened to Risk Management During the 2008-09 Financial Crisis?
     CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo View citations (2)
     Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009)
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (3)
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009)

2008

295. A simple expected volatility (SEV) index
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
296. Expert opinion versus expertise in forecasting
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (2)
     See also Journal Article Expert opinion versus expertise in forecasting, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2009) View citations (44) (2009)
297. Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (42)
     See also Journal Article Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets, The Quarterly Review of Economics and Finance, Elsevier (2009) View citations (114) (2009)

2007

298. Econometric modelling in finance and risk management: An overview
     MPRA Paper, University Library of Munich, Germany View citations (1)
     See also Journal Article Econometric modelling in finance and risk management: An overview, Journal of Econometrics, Elsevier (2008) (2008)
299. On the Robustness of Alternative Rankings Methodologies: Australian and New Zealand Economics Departments, 1988-2002
     MPRA Paper, University Library of Munich, Germany View citations (4)
     See also Journal Article On the robustness of alternative rankings methodologies: Australian and New Zealand economics departments, 1988 to 2002, Applied Economics, Taylor & Francis Journals (2010) View citations (2) (2010)
300. Patent Activity and Technical Change
     DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada View citations (6)
     Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2003)
     See also Journal Article Patent activity and technical change, Journal of Econometrics, Elsevier (2007) View citations (6) (2007)

2006

301. Multivariate Stochastic Volatility
     Microeconomics Working Papers, East Asian Bureau of Economic Research View citations (247)
302. Realized volatility: a review
     Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (54)
     See also Journal Article Realized Volatility: A Review, Econometric Reviews, Taylor & Francis Journals (2008) View citations (268) (2008)

2005

303. Asymmetric Multivariate Stochastic Volatility
     DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada View citations (11)
     See also Journal Article Asymmetric Multivariate Stochastic Volatility, Econometric Reviews, Taylor & Francis Journals (2006) View citations (65) (2006)
304. Managing Value-at-Risk in Daily Tourist Tax Revenues for the Maldives
     DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada
305. Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments
     DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada View citations (3)
     See also Journal Article Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments, Econometric Reviews, Taylor & Francis Journals (2009) View citations (1) (2009)
306. Risk Management of Daily Tourist Tax Revenues for the Maldives
     Working Papers, Fondazione Eni Enrico Mattei View citations (8)
     Also in Natural Resources Management Working Papers, Fondazione Eni Enrico Mattei (FEEM) (2005) View citations (4)

2004

307. Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns
     Working Papers, Fondazione Eni Enrico Mattei View citations (9)
     See also Journal Article Modeling dynamic conditional correlations in WTI oil forward and futures returns, Finance Research Letters, Elsevier (2006) View citations (43) (2006)
308. Modelling Environmental Risk
     IHEID Working Papers, Economics Section, The Graduate Institute of International Studies View citations (15)

2003

309. Asian Monetary Integration: A Structural VAR Approach
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (11)
     See also Journal Article Asian monetary integration: a structural VAR approach, Mathematics and Computers in Simulation (MATCOM), Elsevier (2004) View citations (15) (2004)
310. Asymptotic Properties of the Estimator of the Long-run Coefficient in a Dynamic Model with Integrated Regressors and Serially Correlated Errors
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
     Also in ISER Discussion Paper, Institute of Social and Economic Research, Osaka University (2001)
     See also Journal Article Asymptotic Properties Of The Estimator Of The Long‐Run Coefficient In A Dynamic Model With Integrated Regressors And Serially Correlated Errors, The Japanese Economic Review, Japanese Economic Association (2003) (2003)
311. Convergence and Catching Up in ASEAN: A Comparative Analysis
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (5)
     See also Journal Article Convergence and catching up in ASEAN: a comparative analysis, Applied Economics, Taylor & Francis Journals (2004) View citations (33) (2004)
312. Ecologically Sustainable Tourism Management
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (5)
313. Environmental Technology Strengths: International Rankings Based on US Patent Data
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (3)
314. Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (31)
     Also in ISER Discussion Paper, Institute of Social and Economic Research, Osaka University (2001) View citations (8)
     See also Journal Article Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence, Econometric Reviews, Taylor & Francis Journals (2003) View citations (36) (2003)
315. Fat Tails and Asymmetry in Financial Volatility Models
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (9)
     See also Journal Article Fat tails and asymmetry in financial volatility models, Mathematics and Computers in Simulation (MATCOM), Elsevier (2004) View citations (17) (2004)
316. Input-output Structure and Growth in China
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
     See also Journal Article Input–output structure and growth in China, Mathematics and Computers in Simulation (MATCOM), Elsevier (2004) View citations (4) (2004)
317. Modelling International Travel Demand from Singapore to Australia
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (5)
318. Modelling the Asymmetric Volatility of Electronics Patents in the USA
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
     See also Journal Article Modelling the asymmetric volatility of electronics patents in the USA, Mathematics and Computers in Simulation (MATCOM), Elsevier (2004) View citations (1) (2004)
319. On the Structure, Asymptotic Theory and Applications of STAR-GARCH Models
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (1)
320. Pricing of Non-ferrous Metals Futures on the London Metal Exchange
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (2)
     See also Journal Article Pricing of non-ferrous metals futures on the London Metal Exchange, Applied Financial Economics, Taylor & Francis Journals (2006) View citations (24) (2006)
321. Regression Quantiles for Unstable Autoregressive Models
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
     Also in ISER Discussion Paper, Institute of Social and Economic Research, Osaka University (2001)
     See also Journal Article Regression quantiles for unstable autoregressive models, Journal of Multivariate Analysis, Elsevier (2004) View citations (4) (2004)
322. Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (8)
323. Volatility Models of Currency Futures in Developed and Emerging Markets
     CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
     See also Journal Article Volatility models of currency futures in developed and emerging markets, Mathematics and Computers in Simulation (MATCOM), Elsevier (2004) View citations (2) (2004)

2002

324. Volatility of a Market Index and its Components: An Application to Commodity Markets
     Computing in Economics and Finance 2002, Society for Computational Economics View citations (1)

2001

325. A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors
     ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (15)
326. Asymptotic Theory for a Vector ARMA-GARCH Model
     ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (2)
     See also Journal Article ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL, Econometric Theory, Cambridge University Press (2003) View citations (645) (2003)
327. Comparing Tests of Autoregressive Versus Moving Average Errors in Regression Models Using Bahadur's Asymptotic Relative Efficiency
     ISER Discussion Paper, Institute of Social and Economic Research, Osaka University
328. Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers
     ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (2)
     See also Journal Article Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers, Applied Financial Economics, Taylor & Francis Journals (2003) View citations (29) (2003)
329. Modelling the Determinants of International Tourism Demand to Australia
     ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (7)
330. Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models
     ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (45)
     See also Journal Article NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS, Econometric Theory, Cambridge University Press (2002) View citations (159) (2002)
331. On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors
     ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (83)
332. Stationarity and the Existence of Moments of a Family of GARCH Processes
     ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (11)
     See also Journal Article Stationarity and the existence of moments of a family of GARCH processes, Journal of Econometrics, Elsevier (2002) View citations (210) (2002)
333. Testing Multiple Non-nested Factor Demand Systems
     ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (3)
     See also Journal Article Testing Multiple Non‐Nested Factor Demand Systems, Bulletin of Economic Research, Wiley Blackwell (2005) View citations (1) (2005)
334. Time Series Forecasts of International Tourism Demand for Australia
     ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (24)

1995

335. Testing Nested and Non-Nested Periodically Integrated Autoregressive Models
     Discussion Paper, Tilburg University, Center for Economic Research View citations (2)
     Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1995) View citations (2)
     Working Papers, Tilburg - Center for Economic Research (1995) View citations (5)

1994

336. Simplicity, scientific inference and econometric modelling
     Other publications TiSEM, Tilburg University, School of Economics and Management
     Also in Discussion Paper, Tilburg University, Center for Economic Research (1994) View citations (19)

1993

337. Cointegration and Direct Tests of the Rational Expectations Hypothesis
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (7)

1991

338. COMPARING THE EMPIRICAL PERFOMANCE OF ALTERNATIVE DEMAND SYSTEMS
     Working Papers, Tilburg - Center for Economic Research
     Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1991) View citations (2)
     Discussion Paper, Tilburg University, Center for Economic Research (1991) View citations (2)
     Working Papers, Tilburg - Center for Economic Research (1991) View citations (4)
339. Keynesian and new classical models of unemployment revisited
     Other publications TiSEM, Tilburg University, School of Economics and Management View citations (9)
     Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1990)
     Discussion Paper, Tilburg University, Center for Economic Research (1990)
     Working Papers, Tilburg - Center for Economic Research (1990)
     See also Journal Article Keynesian and New Classical Models of Unemployment Revisited, Economic Journal, Royal Economic Society (1991) View citations (15) (1991)

1990

340. A MOTE CARLO COMPARISON OF OLS,IV,FIML AND BOOTSTRAP STANDARD ERRORS IN LINEAR MODELS WITH GENERATED REGRESSORS
     Working Papers, Australian National University - Department of Economics View citations (1)
341. ALTERNATIVE APPROACHES TO TESTING NON-NESTED MODELS WITH AUTOCORRELATED DISTURBANCES: AN APPLICATION TO MODELS OF U.S. UNEMPLOYMENT
     Working Papers, California Los Angeles - Applied Econometrics View citations (2)
     Also in Discussion Paper, Tilburg University, Center for Economic Research (1990) View citations (2)
     Other publications TiSEM, Tilburg University, School of Economics and Management (1990) View citations (1)
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990) View citations (2)
342. Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing
     Working Papers, Australian National University - Department of Economics View citations (6)
     See also Journal Article Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1995) View citations (64) (1995)
343. DISCRIMINATION BETWEEN NESTED TWO- AND THREE-PARAMETER DISTRIBUTIONS: AN APPLICATION TO MODELS OF AIR POLLUTION
     Working Papers, Tilburg - Center for Economic Research
     Also in Working Papers, Australian National University - Department of Economics (1990)
     Other publications TiSEM, Tilburg University, School of Economics and Management (1990)
     Discussion Paper, Tilburg University, Center for Economic Research (1990)
344. DISCRIMINATION PROCEDURES FOR FITTING NESTED AND NON-NESTED DISTRIBUTIONS TO ENVIRONMENTAL QUALITY DATA
     Working Papers, Australian National University - Department of Economics
345. ESTIMATION AND DISCRIMINATION OF ALTERNATIVE AIR POLLUTION MODELS
     Working Papers, Australian National University - Department of Economics View citations (5)
346. ON THE ROBUSTNESS OF BARRO'S NEW CLASSICAL UNEMPLOYMENT MODEL
     Working Papers, Australian National University - Department of Economics View citations (5)
347. On Efficient Estimation and Correct Inference in Models with Generated Regressions: A General Approach
     Working Papers, Australian National University - Department of Economics View citations (6)
     See also Journal Article On Efficient Estimation and Correct Inference in Models with Generated Regressors: a General Approach, The Japanese Economic Review, Japanese Economic Association (1997) View citations (114) (1997)
348. SIMPLE PROCEDURES FOR TESTING AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS
     Working Papers, Australian National University - Department of Economics View citations (2)
     See also Journal Article Simple Procedures for Testing Autoregressive Versus Moving Average Errors in Regression Models, The Japanese Economic Review, Japanese Economic Association (1999) View citations (4) (1999)

1989

349. A NEW APPROACH TO MAXIMUM LIKELIHOOD ESTIMATION OF THE THREE-PARAMATER GAMMA AND WEIBULL DISTRIBUTIONS
     Working Papers, Australian National University - Department of Economics View citations (5)
350. ESTIMATING THE PERCENTILES OF SOME MISSPECIFIED NON-NESTED DISTRIBUTIONS
     Working Papers, Australian National University - Department of Economics View citations (1)
351. JOINT TEST OF NON-NESTED MODELS AND GENERAL ERRO SPECIFICATIONS
     Working Papers, California Los Angeles - Applied Econometrics View citations (3)
352. JOINT TESTS OF NON-NESTED MODLS AND GENERAL ERROR SPECIFICATIONS
     ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (2)
353. ON THE ROBUSTNESS OF TESTS OF OUTLIERS AND FUNCTIONAL FORM
     ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (1)
354. THE EFFECTS OF MISSPECIFICATION IN ESTIMATING THE PERCENTILES OF SOME TWO -AND THREE-PARAMETER DISTRIBUTIONS
     Working Papers, Australian National University - Department of Economics View citations (1)
     Also in ISER Discussion Paper, Institute of Social and Economic Research, Osaka University (1989) View citations (1)
     See also Journal Article The effects of misspecification in estimating the percentiles of some two- and three-parameter distributions, Mathematics and Computers in Simulation (MATCOM), Elsevier (1990) View citations (2) (1990)

1988

355. SOME POWER COMPARISONS OF JOINT AND PAIRED TESTS FOR NON-NESTED MODELS UNDER LOCAL HYPOTHESES
     Working Papers, Australian National University - Department of Economics View citations (10)
     See also Journal Article Some Power Comparisons of Joint and Paired Tests for Nonnested Models under Local Hypotheses, Econometric Theory, Cambridge University Press (1989) View citations (10) (1989)

1985

356. On the Consistency of Joint and Paired Tests for Non-Nested Regression Models
     Working Paper, Economics Department, Queen's University View citations (4)
357. What Will Take the Con Out of Econometrics?
     CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (102)
     See also Journal Article What Will Take the Con out of Econometrics?, American Economic Review, American Economic Association (1985) View citations (98) (1985)

1983

358. Some exact tests for model specification
     LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (4)
     See also Journal Article Some Exact Tests for Model Specification, The Review of Economics and Statistics, MIT Press (1983) View citations (4) (1983)

1982

359. A Note on Identifiability in the Linear Expenditure Family
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
     See also Journal Article A Note on Identifiability in the Linear Expenditure Family, Australian Economic Papers, Wiley Blackwell (1982) (1982)
360. Separate Misspecified Regressions and the U.S. Long Run Demand for Money Function
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (6)
     See also Journal Article Separate Misspecified Regressions and the U.S. Long-Run Demand for Money Function, The Review of Economics and Statistics, MIT Press (1982) View citations (5) (1982)
361. Testing Separate Regression Models Subject to Specification Error
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (2)
     Also in Working Paper, Economics Department, Queen's University (1981)
     See also Journal Article Testing separate regression models subject to specification error, Journal of Econometrics, Elsevier (1982) View citations (2) (1982)

1981

362. Alternative Procedures and Associated Tests of Significance for Non-Nested Hypotheses
     Working Paper, Economics Department, Queen's University View citations (69)
     See also Journal Article Alternative procedures and associated tests of significance for non-nested hypotheses, Journal of Econometrics, Elsevier (1981) View citations (77) (1981)
363. Exact Tests of a Model Against Non-Nested Alternatives
     Working Paper, Economics Department, Queen's University View citations (8)
364. Separate Misspecified Regressions
     Working Paper, Economics Department, Queen's University View citations (1)

1980

365. Exogeneity and Money Demand in a Small Open Economy: The Canadian Case
     Working Paper, Economics Department, Queen's University
366. Interest Rates and Durability in the Linear Expenditure Family
     Working Paper, Economics Department, Queen's University
     Also in Queen's Institute for Economic Research Discussion Papers, Queen's University - Department of Economics (1980)
     See also Journal Article Interest Rates and Durability in the Linear Expenditure Family, Canadian Journal of Economics, Canadian Economics Association (1981) View citations (1) (1981)
367. Principles and Methods in the Testing of Alternative Models
     Working Paper, Economics Department, Queen's University View citations (1)
     Also in Queen's Institute for Economic Research Discussion Papers, Queen's University - Department of Economics (1980) View citations (1)
368. The Interpretation of the Cox Test in Econometrics
     Working Paper, Economics Department, Queen's University View citations (2)
     See also Journal Article On the interpretation of the cox test in econometrics, Economics Letters, Elsevier (1979) View citations (7) (1979)
369. Two Papers on Linear Models
     Working Paper, Economics Department, Queen's University
     Also in Queen's Institute for Economic Research Discussion Papers, Queen's University - Department of Economics (1980)
370. Two Papers on Model Testing and Discrimination
     Queen's Institute for Economic Research Discussion Papers, Queen's University - Department of Economics
     Also in Working Paper, Economics Department, Queen's University (1980)

1979

371. A Note On Problems of Estimating the Linear Expenditure System and Its Related Forms
     Queen's Institute for Economic Research Discussion Papers, Queen's University - Department of Economics
372. Durable Goods in the Extended Linear Expenditure System: An Empirical Appraisal
     Working Paper, Economics Department, Queen's University View citations (1)
373. Estimation of the Consumption Function: A Systems Approach to Employment Effects on the Purchases of Durables
     Working Paper, Economics Department, Queen's University View citations (3)
374. Problems of Estimating the Linear Expenditure System and its Related Forms
     Working Paper, Economics Department, Queen's University
375. Theory and Econometric Evaluation of a Systems Approach to Money Demand, The Canadian Case
     Working Paper, Economics Department, Queen's University

1978

376. Application of Transitional Phase Polynomials to a Model of Trade Union Growth in Canada
     Working Paper, Economics Department, Queen's University

Journal Articles

2023

1. Drawbacks in the 3-Factor Approach of Fama and French (2018)
   Annals of Financial Economics (AFE), 2023, 18, (01), 1-26
   See also Working Paper Drawbacks in the 3-Factor Approach of Fama and French (2018), Econometric Institute Research Papers (2019) (2019)

2022

2. Bayesian Analysis of Realized Matrix-Exponential GARCH Models
   Computational Economics, 2022, 59, (1), 103-123
   See also Working Paper Bayesian Analysis of Realized Matrix-Exponential GARCH Models, Econometric Institute Research Papers (2018) (2018)
3. Impact of COVID-19 on returns-volatility spillovers in national and regional carbon markets in China
   Renewable and Sustainable Energy Reviews, 2022, 169, (C)
4. Multivariate Hyper-Rotated GARCH-BEKK
   Journal of Time Series Econometrics, 2022, 14, (2), 175-198 View citations (1)
5. Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
   Journal of Econometrics, 2022, 227, (1), 285-304 View citations (2)
6. Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization
   Econometrics and Statistics, 2022, 24, (C), 133-150
   See also Working Paper Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization, Tinbergen Institute Discussion Papers (2016) View citations (5) (2016)
7. Trump’s COVID-19 tweets and Dr. Fauci’s emails
   Scientometrics, 2022, 127, (3), 1643-1655
8. “Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Some Antecedents on Causality
   Journal of the American Statistical Association, 2022, 117, (537), 214-224 View citations (1)

2021

9. A Critical Analysis of Some Recent Medical Research in Science on COVID-19
   Advances in Decision Sciences, 2021, 25, (1), 216-332 View citations (1)
10. A Critique of Recent Medical Research in JAMA on COVID-19
    Advances in Decision Sciences, 2021, 25, (1), 40-142 View citations (2)
11. A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of the FTSE and S&P500 Indexes
    Risks, 2021, 9, (11), 1-20 View citations (5)
12. ASSET INVESTMENT DIVERSIFICATION, BANKRUPTCY RISK AND THE MEDIATING ROLE OF BUSINESS DIVERSIFICATION
    Annals of Financial Economics (AFE), 2021, 16, (01), 1-26
13. Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models
    Econometrics, 2021, 9, (2), 1-21
14. Common Mental Disorders and Economic Uncertainty: Evidence from the COVID-19 Pandemic in the U.S
    PLOS ONE, 2021, 16, (12), 1-14
15. EVALUATING THE EFFICIENCY OF VIETNAM BANKS USING DATA ENVELOPMENT ANALYSIS
    Annals of Financial Economics (AFE), 2021, 16, (02), 1-17 View citations (2)
16. Predicting COVID-19 Cases and Deaths in the USA from Tests and State Populations
    Advances in Decision Sciences, 2021, 25, (2), 1-27 View citations (2)
17. SUBMISSIONS AND ACCEPTANCES FOR THE ANNALS OF FINANCIAL ECONOMICS (AFE)
    Annals of Financial Economics (AFE), 2021, 16, (01), 1-2
18. Specification and Estimation of a Logistic Function, with Applications in the Sciences and Social Sciences
    Advances in Decision Sciences, 2021, 25, (2), 74-104 View citations (1)
19. Spurious Relationships for Nearly Non-Stationary Series
    JRFM, 2021, 14, (8), 1-24 View citations (3)
20. Spurious cross-sectional dependence in credit spread changes
    Econometrics and Statistics, 2021, 18, (C), 12-27
    See also Working Paper Spurious Cross-Sectional Dependence in Credit Spread Changes, Documentos de Trabajo del ICAE (2018) (2018)
21. The Safety of Banks in Vietnam Using CAMEL
    Advances in Decision Sciences, 2021, 25, (2), 158-192 View citations (1)
22. ZERO-INFLATED POISSON REGRESSION MODELS: APPLICATIONS IN THE SCIENCES AND SOCIAL SCIENCES
    Annals of Financial Economics (AFE), 2021, 16, (02), 1-19 View citations (1)

2020

23. A Charter for Sustainable Tourism after COVID-19
    Sustainability, 2020, 12, (9), 1-4 View citations (59)
24. A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index
    Energies, 2020, 13, (15), 1-11 View citations (6)
25. Alternative Global Health Security Indexes for Risk Analysis of COVID-19
    IJERPH, 2020, 17, (9), 1-17 View citations (4)
26. Causality between CO2 Emissions and Stock Markets
    Energies, 2020, 13, (11), 1-14 View citations (8)
27. Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates
    Journal of Time Series Econometrics, 2020, 12, (1), 18 View citations (1)
    See also Working Paper Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates, Documentos de Trabajo del ICAE (2018) (2018)
28. Comments on Recent COVID-19 Research in JAMA
    Advances in Decision Sciences, 2020, 24, (3), 63-83 View citations (2)
29. Do We Need Stochastic Volatility and Generalised Autoregressive Conditional Heteroscedasticity? Comparing Squared End-Of-Day Returns on FTSE
    Risks, 2020, 8, (1), 1-20 View citations (1)
30. FINANCIAL INTEGRATION, ENERGY CONSUMPTION AND ECONOMIC GROWTH IN VIETNAM
    Annals of Financial Economics (AFE), 2020, 15, (03), 1-19 View citations (3)
31. FLATTENING THE CURVE IN RISK MANAGEMENT OF COVID-19: DO LOCKDOWNS WORK?
    Annals of Financial Economics (AFE), 2020, 15, (04), 1-26
32. Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks
    International Journal of Forecasting, 2020, 36, (3), 933-948 View citations (83)
    See also Working Paper Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks, Working Papers (2019) View citations (3) (2019)
33. Herding behaviour in energy stock markets during the Global Financial Crisis, SARS, and ongoing COVID-19*
    Renewable and Sustainable Energy Reviews, 2020, 134, (C) View citations (49)
34. Impact of Board Characteristics and State Ownership on Dividend Policy in Vietnam
    Advances in Decision Sciences, 2020, 24, (4), 1-34
35. Information Sharing, Bank Penetration and Tax Evasion in Emerging Markets
    Risks, 2020, 8, (2), 1-16 View citations (2)
36. Is One Diagnostic Test for COVID-19 Enough?
    JRFM, 2020, 13, (4), 1-3
37. Net Interest Marginof Commercial Banks in Vietnam
    Advances in Decision Sciences, 2020, 24, (1), 1-27 View citations (3)
38. PREDICTING CASES AND DEATHS IN EUROPE FROM COVID-19 TESTS AND COUNTRY POPULATIONS
    Annals of Financial Economics (AFE), 2020, 15, (04), 1-15
39. Prevention Is Better Than the Cure: Risk Management of COVID-19
    JRFM, 2020, 13, (3), 1-5 View citations (31)
40. Protecting Scientific Integrity and Public Policy Pronouncements on COVID-19
    Advances in Decision Sciences, 2020, 24, (1), 70-84 View citations (3)
41. Realized stochastic volatility models with generalized Gegenbauer long memory
    Econometrics and Statistics, 2020, 16, (C), 42-54 View citations (2)
    See also Working Paper Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory, Econometric Institute Research Papers (2017) View citations (9) (2017)
42. Review Papers for Journal of Risk and Financial Management ( JRFM )
    JRFM, 2020, 13, (8), 1-4
43. Review on Efficiency and Anomalies in Stock Markets
    Economies, 2020, 8, (1), 1-51 View citations (13)
44. Risk Management of COVID-19 by Universities in China
    JRFM, 2020, 13, (2), 1-6 View citations (50)
45. Risk and Financial Management of COVID-19 in Business, Economics and Finance
    JRFM, 2020, 13, (5), 1-7 View citations (19)
46. Seeking Clarity in a World Infected by COVID-19 and Fake News
    Advances in Decision Sciences, 2020, 24, (4), 35-43 View citations (1)
47. Summary of Advances in Decision Sciences (ADS) - 2020
    Advances in Decision Sciences, 2020, 24, (4), 89-100 View citations (1)
48. Systematic Risk at the Industry Level: A Case Study of Australia
    Risks, 2020, 8, (2), 1-12 View citations (1)
49. Ten Most Highly Cited Papers in Journal of Risk and Financial Management (JRFM), 2018–2020
    JRFM, 2020, 13, (12), 1-5
50. The Future of Tourism in the COVID-19 Era
    Advances in Decision Sciences, 2020, 24, (3), 218-230 View citations (6)

2019

51. A New Inequality Measure that is Sensitive to Extreme Values and Asymmetries
    Advances in Decision Sciences, 2019, 23, (1), 31-61 View citations (2)
    See also Working Paper A New Inequality Measure that is Sensitive to Extreme Values and Asymmetries, Documentos de Trabajo del ICAE (2017) (2017)
52. Applications of the Newton-Raphson Method in Decision Sciences and Education
    Advances in Decision Sciences, 2019, 23, (4), 52-80 View citations (3)
53. Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
    International Review of Economics & Finance, 2019, 59, (C), 50-70 View citations (5)
    See also Working Paper Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?, Documentos de Trabajo del ICAE (2016) (2016)
54. Choosing expected shortfall over VaR in Basel III using stochastic dominance
    International Review of Economics & Finance, 2019, 60, (C), 95-113 View citations (10)
    See also Working Paper Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance, Tinbergen Institute Discussion Papers (2015) View citations (3) (2015)
55. Corporate Financial Distress of Industry Level Listings in Vietnam
    JRFM, 2019, 12, (4), 1-17 View citations (4)
56. Daily market news sentiment and stock prices
    Applied Economics, 2019, 51, (30), 3212-3235 View citations (20)
    See also Working Paper Daily Market News Sentiment and Stock Prices, Documentos de Trabajo del ICAE (2015) (2015)
57. Developing Formulas for Quick Calculation of Polyhedron Volume in Spatial Geometry: Application to Vietnam
    Journal of Reviews on Global Economics, 2019, 8, 815-837 View citations (4)
58. Energy Consumption and Economic Growth: Evidence from Vietnam
    Journal of Reviews on Global Economics, 2019, 8, 350-361 View citations (15)
    See also Working Paper Energy Consumption and Economic Growth: Evidence from Vietnam, Econometric Institute Research Papers (2019) View citations (10) (2019)
59. Establishing national carbon emission prices for China
    Renewable and Sustainable Energy Reviews, 2019, 106, (C), 1-16 View citations (14)
    See also Working Paper Establishing National Carbon Emission Prices for China, Econometric Institute Research Papers (2018) View citations (1) (2018)
60. FINANCIAL INCLUSION AND MACROECONOMIC STABILITY IN EMERGING AND FRONTIER MARKETS
    Annals of Financial Economics (AFE), 2019, 14, (02), 1-15 View citations (14)
    See also Working Paper Financial inclusion and macroeconomic stability in emerging and frontier markets, Documentos de Trabajo del ICAE (2019) (2019)
61. Fake News and Propaganda: Trump’s Democratic America and Hitler’s National Socialist (Nazi) Germany
    Sustainability, 2019, 11, (19), 1-19
    See also Working Paper Fake News and Propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany, Econometric Institute Research Papers (2019) (2019)
62. Firm History and Managerial Entrenchment: Empirical Evidence for Vietnam Listed Firms
    Journal of Reviews on Global Economics, 2019, 8, 803-814
63. Market Risk Analysis of Energy in Vietnam
    Risks, 2019, 7, (4), 1-13 View citations (2)
64. Modeling Latent Carbon Emission Prices for Japan: Theory and Practice
    Energies, 2019, 12, (21), 1-21 View citations (1)
65. Modeling and Testing Volatility Spillovers in Oil and Financial Markets for the USA, the UK, and China
    Energies, 2019, 12, (8), 1-24 View citations (7)
    See also Working Paper Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China, Econometric Institute Research Papers (2016) (2016)
66. Modeling the Relationship between Crude Oil and Agricultural Commodity Prices
    Energies, 2019, 12, (7), 1-41 View citations (29)
    See also Working Paper Modelling the relationship between crude oil and agricultural commodity prices, Documentos de Trabajo del ICAE (2019) View citations (2) (2019)
67. Modelling Economic Growth, Carbon Emissions, and Fossil Fuel Consumption in China: Cointegration and Multivariate Causality
    IJERPH, 2019, 16, (21), 1-35 View citations (26)
68. Size, Internationalization, and University Rankings: Evaluating and Predicting Times Higher Education (THE) Data for Japan
    Sustainability, 2019, 11, (5), 1-12 View citations (1)
    See also Working Paper Size, Internationalization and University Rankings: Evaluating and Predicting Times Higher Education (THE) Data for Japan, Econometric Institute Research Papers (2019) View citations (2) (2019)
69. Summary of Advances in Decision Sciences (ADS) - 2019
    Advances in Decision Sciences, 2019, 23, (4), 81-93 View citations (2)
70. The Gender Wealth Gap by Household Head in Vietnam
    Advances in Decision Sciences, 2019, 23, (3), 122-153 View citations (4)
71. The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures
    Energies, 2019, 12, (17), 1-17 View citations (35)
    See also Working Paper The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures, Working Papers (2019) View citations (36) (2019)
72. The fiction of full BEKK: Pricing fossil fuels and carbon emissions
    Finance Research Letters, 2019, 28, (C), 11-19 View citations (12)
    See also Working Paper The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions, Tinbergen Institute Discussion Papers (2018) View citations (19) (2018)
73. Volatility spillovers for spot, futures, and ETF prices in agriculture and energy
    Energy Economics, 2019, 81, (C), 779-792 View citations (18)
74. What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity and (Non-) Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model
    JRFM, 2019, 12, (2), 1-7 View citations (20)
    See also Working Paper What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model, Documentos de Trabajo del ICAE (2019) View citations (1) (2019)
75. What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity, and (Non-) Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model
    JRFM, 2019, 12, (2), 1-9 View citations (16)
    See also Working Paper What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model, Econometric Institute Research Papers (2019) View citations (19) (2019)

2018

76. 22ND ANNIVERSARY SPECIAL ISSUE OF ADVANCES IN DECISION SCIENCES (ADS), 1997-2018
    Advances in Decision Sciences, 2018, 22, (1), 1-12 View citations (4)
77. A Statistical Analysis of Industrial Penetration and Internet Intensity in Taiwan
    Future Internet, 2018, 10, (3), 1-26
    See also Working Paper A Statistical Analysis of Industrial Penetration and Internet Intensity in Taiwan, Tinbergen Institute Discussion Papers (2018) (2018)
78. A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices
    Applied Economics, 2018, 50, (7), 804-823 View citations (14)
    See also Working Paper A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices, Tinbergen Institute Discussion Papers (2016) View citations (1) (2016)
79. An Event Study Analysis of Political Events, Disasters, and Accidents for Chinese Tourists to Taiwan
    Sustainability, 2018, 10, (11), 1-77 View citations (3)
80. Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections
    JRFM, 2018, 11, (1), 1-29 View citations (9)
    See also Working Paper Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections, Econometric Institute Research Papers (2018) View citations (11) (2018)
81. Confucius and Herding Behaviour in the Stock Markets in China and Taiwan
    Sustainability, 2018, 10, (12), 1-16 View citations (13)
82. Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK
    JRFM, 2018, 11, (4), 1-25 View citations (3)
    See also Working Paper Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK, Documentos de Trabajo del ICAE (2018) (2018)
83. DECISION SCIENCES, ECONOMICS, FINANCE, BUSINESS, COMPUTING, AND BIG DATA: CONNECTIONS
    Advances in Decision Sciences, 2018, 22, (1), 36-94 View citations (3)
84. EDITORIAL NOTE: REVIEW PAPERS FOR ANNALS OF FINANCIAL ECONOMICS
    Annals of Financial Economics (AFE), 2018, 13, (01), 1-2 View citations (1)
85. Editorial Note: Review Papers for Journal of Risk and Financial Management (JRFM)
    JRFM, 2018, 11, (2), 1-2 View citations (1)
86. Editorial Statement of Intent for Advances in Decision Sciences (ADS): 22nd Anniversary Special Issue in 2018
    Advances in Decision Sciences, 2018, 22, (1), 13-22 View citations (5)
87. FAKE NEWS AND INDIFFERENCE TO TRUTH: DISSECTING TWEETS AND STATE OF THE UNION ADDRESSES BY PRESIDENTS OBAMA AND TRUMP
    Advances in Decision Sciences, 2018, 22, (1), 180-203 View citations (5)
    See also Working Paper Fake News and Indifference to Truth: Dissecting Tweets and State of the Union Addresses by Presidents Obama and Trump, Tinbergen Institute Discussion Papers (2018) View citations (5) (2018)
88. Fake news and indifference to scientific fact: President Trump’s confused tweets on global warming, climate change and weather
    Scientometrics, 2018, 117, (1), 625-629 View citations (7)
    See also Working Paper Fake News and Indifference to Scientific Fact: President Trump's Confused Tweets on Global Warming, Climate Change and Weather, Documentos de Trabajo del ICAE (2018) (2018)
89. Financial Credit Risk Evaluation Based on Core Enterprise Supply Chains
    Sustainability, 2018, 10, (10), 1-17 View citations (17)
    See also Working Paper Financial credit risk evaluation based on core enterprise supply chains, Documentos de Trabajo del ICAE (2019) (2019)
90. Joint and Cross-Border Patents as Proxies for International Technology Diffusion
    International Journal of Innovation and Technology Management (IJITM), 2018, 15, (02), 1-29 View citations (1)
    See also Working Paper Joint and Cross-border Patents as Proxies for International Technology Diffusion, Tinbergen Institute Discussion Papers (2017) (2017)
91. Long Run Returns Predictability and Volatility with Moving Averages
    Risks, 2018, 6, (4), 1-18 View citations (7)
    See also Working Paper Long Run Returns Predictability and Volatility with Moving Averages, Documentos de Trabajo del ICAE (2018) View citations (1) (2018)
92. Market Timing with Moving Averages
    Sustainability, 2018, 10, (7), 1-25 View citations (6)
    See also Working Paper Market Timing with Moving Averages, Econometric Institute Research Papers (2018) View citations (6) (2018)
93. Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices
    Renewable and Sustainable Energy Reviews, 2018, 81, (P1), 1002-1018 View citations (31)
    See also Working Paper Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices, Tinbergen Institute Discussion Papers (2017) View citations (21) (2017)
94. Moving Average Market Timing in European Energy Markets: Production Versus Emissions
    Energies, 2018, 11, (12), 1-24 View citations (5)
95. NON-PARAMETRIC MULTIPLE CHANGE POINT ANALYSIS OF THE GLOBAL FINANCIAL CRISIS
    Annals of Financial Economics (AFE), 2018, 13, (02), 1-23 View citations (2)
    See also Working Paper Nonparametric Multiple Change Point Analysis of the Global Financial Crisis, Documentos de Trabajo del ICAE (2013) (2013)
96. On the invertibility of EGARCH(p, q)
    Econometric Reviews, 2018, 37, (8), 824-849 View citations (13)
    See also Working Paper On the Invertibility of EGARCH(p,q), Econometric Institute Research Papers (2015) View citations (14) (2015)
97. PRICING CARBON EMISSIONS IN CHINA
    Annals of Financial Economics (AFE), 2018, 13, (03), 1-37 View citations (5)
    See also Working Paper Pricing Carbon Emissions in China, Econometric Institute Research Papers (2018) View citations (5) (2018)
98. President Trump Tweets Supreme Leader Kim Jong-Un on Nuclear Weapons: A Comparison with Climate Change †
    Sustainability, 2018, 10, (7), 1-6 View citations (4)
99. RESEARCH IDEAS FOR ADVANCES IN DECISION SCIENCES (ADS): 22ND ANNIVERSARY SPECIAL ISSUE IN 2018
    Advances in Decision Sciences, 2018, 22, (1), 23-35 View citations (4)
    See also Working Paper Research Ideas for Advances in Decision Sciences (ADS): 22nd Anniversary Special Issue in 2018, Documentos de Trabajo del ICAE (2019) (2019)
100. Specification Testing of Production in a Stochastic Frontier Model
     Sustainability, 2018, 10, (9), 1-10 View citations (13)
     See also Working Paper Specification Testing of Production in a Stochastic Frontier Model, Tinbergen Institute Discussion Papers (2017) (2017)
101. Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances
     Energy, 2018, 151, (C), 984-997 View citations (16)
     See also Working Paper Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances, Econometric Institute Research Papers (2016) (2016)
102. Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management
     Energies, 2018, 11, (7), 1-19 View citations (4)
     See also Working Paper Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management, Econometric Institute Research Papers (2017) View citations (3) (2017)
103. Theory and application of an economic performance measure of risk
     International Review of Economics & Finance, 2018, 56, (C), 383-396 View citations (18)
     See also Working Paper Theory and Application of an Economic Performance Measure of Risk, Tinbergen Institute Discussion Papers (2017) View citations (9) (2017)
104. Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice
     Energies, 2018, 11, (6), 1-19 View citations (28)
     See also Working Paper Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice, Documentos de Trabajo del ICAE (2015) (2015)
105. Why Are Warrant Markets Sustained in Taiwan but Not in China?
     Sustainability, 2018, 10, (10), 1-17 View citations (14)

2017

106. A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises
     The North American Journal of Economics and Finance, 2017, 42, (C), 346-358 View citations (24)
     See also Working Paper A Bayesian Approach to Excess Volatility, Short-term Underreaction and Long-term Overreaction During Financial Crises, Tinbergen Institute Discussion Papers (2016) (2016)
107. A Simple Test for Causality in Volatility
     Econometrics, 2017, 5, (1), 1-5 View citations (25)
     See also Working Paper A Simple Test for Causality in Volatility, Tinbergen Institute Discussion Papers (2016) View citations (3) (2016)
108. A Tourism Financial Conditions Index for Tourism Finance
     Challenges, 2017, 8, (2), 1-17 View citations (2)
     See also Working Paper A Tourism Financial Conditions Index for Tourism Finance, Econometric Institute Research Papers (2017) View citations (2) (2017)
109. A fractionally integrated Wishart stochastic volatility model
     Econometric Reviews, 2017, 36, (1-3), 42-59
     See also Working Paper A Fractionally Integrated Wishart Stochastic Volatility Model, Tinbergen Institute Discussion Papers (2013) View citations (1) (2013)
110. An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors
     IJFS, 2017, 6, (1), 1-24 View citations (1)
     See also Working Paper An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors, Econometric Institute Research Papers (2016) View citations (1) (2016)
111. An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series
     Applied Economics, 2017, 49, (7), 677-692 View citations (13)
     See also Working Paper An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series, Tinbergen Institute Discussion Papers (2016) View citations (1) (2016)
112. EDITORIAL NOTE: SPECIAL ISSUES OF ANNALS OF FINANCIAL ECONOMICS (AFE)
     Annals of Financial Economics (AFE), 2017, 12, (04), 1-2
113. Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
     JRFM, 2017, 10, (4), 1-16 View citations (2)
     See also Working Paper Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models, Econometric Institute Research Papers (2016) (2016)
114. Forecasting the volatility of Nikkei 225 futures
     Journal of Futures Markets, 2017, 37, (11), 1141-1152 View citations (1)
     See also Working Paper Forecasting the Volatility of Nikkei 225 Futures, Econometric Institute Research Papers (2017) View citations (1) (2017)
115. Prediction of Gas Concentration Based on the Opposite Degree Algorithm
     Journal of Reviews on Global Economics, 2017, 6, 154-162
     See also Working Paper Prediction of Gas Concentration Based on the Opposite Degree Algorithm, Econometric Institute Research Papers (2016) (2016)
116. Re-Opening the Silk Road to Transform Chinese Trade
     Journal of Reviews on Global Economics, 2017, 6, 225-232 View citations (1)
     See also Working Paper Re-Opening the Silk Road to Transform Chinese Trade, Econometric Institute Research Papers (2017) View citations (1) (2017)
117. Realized stochastic volatility with general asymmetry and long memory
     Journal of Econometrics, 2017, 199, (2), 202-212 View citations (17)
     See also Working Paper Realized Stochastic Volatility with General Asymmetry and Long Memory, Tinbergen Institute Discussion Papers (2017) View citations (19) (2017)
118. Recent Topical Research on Global, Energy, Health & Medical, and Tourism Economics, and Global Software: An Overview
     Journal of Reviews on Global Economics, 2017, 6, 218-224 View citations (2)
119. Risk Measurement and Risk Modelling Using Applications of Vine Copulas
     Sustainability, 2017, 9, (10), 1-34 View citations (10)
     See also Working Paper Risk Measurement and Risk Modelling Using Applications of Vine Copulas, Working Papers in Economics (2014) View citations (3) (2014)
120. The correct regularity condition and interpretation of asymmetry in EGARCH
     Economics Letters, 2017, 161, (C), 52-55 View citations (27)
     See also Working Paper The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH, Documentos de Trabajo del ICAE (2017) (2017)
121. The impact of jumps and leverage in forecasting covolatility
     Econometric Reviews, 2017, 36, (6-9), 638-650 View citations (16)
     See also Working Paper The Impact of Jumps and Leverage in Forecasting Co-Volatility, Documentos de Trabajo del ICAE (2015) (2015)
122. Theravada Buddhism and Thai Luxury Fashion Consumption
     Journal of Reviews on Global Economics, 2017, 6, 58-67 View citations (4)
     See also Working Paper Theravada Buddhism and Thai Luxury Fashion Consumption, Tinbergen Institute Discussion Papers (2017) View citations (3) (2017)
123. Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA
     Sustainability, 2017, 9, (10), 1-22 View citations (21)
     See also Working Paper Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA, Econometric Institute Research Papers (2017) View citations (21) (2017)
124. Volatility Spillovers from Australia's major trading partners across the GFC
     International Review of Economics & Finance, 2017, 47, (C), 159-175 View citations (7)
     See also Working Paper Volatility Spillovers from Australia's Major Trading Partners across the GFC, Tinbergen Institute Discussion Papers (2014) View citations (2) (2014)
125. Volatility spillover and multivariate volatility impulse response analysis of GFC news events
     Applied Economics, 2017, 49, (33), 3246-3262 View citations (10)
     See also Working Paper Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events, Tinbergen Institute Discussion Papers (2016) (2016)
126. You’ve Got Email: A Workflow Management Extraction System
     Journal of Reviews on Global Economics, 2017, 6, 342-349 View citations (3)

2016

127. A capital adequacy buffer model
     Applied Economics Letters, 2016, 23, (3), 175-179 View citations (1)
     See also Working Paper A Capital Adequacy Buffer Model, Tinbergen Institute Discussion Papers (2013) (2013)
128. Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis
     JRFM, 2016, 9, (2), 1-18 View citations (10)
129. Market integration dynamics and asymptotic price convergence in distribution
     Economic Modelling, 2016, 52, (PB), 913-925 View citations (3)
     See also Working Paper Market Integration Dynamics and Asymptotic Price Convergence in Distribution, Documentos de Trabajo del ICAE (2015) (2015)
130. Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies
     Risks, 2016, 4, (1), 1-14 View citations (5)
     See also Working Paper Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies, Tinbergen Institute Discussion Papers (2015) (2015)
131. Profiteering from the Dot-Com Bubble, Subprime Crisis and Asian Financial Crisis
     The Japanese Economic Review, 2016, 67, (3), 257-279 View citations (16)
     Also in The Japanese Economic Review, 2016, 67, (3), 257-279 (2016) View citations (16)
     See also Working Paper Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis, Tinbergen Institute Discussion Papers (2013) (2013)
132. Robust Ranking of Journal Quality: An Application to Economics
     Econometric Reviews, 2016, 35, (1), 50-97 View citations (12)
     See also Working Paper Robust Ranking of Journal Quality: An Application to Economics, Tinbergen Institute Discussion Papers (2013) View citations (2) (2013)

2015

133. Advances in financial risk management and economic policy uncertainty: An overview
     International Review of Economics & Finance, 2015, 40, (C), 1-7 View citations (27)
     See also Working Paper Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview, Working Papers in Economics (2014) (2014)
134. Bibliometric Rankings of Journals Based on the Thomson Reuters Citations Database
     Journal of Reviews on Global Economics, 2015, 4, 120-125 View citations (6)
     See also Working Paper Bibliometric Rankings of Journals Based on the Thomson Reuters Citations Database, Documentos de Trabajo del ICAE (2015) (2015)
135. Econometric analysis of financial derivatives: An overview
     Journal of Econometrics, 2015, 187, (2), 403-407 View citations (5)
     See also Working Paper Econometric Analysis of Financial Derivatives: An Overview, Working Papers in Economics (2014) (2014)
136. Forecasting Value-at-Risk using block structure multivariate stochastic volatility models
     International Review of Economics & Finance, 2015, 40, (C), 40-50 View citations (9)
     See also Working Paper Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models, Tinbergen Institute Discussion Papers (2013) View citations (2) (2013)
137. Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
     Journal of Econometrics, 2015, 189, (2), 251-262 View citations (23)
     See also Working Paper Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance, Tinbergen Institute Discussion Papers (2014) View citations (6) (2014)
138. Frontiers in Time Series and Financial Econometrics: An overview
     Journal of Econometrics, 2015, 189, (2), 245-250 View citations (1)
     See also Working Paper Frontiers in Time Series and Financial Econometrics: An Overview, Documentos de Trabajo del ICAE (2015) (2015)
139. Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
     Journal of Econometrics, 2015, 187, (2), 436-446 View citations (10)
     See also Working Paper Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing, Documentos de Trabajo del ICAE (2013) (2013)
140. Preferences of risk-averse and risk-seeking investors for oil spot and futures before, during and after the Global Financial Crisis
     International Review of Economics & Finance, 2015, 40, (C), 204-216 View citations (35)
141. Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China
     Quantitative Finance, 2015, 15, (5), 889-900 View citations (61)
     See also Working Paper Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China, KIER Working Papers (2012) View citations (6) (2012)
142. Structure and asymptotic theory for nonlinear models with GARCH erros
     Economia, 2015, 16, (1), 1_21 View citations (2)
     See also Working Paper Structure and Asymptotic theory for Nonlinear Models with GARCH Errors, Econometric Institute Research Papers (2011) (2011)
143. The Fundamental Equation in Tourism Finance
     JRFM, 2015, 8, (4), 1-6 View citations (15)
     See also Working Paper The Fundamental Equation in Tourism Finance, Tinbergen Institute Discussion Papers (2015) View citations (21) (2015)
144. Volatility smirk as an externality of agency conflict and growing debt
     International Journal of Economic Theory, 2015, 11, (4), 389-404
     See also Working Paper Volatility Smirk as an Externality of Agency Conflict and Growing Debt, Tinbergen Institute Discussion Papers (2013) (2013)

2014

145. A One Line Derivation of EGARCH
     Econometrics, 2014, 2, (2), 1-6 View citations (74)
     See also Working Paper A One Line Derivation of EGARCH, Tinbergen Institute Discussion Papers (2014) View citations (88) (2014)
146. Asymmetric Realized Volatility Risk
     JRFM, 2014, 7, (2), 1-30 View citations (3)
     See also Working Paper Asymmetric Realized Volatility Risk, Working Papers in Economics (2014) View citations (4) (2014)
147. Asymmetry and Leverage in Conditional Volatility Models
     Econometrics, 2014, 2, (3), 1-6 View citations (76)
     See also Working Paper Asymmetry and Leverage in Conditional Volatility Models, Econometric Institute Research Papers (2014) (2014)
148. Comment
     Journal of Business & Economic Statistics, 2014, 32, (2), 174-175
149. EDITORIAL NOTE: INTRODUCTION TO THE INAUGURAL SPECIAL ISSUE
     Annals of Financial Economics (AFE), 2014, 09, (02), 1-1
150. EVALUATING MACROECONOMIC FORECASTS: A CONCISE REVIEW OF SOME RECENT DEVELOPMENTS
     Journal of Economic Surveys, 2014, 28, (2), 195-208 View citations (1)
     See also Working Paper Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments, Documentos de Trabajo del ICAE (2012) (2012)
151. How Should Journal Quality be Ranked? An Application to Agricultural, Energy, Environmental and Resource Economics
     Journal of Reviews on Global Economics, 2014, 3, 33-47 View citations (8)
     See also Working Paper How Should Journal Quality be Ranked? An Application to Agricultural, Energy, Environmental and Resource Economics, KIER Working Papers (2012) (2012)
152. JUST HOW GOOD ARE THE TOP THREE JOURNALS IN FINANCE? AN ASSESSMENT BASED ON QUANTITY AND QUALITY CITATIONS
     Annals of Financial Economics (AFE), 2014, 09, (01), 1-31 View citations (3)
     See also Working Paper Just How Good are the Top Three Journals in Finance? An Assessment Based on Quantity and Quality Citations, Documentos de Trabajo del ICAE (2014) (2014)
153. Ranking Economics and Econometrics ISI Journals by Quality Weighted Citations
     Review of Economics, 2014, 65, (1), 35-52 View citations (7)
     See also Working Paper Ranking Economics and Econometrics ISI Journals by Quality Weighted Citations, Documentos de Trabajo del ICAE (2014) (2014)
154. Report on the Fifth International Mathematics in Finance (MiF) Conference 2014, Skukuza, Kruger National Park, South Africa
     JRFM, 2014, 7, (3), 1-3
155. Robust ranking of multivariate GARCH models by problem dimension
     Computational Statistics & Data Analysis, 2014, 76, (C), 172-185 View citations (23)
     See also Working Paper Robust Ranking of Multivariate GARCH Models by Problem Dimension, KIER Working Papers (2012) View citations (10) (2012)
156. The impact of China on stock returns and volatility in the Taiwan tourism industry
     The North American Journal of Economics and Finance, 2014, 29, (C), 381-401 View citations (7)
     See also Working Paper The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry, Working Papers in Economics (2013) (2013)
157. The maximum number of parameters for the Hausman test when the estimators are from different sets of equations
     Economics Letters, 2014, 123, (3), 291-294 View citations (1)
     See also Working Paper The Maximum Number of Parameters for the Hausman Test When the Estimators are from Different Sets of Equations, Working Papers in Economics (2014) View citations (1) (2014)

2013

158. A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
     JRFM, 2013, 6, (1), 1-25 View citations (2)
     See also Working Paper A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500, Tinbergen Institute Discussion Papers (2013) View citations (3) (2013)
159. Analyzing fixed-event forecast revisions
     International Journal of Forecasting, 2013, 29, (4), 622-627 View citations (7)
     See also Working Paper Analyzing Fixed-Event Forecast Revisions, Tinbergen Institute Discussion Papers (2013) View citations (6) (2013)
160. Are forecast updates progressive?
     Mathematics and Computers in Simulation (MATCOM), 2013, 93, (C), 9-18 View citations (4)
     See also Working Paper Are Forecast Updates Progressive?, MPRA Paper (2013) View citations (4) (2013)
161. Coercive journal self citations, impact factor, Journal Influence and Article Influence
     Mathematics and Computers in Simulation (MATCOM), 2013, 93, (C), 190-197 View citations (27)
     See also Working Paper Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence, Tinbergen Institute Discussion Papers (2013) View citations (33) (2013)
162. Conditional correlations and volatility spillovers between crude oil and stock index returns
     The North American Journal of Economics and Finance, 2013, 25, (C), 116-138 View citations (135)
     See also Working Paper Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns, Documentos de Trabajo del ICAE (2011) (2011)
163. EDITORIAL NOTE — Statement of Intent
     Annals of Financial Economics (AFE), 2013, 08, (02), 1-3
164. Financial dependence analysis: applications of vine copulas
     Statistica Neerlandica, 2013, 67, (4), 403-435 View citations (16)
     See also Working Paper Financial Dependence Analysis: Applications of Vine Copulae, Tinbergen Institute Discussion Papers (2013) View citations (15) (2013)
165. GFC-robust risk management strategies under the Basel Accord
     International Review of Economics & Finance, 2013, 27, (C), 97-111 View citations (18)
     See also Working Paper GFC-Robust Risk Management Strategies under the Basel Accord, KIER Working Papers (2010) View citations (9) (2010)
166. GFC-robust risk management under the Basel Accord using extreme value methodologies
     Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 223-237 View citations (1)
     See also Working Paper GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies, Tinbergen Institute Discussion Papers (2013) View citations (2) (2013)
167. Globalization and knowledge spillover: international direct investment, exports and patents
     Economics of Innovation and New Technology, 2013, 22, (4), 329-352 View citations (19)
     See also Working Paper Globalization and Knowledge Spillover: International Direct Investment, Exports and Patents, Documentos de Trabajo del ICAE (2012) (2012)
168. Has the Basel Accord improved risk management during the global financial crisis?
     The North American Journal of Economics and Finance, 2013, 26, (C), 250-265 View citations (35)
     See also Working Paper Has the Basel Accord Improved Risk Management During the Global Financial Crisis, Working Papers in Economics (2013) View citations (33) (2013)
169. Herding, Information Cascades and Volatility Spillovers in Futures Markets
     Journal of Reviews on Global Economics, 2013, 2, 307-329 View citations (4)
     See also Working Paper Herding, Information Cascades and Volatility Spillovers in Futures Markets, Documentos de Trabajo del ICAE (2013) (2013)
170. International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord
     Journal of Forecasting, 2013, 32, (3), 267-288 View citations (13)
     See also Working Paper International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord, Econometric Institute Research Papers (2011) View citations (6) (2011)
171. Is small beautiful? Size effects of volatility spillovers for firm performance and exchange rates in tourism
     The North American Journal of Economics and Finance, 2013, 26, (C), 519-534 View citations (19)
     See also Working Paper Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism, Tinbergen Institute Discussion Papers (2013) View citations (17) (2013)
172. ROBUST ESTIMATION AND FORECASTING OF THE CAPITAL ASSET PRICING MODEL
     Annals of Financial Economics (AFE), 2013, 08, (02), 1-18 View citations (16)
     See also Working Paper Robust Estimation and Forecasting of the Capital Asset Pricing Model, Tinbergen Institute Discussion Papers (2013) View citations (16) (2013)
173. Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc
     Econometrics, 2013, 1, (3), 1-19 View citations (15)
     See also Working Paper Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc, Working Papers in Economics (2014) View citations (4) (2014)
174. Ranking journal quality by harmonic mean of ranks: an application to ISI statistics & probability
     Statistica Neerlandica, 2013, 67, (1), 27-53 View citations (17)
     See also Working Paper Ranking Journal Quality by Harmonic Mean of Ranks: An Application to ISI Statistics & Probability, Working Papers in Economics (2012) View citations (19) (2012)
175. Recent developments in financial economics and econometrics: An overview
     The North American Journal of Economics and Finance, 2013, 26, (C), 217–226 View citations (4)
     See also Working Paper Recent Developments in Financial Economics and Econometrics: An Overview, Econometric Institute Research Papers (2013) View citations (4) (2013)
176. Risk management and financial derivatives: An overview
     The North American Journal of Economics and Finance, 2013, 25, (C), 109-115 View citations (22)
     See also Working Paper Risk Management and Financial Derivatives: An Overview, Econometric Institute Research Papers (2012) (2012)
177. Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures
     Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 183-204 View citations (5)
     See also Working Paper Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures, Working Papers in Economics (2011) View citations (26) (2011)
178. Risk spillovers in oil-related CDS, stock and credit markets
     Energy Economics, 2013, 36, (C), 526-535 View citations (33)
     See also Working Paper Risk Spillovers in Oil-Related CDS, Stock and Credit Markets, Documentos de Trabajo del ICAE (2011) (2011)
179. Ten Things You Should Know about the Dynamic Conditional Correlation Representation
     Econometrics, 2013, 1, (1), 1-12 View citations (85)
     See also Working Paper Ten Things You Should Know About the Dynamic Conditional Correlation Representation, Working Papers in Economics (2013) View citations (85) (2013)
180. The Journal of Risk and Financial Management in Open Access
     JRFM, 2013, 6, (1), 1-3
181. The rise and fall of S&P500 variance futures
     The North American Journal of Economics and Finance, 2013, 25, (C), 151-167 View citations (8)
     See also Working Paper The Rise and Fall of S&P500 Variance Futures, Econometric Institute Research Papers (2011) View citations (1) (2011)
182. Volatility spillovers from the Chinese stock market to economic neighbours
     Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 238-257 View citations (25)
     See also Working Paper Volatility Spillovers from the Chinese Stock Market to Economic Neighbours, Working Papers in Economics (2011) View citations (3) (2011)
183. WHAT DO EXPERTS KNOW ABOUT FORECASTING JOURNAL QUALITY? A COMPARISON WITH ISI RESEARCH IMPACT IN FINANCE
     Annals of Financial Economics (AFE), 2013, 08, (01), 1-30 View citations (3)
     See also Working Paper What Do Experts Know About Forecasting Journal Quality? A Comparison with ISI Research Impact in Finance, Working Papers in Economics (2013) View citations (12) (2013)

2012

184. AGGREGATION, HETEROGENEOUS AUTOREGRESSION AND VOLATILITY OF DAILY INTERNATIONAL TOURIST ARRIVALS AND EXCHANGE RATES
     The Japanese Economic Review, 2012, 63, (3), 397-419 View citations (18)
     See also Working Paper Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates, Documentos de Trabajo del ICAE (2011) (2011)
185. Asymmetric adjustments in the ethanol and grains markets
     Energy Economics, 2012, 34, (6), 1990-2002 View citations (18)
     See also Working Paper Asymmetric Adjustments in the Ethanol and Grains Markets, Documentos de Trabajo del ICAE (2012) View citations (1) (2012)
186. Asymmetry and Long Memory in Volatility Modeling
     Journal of Financial Econometrics, 2012, 10, (3), 495-512 View citations (58)
     See also Working Paper Asymmetry and Long Memory in Volatility Modelling, Documentos de Trabajo del ICAE (2011) (2011)
187. Causality between market liquidity and depth for energy and grains
     Energy Economics, 2012, 34, (5), 1683-1692 View citations (24)
     See also Working Paper Causality Between Market Liquidity and Depth for Energy and Grains, Working Papers in Economics (2011) View citations (3) (2011)
188. DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS
     Journal of Economic Surveys, 2012, 26, (4), 736-751 View citations (120)
     See also Working Paper Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models, KIER Working Papers (2010) View citations (34) (2010)
189. Estimating the impact of whaling on global whale-watching
     Tourism Management, 2012, 33, (6), 1321-1328 View citations (1)
     See also Working Paper Estimating the Impact of Whaling on Global Whale Watching, Documentos de Trabajo del ICAE (2011) (2011)
190. Evaluating Individual and Mean Non-Replicable Forecasts
     Journal for Economic Forecasting, 2012, (3), 22-43 View citations (1)
     See also Working Paper Evaluating Individual and Mean Non-Replicable Forecasts, Documentos de Trabajo del ICAE (2011) (2011)
191. Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range
     International Journal of Forecasting, 2012, 28, (3), 557-574 View citations (24)
     See also Working Paper Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range, KIER Working Papers (2011) (2011)
192. How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?
     Journal of Reviews on Global Economics, 2012, 1, 1-12 View citations (1)
     See also Working Paper How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?, Tinbergen Institute Discussion Papers (2013) (2013)
193. IV Estimation of a Panel Threshold Model of Tourism Specialization and Economic Development
     Tourism Economics, 2012, 18, (1), 5-41 View citations (34)
     See also Working Paper IV Estimation of a Panel Threshold Model of Tourism Specialization and Economic Development, Econometric Institute Research Papers (2010) View citations (10) (2010)
194. It pays to violate: how effective are the Basel accord penalties in encouraging risk management?
     Accounting and Finance, 2012, 52, (1), 95-116 View citations (5)
195. MODELLING LONG MEMORY VOLATILITY IN AGRICULTURAL COMMODITY FUTURES RETURNS
     Annals of Financial Economics (AFE), 2012, 07, (02), 1-27 View citations (19)
     See also Working Paper Modelling Long Memory Volatility in Agricultural Commodity Futures Return, KIER Working Papers (2012) View citations (30) (2012)
196. Modelling and forecasting noisy realized volatility
     Computational Statistics & Data Analysis, 2012, 56, (1), 217-230 View citations (25)
     See also Working Paper Modelling and Forecasting Noisy Realized Volatility, Econometric Institute Research Papers (2011) View citations (1) (2011)
197. Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
     JRFM, 2012, 5, (1), 1-37 View citations (14)
     See also Working Paper Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility, Working Papers in Economics (2013) View citations (1) (2013)
198. Professor Halbert L. White, 1950–2012
     Journal of Economic Surveys, 2012, 26, (4), 551-554
199. Testing for the Box–Cox parameter for an integrated process
     Mathematics and Computers in Simulation (MATCOM), 2012, 83, (C), 1-9

2011

200. A trinomial test for paired data when there are many ties
     Mathematics and Computers in Simulation (MATCOM), 2011, 81, (6), 1153-1160 View citations (14)
     See also Working Paper A Trinomial Test for Paired Data When There are Many Ties, Working Papers in Economics (2010) (2010)
201. Alternative Asymmetric Stochastic Volatility Models
     Econometric Reviews, 2011, 30, (5), 548-564 View citations (35)
     See also Working Paper Alternative Asymmetric Stochastic Volatility Models, Working Papers in Economics (2010) (2010)
202. Crude oil hedging strategies using dynamic multivariate GARCH
     Energy Economics, 2011, 33, (5), 912-923 View citations (222)
     See also Working Paper Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH, KIER Working Papers (2010) View citations (5) (2010)
203. FORECASTING REALIZED VOLATILITY WITH LINEAR AND NONLINEAR UNIVARIATE MODELS
     Journal of Economic Surveys, 2011, 25, (1), 6-18 View citations (14)
     See also Working Paper Forecasting Realized Volatility with Linear and Nonlinear Univariate Models, Working Papers in Economics (2010) View citations (1) (2010)
204. Great Expectatrics: Great Papers, Great Journals, Great Econometrics
     Econometric Reviews, 2011, 30, (6), 583-619 View citations (19)
     See also Working Paper Great Expectatrics: Great Papers, Great Journals, Great Econometrics, Documentos de Trabajo del ICAE (2011) (2011)
205. How accurate are government forecasts of economic fundamentals? The case of Taiwan
     International Journal of Forecasting, 2011, 27, (4), 1066-1075 View citations (21)
     See also Working Paper How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan, Working Papers in Economics (2010) View citations (17) (2010)
206. How are journal impact, prestige and article influence related? An application to neuroscience
     Journal of Applied Statistics, 2011, 38, (11), 2563-2573 View citations (13)
     See also Working Paper How are Journal Impact, Prestige and Article Influence Related? An Application to Neuroscience, KIER Working Papers (2011) View citations (34) (2011)
207. Identifying shocks in regionally integrated East Asian economies with structural VAR and block exogeneity
     Mathematics and Computers in Simulation (MATCOM), 2011, 81, (7), 1353-1364 View citations (30)
     See also Working Paper Identifying Shocks in Regionally Integrated East Asian Economies with Structural VAR and Block Exogeneity, Econometric Institute Research Papers (2010) View citations (1) (2010)
208. Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations
     Tourism Economics, 2011, 17, (3), 481-507 View citations (18)
     See also Working Paper Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations, Working Papers in Economics (2010) View citations (11) (2010)
209. Modelling conditional correlations in the volatility of Asian rubber spot and futures returns
     Mathematics and Computers in Simulation (MATCOM), 2011, 81, (7), 1482-1490 View citations (9)
     See also Working Paper Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns, KIER Working Papers (2010) View citations (7) (2010)
210. Modelling the asymmetric volatility in hog prices in Taiwan: The impact of joining the WTO
     Mathematics and Computers in Simulation (MATCOM), 2011, 81, (7), 1491-1506 View citations (8)
     See also Working Paper Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO, Working Papers in Economics (2010) View citations (3) (2010)
211. Moment-based estimation of smooth transition regression models with endogenous variables
     Journal of Econometrics, 2011, 165, (1), 100-111 View citations (15)
     See also Working Paper Moment-based estimation of smooth transition regression models with endogenous variables, Textos para discussão (2010) View citations (2) (2010)
212. Monte Carlo option pricing with asymmetric realized volatility dynamics
     Mathematics and Computers in Simulation (MATCOM), 2011, 81, (7), 1247-1256 View citations (3)
213. Risk management of precious metals
     The Quarterly Review of Economics and Finance, 2011, 51, (4), 435-441 View citations (78)
     See also Working Paper Risk Management of Precious Metals, Documentos de Trabajo del ICAE (2011) View citations (2) (2011)
214. TEN THINGS WE SHOULD KNOW ABOUT TIME SERIES
     Journal of Economic Surveys, 2011, 25, (1), 185-188
     See also Working Paper Ten Things We Should Know About Time Series, Econometric Institute Research Papers (2010) View citations (1) (2010)
215. Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
     Statistica Neerlandica, 2011, 65, (2), 125-163 View citations (9)
     See also Working Paper Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH, Econometric Institute Research Papers (2010) View citations (3) (2010)
216. Value-at-Risk for country risk ratings
     Mathematics and Computers in Simulation (MATCOM), 2011, 81, (7), 1454-1463 View citations (4)
     See also Working Paper Value-at-Risk for Country Risk Ratings, Working Papers in Economics (2010) View citations (3) (2010)
217. WHAT MAKES A GREAT JOURNAL GREAT IN ECONOMICS? THE SINGER NOT THE SONG
     Journal of Economic Surveys, 2011, 25, (2), 326-361 View citations (20)
     See also Working Paper What Makes a Great Journal Great in Economics? The Singer Not the Song, KIER Working Papers (2010) (2010)
218. What makes a great journal great in the sciences? Which came first, the chicken or the egg?
     Scientometrics, 2011, 87, (1), 17-40 View citations (13)
     See also Working Paper What Makes a Great Journal Great in the Sciences? Which Came First, the Chicken or the Egg?, Working Papers in Economics (2010) View citations (1) (2010)

2010

219. A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS
     Journal of Economic Surveys, 2010, 24, (1), 192-195 View citations (5)
     See also Working Paper A Scientific Classification of Volatility Models, Documentos de Trabajo del ICAE (2009) (2009)
220. A general asymptotic theory for time‐series models
     Statistica Neerlandica, 2010, 64, (1), 97-111 View citations (11)
     See also Working Paper A General Asymptotic Theory for Time Series Models, CIRJE F-Series (2009) (2009)
221. A simple expected volatility (SEV) index: Application to SET50 index options
     Mathematics and Computers in Simulation (MATCOM), 2010, 80, (10), 2079-2090 View citations (10)
     See also Working Paper A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options, Working Papers in Economics (2010) View citations (15) (2010)
222. Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets
     Energy Economics, 2010, 32, (6), 1445-1455 View citations (98)
     See also Working Paper Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets, Working Papers in Economics (2010) View citations (98) (2010)
223. Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach
     Energy Economics, 2010, 32, (5), 979-986 View citations (74)
     See also Working Paper Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach, KIER Working Papers (2010) View citations (71) (2010)
224. Modelling and forecasting daily international mass tourism to Peru
     Tourism Management, 2010, 31, (6), 846-854 View citations (30)
     See also Working Paper Modelling and Forecasting Daily International Mass Tourism to Peru, CIRJE F-Series (2009) View citations (19) (2009)
225. Modelling the interactions across international stock, bond and foreign exchange markets
     Applied Economics, 2010, 42, (7), 825-850 View citations (31)
     See also Working Paper Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets, CIRJE F-Series (2009) View citations (6) (2009)
226. On the robustness of alternative rankings methodologies: Australian and New Zealand economics departments, 1988 to 2002
     Applied Economics, 2010, 42, (10), 1257-1268 View citations (2)
     See also Working Paper On the Robustness of Alternative Rankings Methodologies: Australian and New Zealand Economics Departments, 1988-2002, MPRA Paper (2007) View citations (4) (2007)
227. Precious metals-exchange rate volatility transmissions and hedging strategies
     International Review of Economics & Finance, 2010, 19, (4), 633-647 View citations (148)
     See also Working Paper Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies, CIRJE F-Series (2009) View citations (5) (2009)
228. THE TEN COMMANDMENTS FOR MANAGING INVESTMENTS
     Journal of Economic Surveys, 2010, 24, (1), 196-200 View citations (25)

2009

229. A risk map of international tourist regions in Spain
     Mathematics and Computers in Simulation (MATCOM), 2009, 79, (9), 2741-2758 View citations (2)
230. ARMAX modelling of international tourism demand
     Mathematics and Computers in Simulation (MATCOM), 2009, 79, (9), 2879-2888 View citations (18)
231. Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market
     Mathematics and Computers in Simulation (MATCOM), 2009, 79, (8), 2535-2555 View citations (11)
232. Daily Tourist Arrivals, Exchange Rates and Voatility for Korea and Taiwan
     Korean Economic Review, 2009, 25, 241-267 View citations (5)
     See also Working Paper Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan, Econometric Institute Research Papers (2009) View citations (15) (2009)
233. Effects of international gold market on stock exchange volatility: evidence from asean emerging stock markets
     Economics Bulletin, 2009, 29, (2), 599-610 View citations (17)
234. Estimating the Impact of Avian Flu on International Tourism Demand Using Panel Data
     Tourism Economics, 2009, 15, (3), 501-511 View citations (26)
235. Expert opinion versus expertise in forecasting
     Statistica Neerlandica, 2009, 63, (3), 334-346 View citations (44)
     See also Working Paper Expert opinion versus expertise in forecasting, Econometric Institute Research Papers (2008) View citations (2) (2008)
236. Forecasting conditional correlations in stock, bond and foreign exchange markets
     Mathematics and Computers in Simulation (MATCOM), 2009, 79, (9), 2830-2846 View citations (6)
237. In Memoriam
     Journal of Economic Surveys, 2009, 23, (4), 613-616
238. Linear and nonlinear causality between changes in consumption and consumer attitudes
     Economics Letters, 2009, 102, (3), 161-164 View citations (49)
239. Mapping the Presidential Election Cycle in US stock markets
     Mathematics and Computers in Simulation (MATCOM), 2009, 79, (11), 3267-3277 View citations (36)
240. Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments
     Econometric Reviews, 2009, 28, (6), 522-554 View citations (1)
     See also Working Paper Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments, DEA Working Papers (2005) View citations (3) (2005)
241. Modelling Air Passenger Arrivals in the Balearic and Canary Islands, Spain
     Tourism Economics, 2009, 15, (3), 481-500 View citations (2)
242. Modelling and managing financial risk: An overview
     Mathematics and Computers in Simulation (MATCOM), 2009, 79, (8), 2521-2524 View citations (3)
243. Modelling risk in agricultural finance: Application to the poultry industry in Taiwan
     Mathematics and Computers in Simulation (MATCOM), 2009, 79, (5), 1472-1487 View citations (8)
244. Multivariate stochastic volatility, leverage and news impact surfaces
     Econometrics Journal, 2009, 12, (2), 292-309 View citations (59)
245. Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets
     The Quarterly Review of Economics and Finance, 2009, 49, (3), 829-842 View citations (114)
     See also Working Paper Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets, Econometric Institute Research Papers (2008) View citations (42) (2008)
246. Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
     Econometric Reviews, 2009, 28, (5), 422-440 View citations (240)
247. THE TEN COMMANDMENTS FOR MANAGING VALUE AT RISK UNDER THE BASEL II ACCORD
     Journal of Economic Surveys, 2009, 23, (5), 850-855 View citations (45)
     See also Working Paper The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord, Documentos de Trabajo del ICAE (2009) View citations (7) (2009)
248. THE TEN COMMANDMENTS FOR OPTIMIZING VALUE‐AT‐RISK AND DAILY CAPITAL CHARGES
     Journal of Economic Surveys, 2009, 23, (5), 831-849 View citations (58)
     See also Working Paper The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges, CARF F-Series (2009) View citations (49) (2009)
249. The structure of dynamic correlations in multivariate stochastic volatility models
     Journal of Econometrics, 2009, 150, (2), 182-192 View citations (64)

2008

250. A Portfolio Index GARCH model
     International Journal of Forecasting, 2008, 24, (3), 449-461 View citations (8)
251. A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
     Journal of Econometrics, 2008, 147, (1), 104-119 View citations (130)
252. A neural network demand system with heteroskedastic errors
     Journal of Econometrics, 2008, 147, (2), 359-371 View citations (6)
253. An alternative approach to estimating demand: Neural network regression with conditional volatility for high frequency air passenger arrivals
     Journal of Econometrics, 2008, 147, (2), 372-383 View citations (24)
254. Econometric modelling in finance and risk management: An overview
     Journal of Econometrics, 2008, 147, (1), 1-4
     See also Working Paper Econometric modelling in finance and risk management: An overview, MPRA Paper (2007) View citations (1) (2007)
255. Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares
     Pacific-Basin Finance Journal, 2008, 16, (4), 453-475 View citations (7)
256. Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks
     Journal of Econometrics, 2008, 147, (1), 163-185 View citations (32)
257. Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model
     Journal of Forecasting, 2008, 27, (1), 1-19 View citations (82)
258. GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
     Econometric Theory, 2008, 24, (6), 1554-1583 View citations (167)
259. How has volatility in metals markets changed?
     Mathematics and Computers in Simulation (MATCOM), 2008, 78, (2), 237-249 View citations (32)
260. Is Greater China a currency union?
     Mathematics and Computers in Simulation (MATCOM), 2008, 78, (2), 319-327 View citations (1)
261. Modelling international tourism demand and uncertainty in Maldives and Seychelles: A portfolio approach
     Mathematics and Computers in Simulation (MATCOM), 2008, 78, (2), 459-468 View citations (27)
262. Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk
     Mathematics and Computers in Simulation (MATCOM), 2008, 78, (2), 155-171 View citations (10)
263. Multivariate volatility in environmental finance
     Mathematics and Computers in Simulation (MATCOM), 2008, 78, (2), 189-199 View citations (1)
264. Portfolio single index (PSI) multivariate conditional and stochastic volatility models
     Mathematics and Computers in Simulation (MATCOM), 2008, 78, (2), 209-214
265. Realized Volatility and Long Memory: An Overview
     Econometric Reviews, 2008, 27, (1-3), 1-9 View citations (12)
266. Realized Volatility: A Review
     Econometric Reviews, 2008, 27, (1-3), 10-45 View citations (268)
     See also Working Paper Realized volatility: a review, Textos para discussão (2006) View citations (54) (2006)
267. Scalar BEKK and indirect DCC
     Journal of Forecasting, 2008, 27, (6), 537-549 View citations (89)
268. Single-index and portfolio models for forecasting value-at-risk thresholds
     Journal of Forecasting, 2008, 27, (3), 217-235 View citations (85)

2007

269. An econometric analysis of asymmetric volatility: Theory and application to patents
     Journal of Econometrics, 2007, 139, (2), 259-284 View citations (226)
270. MEASURING RISK IN ENVIRONMENTAL FINANCE
     Journal of Economic Surveys, 2007, 21, (5), 970-998 View citations (17)
271. Non-trading day effects in asymmetric conditional and stochastic volatility models
     Econometrics Journal, 2007, 10, (1), 113-123 View citations (2)
272. Patent activity and technical change
     Journal of Econometrics, 2007, 139, (2), 355-375 View citations (6)
     See also Working Paper Patent Activity and Technical Change, DEA Working Papers (2007) View citations (6) (2007)
273. The econometrics of intellectual property: An overview
     Journal of Econometrics, 2007, 139, (2), 237-241 View citations (3)

2006

274. Asymmetric Multivariate Stochastic Volatility
     Econometric Reviews, 2006, 25, (2-3), 453-473 View citations (65)
     See also Working Paper Asymmetric Multivariate Stochastic Volatility, DEA Working Papers (2005) View citations (11) (2005)
275. Dynamic Asymmetric GARCH
     Journal of Financial Econometrics, 2006, 4, (3), 385-412 View citations (22)
276. HOW DOES COUNTRY RISK AFFECT INNOVATION? AN APPLICATION TO FOREIGN PATENTS REGISTERED IN THE USA
     Journal of Economic Surveys, 2006, 20, (4), 691-714 View citations (4)
277. INTELLECTUAL PROPERTY AND ECONOMIC INCENTIVES
     Journal of Economic Surveys, 2006, 20, (4), 483-491
278. INTELLECTUAL PROPERTY LITIGATION ACTIVITY IN THE USA
     Journal of Economic Surveys, 2006, 20, (4), 715-729 View citations (15)
279. Modeling dynamic conditional correlations in WTI oil forward and futures returns
     Finance Research Letters, 2006, 3, (2), 114-132 View citations (43)
     See also Working Paper Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns, Working Papers (2004) View citations (9) (2004)
280. Modelling time-varying conditional correlations in the volatility of Tapis oil spot and forward returns
     Applied Financial Economics, 2006, 16, (7), 525-533 View citations (30)
281. Multivariate Stochastic Volatility: A Review
     Econometric Reviews, 2006, 25, (2-3), 145-175 View citations (231)
282. Multivariate Stochastic Volatility: An Overview
     Econometric Reviews, 2006, 25, (2-3), 139-144 View citations (31)
283. Pricing of non-ferrous metals futures on the London Metal Exchange
     Applied Financial Economics, 2006, 16, (12), 853-880 View citations (24)
     See also Working Paper Pricing of Non-ferrous Metals Futures on the London Metal Exchange, CIRJE F-Series (2003) View citations (2) (2003)

2005

284. A new measure of innovation: The patent success ratio
     Scientometrics, 2005, 63, (3), 421-429 View citations (4)
285. AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
     Econometric Theory, 2005, 21, (1), 232-261 View citations (336)
286. Antitrust environment and innovation
     Scientometrics, 2005, 64, (3), 301-311 View citations (1)
287. Dynamic Asymmetric Leverage in Stochastic Volatility Models
     Econometric Reviews, 2005, 24, (3), 317-332 View citations (49)
288. Estimation of Chinese agricultural production efficiencies with panel data
     Mathematics and Computers in Simulation (MATCOM), 2005, 68, (5), 474-483 View citations (15)
289. Modelling Country Risk and Uncertainty in Small Island Tourism Economies
     Tourism Economics, 2005, 11, (2), 159-183 View citations (20)
290. Modelling the information content in insider trades in the Singapore exchange
     Mathematics and Computers in Simulation (MATCOM), 2005, 68, (5), 417-428
291. Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations
     Mathematics and Computers in Simulation (MATCOM), 2005, 69, (1), 46-56 View citations (1)
292. Related commodity markets and conditional correlations
     Mathematics and Computers in Simulation (MATCOM), 2005, 68, (5), 567-579 View citations (2)
293. Speculation and destabilisation
     Mathematics and Computers in Simulation (MATCOM), 2005, 69, (1), 151-161 View citations (1)
294. Testing Multiple Non‐Nested Factor Demand Systems
     Bulletin of Economic Research, 2005, 57, (1), 37-66 View citations (1)
     See also Working Paper Testing Multiple Non-nested Factor Demand Systems, ISER Discussion Paper (2001) View citations (3) (2001)
295. Testing for contagion in ASEAN exchange rates
     Mathematics and Computers in Simulation (MATCOM), 2005, 68, (5), 517-525 View citations (13)
296. The Ten Commandments for Academics
     Journal of Economic Surveys, 2005, 19, (5), 823-826 View citations (19)
297. The ten commandments for ranking university quality
     Journal of Economic Surveys, 2005, 19, (4), 649-653 View citations (12)

2004

298. An Empirical Assessment of Country Risk Ratings and Associated Models
     Journal of Economic Surveys, 2004, 18, (4), 539-588 View citations (42)
299. Asian monetary integration: a structural VAR approach
     Mathematics and Computers in Simulation (MATCOM), 2004, 64, (3), 447-458 View citations (15)
     See also Working Paper Asian Monetary Integration: A Structural VAR Approach, CIRJE F-Series (2003) View citations (11) (2003)
300. Convergence and catching up in ASEAN: a comparative analysis
     Applied Economics, 2004, 36, (2), 137-153 View citations (33)
     See also Working Paper Convergence and Catching Up in ASEAN: A Comparative Analysis, CIRJE F-Series (2003) View citations (5) (2003)
301. Econometric modelling of non‐ferrous metal prices
     Journal of Economic Surveys, 2004, 18, (5), 651-701 View citations (40)
302. Efficient estimation and testing of oil futures contracts in a mutual offset system
     Applied Financial Economics, 2004, 14, (13), 953-962 View citations (10)
303. Fat tails and asymmetry in financial volatility models
     Mathematics and Computers in Simulation (MATCOM), 2004, 64, (3), 351-361 View citations (17)
     See also Working Paper Fat Tails and Asymmetry in Financial Volatility Models, CIRJE F-Series (2003) View citations (9) (2003)
304. First Special Issue: Selected Papers of the MSSANZ/IMACS 14th Biennial Conference on Modelling and Simulation, Canberra, Australia, December 2001
     Mathematics and Computers in Simulation (MATCOM), 2004, 64, (1), 1-2 View citations (1)
305. Input–output structure and growth in China
     Mathematics and Computers in Simulation (MATCOM), 2004, 64, (1), 193-202 View citations (4)
     See also Working Paper Input-output Structure and Growth in China, CIRJE F-Series (2003) (2003)
306. Is a monetary union feasible for East Asia?
     Applied Economics, 2004, 36, (10), 1031-1043 View citations (21)
307. Modelling the asymmetric volatility of anti-pollution patents in the USA
     Scientometrics, 2004, 59, (2), 179-197 View citations (1)
308. Modelling the asymmetric volatility of electronics patents in the USA
     Mathematics and Computers in Simulation (MATCOM), 2004, 64, (1), 169-184 View citations (1)
     See also Working Paper Modelling the Asymmetric Volatility of Electronics Patents in the USA, CIRJE F-Series (2003) (2003)
309. Recursive modelling of symmetric and asymmetric volatility in the presence of extreme observations
     International Journal of Forecasting, 2004, 20, (1), 115-129 View citations (33)
310. Regression quantiles for unstable autoregressive models
     Journal of Multivariate Analysis, 2004, 89, (2), 304-328 View citations (4)
     See also Working Paper Regression Quantiles for Unstable Autoregressive Models, CIRJE F-Series (2003) (2003)
311. Second Special Issue: Selected Papers of the MSSANZ/IMACS 14th Biennial Conference on Modelling and Simulation, Canberra, Australia, December 2001
     Mathematics and Computers in Simulation (MATCOM), 2004, 64, (3), 305-306
312. Trends and volatilities in foreign patents registered in the USA
     Applied Economics, 2004, 36, (6), 585-592 View citations (3)
313. Volatility models of currency futures in developed and emerging markets
     Mathematics and Computers in Simulation (MATCOM), 2004, 64, (1), 79-93 View citations (2)
     See also Working Paper Volatility Models of Currency Futures in Developed and Emerging Markets, CIRJE F-Series (2003) (2003)

2003

314. ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
     Econometric Theory, 2003, 19, (2), 280-310 View citations (645)
     See also Working Paper Asymptotic Theory for a Vector ARMA-GARCH Model, ISER Discussion Paper (2001) View citations (2) (2001)
315. Asymptotic Properties Of The Estimator Of The Long‐Run Coefficient In A Dynamic Model With Integrated Regressors And Serially Correlated Errors
     The Japanese Economic Review, 2003, 54, (4), 420-438
     See also Working Paper Asymptotic Properties of the Estimator of the Long-run Coefficient in a Dynamic Model with Integrated Regressors and Serially Correlated Errors, CIRJE F-Series (2003) (2003)
316. Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers
     Applied Financial Economics, 2003, 13, (8), 581-592 View citations (29)
     See also Working Paper Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers, ISER Discussion Paper (2001) View citations (2) (2001)
317. Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
     Econometric Reviews, 2003, 22, (2), 179-202 View citations (36)
     See also Working Paper Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence, CIRJE F-Series (2003) View citations (31) (2003)

2002

318. A cointegration analysis of annual tourism demand by Malaysia for Australia
     Mathematics and Computers in Simulation (MATCOM), 2002, 59, (1), 197-205 View citations (16)
319. Cointegration analysis of metals futures
     Mathematics and Computers in Simulation (MATCOM), 2002, 59, (1), 207-221 View citations (10)
320. Economic growth and technological catching up by Singapore to the USA
     Mathematics and Computers in Simulation (MATCOM), 2002, 59, (1), 133-141 View citations (2)
321. Financial volatility: an introduction
     Journal of Applied Econometrics, 2002, 17, (5), 419-424 View citations (14)
322. Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence
     Journal of Applied Econometrics, 2002, 17, (5), 509-534 View citations (46)
323. NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
     Econometric Theory, 2002, 18, (3), 722-729 View citations (159)
     See also Working Paper Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models, ISER Discussion Paper (2001) View citations (45) (2001)
324. Non-linear modelling and forecasting of S&P 500 volatility
     Mathematics and Computers in Simulation (MATCOM), 2002, 59, (1), 233-241 View citations (3)
325. Recent Theoretical Results for Time Series Models with GARCH Errors
     Journal of Economic Surveys, 2002, 16, (3), 245-269 View citations (187)
326. Stationarity and the existence of moments of a family of GARCH processes
     Journal of Econometrics, 2002, 106, (1), 109-117 View citations (210)
     See also Working Paper Stationarity and the Existence of Moments of a Family of GARCH Processes, ISER Discussion Paper (2001) View citations (11) (2001)
327. The Econometrics of Financial Time Series
     Journal of Economic Surveys, 2002, 16, (3), 237-243 View citations (44)
328. The International Congress on Modelling and Simulation: Hamilton, New Zealand, December 1999
     Journal of Economic Surveys, 2002, 16, (1), 111-121 View citations (1)
329. The Ten Commandments for Presenting a Conference Paper
     Journal of Economic Surveys, 2002, 16, (2), 215-218 View citations (10)
330. Trends and volatility in Japanese patenting in the USA: An analysis of the electronics and transport industries
     Scientometrics, 2002, 55, (2), 171-187 View citations (2)

2001

331. Cointegration analysis of quarterly tourism demand by Hong Kong and Singapore for Australia
     Applied Economics, 2001, 33, (12), 1599-1619 View citations (57)
332. Consumption, liquidity constraints, uncertainty and temptation: An international comparison
     Journal of Economic Psychology, 2001, 22, (1), 61-89 View citations (1)
333. Efficient Estimation and Testing of Alternative Models of Currency Futures Contracts
     The Economic Record, 2001, 77, (238), 270-282 View citations (4)
334. SIZE CHARACTERISTICS OF TESTS FOR SAMPLE SELECTION BIAS: A MONTE CARLO COMPARISON AND EMPIRICAL EXAMPLE
     Econometric Reviews, 2001, 20, (1), 105-112 View citations (10)
335. The Ten Commandments for Attending a Conference
     Journal of Economic Surveys, 2001, 15, (5), 671-678 View citations (10)

2000

336. A market-augmented model for SIMEX Brent crude oil futures contracts
     Applied Financial Economics, 2000, 10, (5), 543-552 View citations (4)
337. A seasonal analysis of Asian tourist arrivals to Australia
     Applied Economics, 2000, 32, (4), 499-509 View citations (43)
338. Direct Tests of the Permanent Income Hypothesis under Uncertainty, Inflationary Expectations and Liquidity Constraints
     Journal of Macroeconomics, 2000, 22, (2), 229-252 View citations (19)
339. Pricing of Forward and Futures Contracts
     Journal of Economic Surveys, 2000, 14, (2), 215-253 View citations (20)
340. Testing long-run neutrality using intra-year data
     Applied Economics, 2000, 32, (1), 25-37 View citations (7)
341. Testing the risk premium and cost-of-carry hypotheses for currency futures contracts
     Applied Financial Economics, 2000, 10, (3), 277-289 View citations (4)

1999

342. A seasonal analysis of Malaysian tourist arrivals to Australia
     Mathematics and Computers in Simulation (MATCOM), 1999, 48, (4), 573-583 View citations (11)
343. ANALYTICAL POWER COMPARISONS OF NESTED AND NONNESTED TESTS FOR LINEAR AND LOGLINEAR REGRESSION MODELS
     Econometric Theory, 1999, 15, (1), 99-113 View citations (6)
344. Editorial
     Journal of Economic Surveys, 1999, 13, (1), no-no
345. Estimation of alternative pricing models for currency futures contracts
     Mathematics and Computers in Simulation (MATCOM), 1999, 48, (4), 519-530 View citations (4)
346. Simple Procedures for Testing Autoregressive Versus Moving Average Errors in Regression Models
     The Japanese Economic Review, 1999, 50, (3), 239-252 View citations (4)
     See also Working Paper SIMPLE PROCEDURES FOR TESTING AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS, Working Papers (1990) View citations (2) (1990)
347. Testing the life-cycle permanent income hypothesis using intra-year data for Sweden
     Mathematics and Computers in Simulation (MATCOM), 1999, 48, (4), 551-560 View citations (1)

1998

348. Cointegration Analysis of Seasonal Time Series
     Journal of Economic Surveys, 1998, 12, (5), 651-678 View citations (22)
349. Cointegration in Practice
     Journal of Economic Surveys, 1998, 12, (5), 417-422 View citations (3)
350. Editorial
     Journal of Economic Surveys, 1998, 12, (5), i-i View citations (1)
351. Switching Orthogonality
     International Economic Review, 1998, 39, (1), 171-82
352. Testing for Unit Roots and Non‐linear Transformations
     Journal of Time Series Analysis, 1998, 19, (2), 147-164 View citations (14)
353. The International Congress on Modelling and Simulation, Hobart, Tasmania, December 1997
     Journal of Economic Surveys, 1998, 12, (4), 399-416 View citations (1)
354. The Winter of my Content: The Econometric Society Australasian Meeting 1997, Melbourne, Australia
     Journal of Economic Surveys, 1998, 12, (1), 125-130

1997

355. A probit analysis of consumer behaviour in rural China
     Mathematics and Computers in Simulation (MATCOM), 1997, 43, (3), 527-534
356. Comparaison de la performance du point de vue empirique de systèmes de demandes alternatifs
     L'Actualité Economique, 1997, 73, (1), 27-45 View citations (1)
357. Empirical Econometric Modelling of Food Consumption Using a New Informational Complexity Approach: Comments
     Journal of Applied Econometrics, 1997, 12, (5), 587-89
358. On Efficient Estimation and Correct Inference in Models with Generated Regressors: a General Approach
     The Japanese Economic Review, 1997, 48, (4), 368-389 View citations (114)
     See also Working Paper On Efficient Estimation and Correct Inference in Models with Generated Regressions: A General Approach, Working Papers (1990) View citations (6) (1990)
359. Pictures at an Exhibition: The Experiment in Applied Econometrics Conference, Tilburg, The Netherlands, 1996
     Journal of Economic Surveys, 1997, 11, (4), 419-432
360. Revisiting Tobin's 1950 Study of Food Expenditure: Comments
     Journal of Applied Econometrics, 1997, 12, (5), 553-57
361. Selected papers of the MSSA/IMACS 11th Biennial Conference on Modelling and Simulation, November 1995
     Mathematics and Computers in Simulation (MATCOM), 1997, 43, (3), 241-241
362. Statistical Demand Functions for Food in the USA and the Netherlands: Comments
     Journal of Applied Econometrics, 1997, 12, (5), 640-42
363. Testing periodically integrated autoregressive models
     Mathematics and Computers in Simulation (MATCOM), 1997, 43, (3), 457-465
364. The Ten Commandments for Organizing a Conference
     Journal of Economic Surveys, 1997, 11, (2), 231-233 View citations (10)
365. The complexity of simplicity
     Mathematics and Computers in Simulation (MATCOM), 1997, 43, (3), 553-561 View citations (2)

1996

366. The 7th World Congress of the Econometric Society: Tokyo, Japan, 1995
     Journal of Economic Surveys, 1996, 10, (1), 105-14 View citations (1)
367. The Osaka Econometrics Conference: Osaka, Japan, 1995
     Journal of Economic Surveys, 1996, 10, (1), 115-22

1995

368. Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing
     Journal of Applied Econometrics, 1995, 10, (2), 165-85 View citations (64)
     See also Working Paper Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing, Working Papers (1990) View citations (6) (1990)
369. Data mining and the con in econometrics: the U.S. demand for money revisited
     Mathematics and Computers in Simulation (MATCOM), 1995, 39, (3), 329-333
370. Empirical models for evaluating errors in fitting extremes of a probability distribution
     Mathematics and Computers in Simulation (MATCOM), 1995, 39, (1), 1-7
371. Selected papers of the MSSA/IMACS 10th Biennial Conference on Modelling and Simulation
     Mathematics and Computers in Simulation (MATCOM), 1995, 39, (3), 195-195 View citations (1)
372. Simplicity, Scientific Interference and Econometric Modelling
     Economic Journal, 1995, 105, (428), 1-21 View citations (7)
373. The performance of alternative estimators in models with generated regressors when the expectations equation has reduced explanatory power
     Mathematics and Computers in Simulation (MATCOM), 1995, 39, (3), 343-346
374. The significance of testing empirical non-nested models
     Journal of Econometrics, 1995, 67, (1), 149-171 View citations (35)

1994

375. A note on the unbiasedness test of rationality using survey data
     Journal of Macroeconomics, 1994, 16, (2), 369-374 View citations (1)
376. ON THE EFFECTS OF MISSPECIFICATION ERRORS IN MODELS WITH GENERATED REGRESSORS
     Oxford Bulletin of Economics and Statistics, 1994, 56, (4), 441-455 View citations (7)
     Also in Oxford Bulletin of Economics and Statistics, 1994, 56, (4), 441-55 (1994) View citations (7)
377. Sherlock Holmes and the Search for Truth: A Diagnostic Tale
     Journal of Economic Surveys, 1994, 8, (4), 317-70 View citations (37)

1993

378. Econometric Issues in Macroeconomic Models with Generated Regressors
     Journal of Economic Surveys, 1993, 7, (1), 1-40 View citations (184)

1992

379. Bootstrap estimates of a new classical model of unemployment
     Mathematics and Computers in Simulation (MATCOM), 1992, 33, (5), 545-550
380. Efficient Estimation: The Rao‐Zyskind Condition, Kruskal's Theorem and Ordinary Least Squares*
     The Economic Record, 1992, 68, (1), 65-72 View citations (9)
381. Modelling in econometrics: The deterrent effect of capital punishment
     Mathematics and Computers in Simulation (MATCOM), 1992, 33, (5), 519-532 View citations (3)
382. On the use of extreme value distributions for predicting the upper percentiles of environmental quality data
     Mathematics and Computers in Simulation (MATCOM), 1992, 33, (5), 483-488
383. Properties of ordinary least squares estimators in regression models with nonspherical disturbances
     Journal of Econometrics, 1992, 54, (1-3), 321-334 View citations (36)
384. Recursive estimation and generated regressors
     Economics Letters, 1992, 39, (1), 1-5 View citations (2)

1991

385. Keynesian and New Classical Models of Unemployment Revisited
     Economic Journal, 1991, 101, (406), 359-81 View citations (15)
     See also Working Paper Keynesian and new classical models of unemployment revisited, Other publications TiSEM (1991) View citations (9) (1991)

1990

386. The effects of misspecification in estimating the percentiles of some two- and three-parameter distributions
     Mathematics and Computers in Simulation (MATCOM), 1990, 32, (1), 197-202 View citations (2)
     See also Working Paper THE EFFECTS OF MISSPECIFICATION IN ESTIMATING THE PERCENTILES OF SOME TWO -AND THREE-PARAMETER DISTRIBUTIONS, Working Papers (1989) View citations (1) (1989)

1989

387. A Monte Carlo Study of Some Tests of Model Adequacy in Time Series Analysis
     Journal of Business & Economic Statistics, 1989, 7, (1), 95-106 View citations (20)
388. Economic History and Policy: Proceedings from the 1988 Australian Economics Congress Editors' Introduction
     The Economic Record, 1989, 65, (3), 240-242
389. How Fragile Are Fragile Inferences? A Re-evaluation of the Deterrent Effect of Capital Punishment
     The Review of Economics and Statistics, 1989, 71, (1), 99-106 View citations (16)
390. Macroeconomics: Proceedings from the 1988 Australian Economics Congress: Editors' Introduction
     The Economic Record, 1989, 65, (2), 150-151
391. Microeconomics and Economic Theory: Proceedings from the 1988 Australian Economics Congress Editors' Introduction
     The Economic Record, 1989, 65, (1), 51-53
392. Some Power Comparisons of Joint and Paired Tests for Nonnested Models under Local Hypotheses
     Econometric Theory, 1989, 5, (1), 83-94 View citations (10)
     See also Working Paper SOME POWER COMPARISONS OF JOINT AND PAIRED TESTS FOR NON-NESTED MODELS UNDER LOCAL HYPOTHESES, Working Papers (1988) View citations (10) (1988)

1988

393. Economics and Econometric Methodology: Proceedings from the 1988 Australian Economics Congress Editors' Introduction
     The Economic Record, 1988, 64, (4), 275-277
394. TESTING SEPARATE TIME SERIES MODELS
     Journal of Time Series Analysis, 1988, 9, (2), 169-189 View citations (8)
395. Variable Addition and LaGrange Multiplier Tests for Linear and Logarithmic Regression Models
     The Review of Economics and Statistics, 1988, 70, (3), 492-503 View citations (44)

1987

396. Further Results on Testing AR (1) Against MA (1) Disturbances in the Linear Regression Model
     The Review of Economic Studies, 1987, 54, (4), 649-663 View citations (16)
397. On exact and asymptotic tests of non-nested models
     Statistics & Probability Letters, 1987, 5, (1), 19-22

1986

398. A further result on the sign of restricted least-squares estimates
     Journal of Econometrics, 1986, 32, (2), 287-290 View citations (3)

1985

399. Testing separate models with stochastic regressors
     Economic Modelling, 1985, 2, (4), 331-338
400. What Will Take the Con out of Econometrics?
     American Economic Review, 1985, 75, (3), 293-307 View citations (98)
     See also Working Paper What Will Take the Con Out of Econometrics?, CEPR Discussion Papers (1985) View citations (102) (1985)

1983

401. Some Exact Tests for Model Specification
     The Review of Economics and Statistics, 1983, 65, (2), 351-54 View citations (4)
     See also Working Paper Some exact tests for model specification, LIDAM Reprints CORE (1983) View citations (4) (1983)
402. Testing Non-Nested Specifications of Money Demand for Canada
     Canadian Journal of Economics, 1983, 16, (4), 593-602 View citations (5)

1982

403. A Note on Identifiability in the Linear Expenditure Family
     Australian Economic Papers, 1982, 21, (39), 416-20
     See also Working Paper A Note on Identifiability in the Linear Expenditure Family, Cahiers de recherche (1982) (1982)
404. Separate Misspecified Regressions and the U.S. Long-Run Demand for Money Function
     The Review of Economics and Statistics, 1982, 64, (4), 572-83 View citations (5)
     See also Working Paper Separate Misspecified Regressions and the U.S. Long Run Demand for Money Function, Cahiers de recherche (1982) View citations (6) (1982)
405. Testing separate regression models subject to specification error
     Journal of Econometrics, 1982, 19, (1), 125-145 View citations (2)
     See also Working Paper Testing Separate Regression Models Subject to Specification Error, Cahiers de recherche (1982) View citations (2) (1982)

1981

406. A small sample test for non-nested regression models
     Economics Letters, 1981, 7, (4), 335-338 View citations (2)
407. Alternative procedures and associated tests of significance for non-nested hypotheses
     Journal of Econometrics, 1981, 16, (1), 103-119 View citations (77)
     See also Working Paper Alternative Procedures and Associated Tests of Significance for Non-Nested Hypotheses, Working Paper (1981) View citations (69) (1981)
408. Interest Rates and Durability in the Linear Expenditure Family
     Canadian Journal of Economics, 1981, 14, (2), 331-41 View citations (1)
     See also Working Paper Interest Rates and Durability in the Linear Expenditure Family, Working Paper (1980) (1980)
409. Simultaneity and the Demand for Money in Canada: Comments and Extensions
     Canadian Journal of Economics, 1981, 14, (3), 488-96 View citations (2)

1980

410. The minimum error variance rule for non-linear regression models
     Economics Letters, 1980, 6, (1), 17-21 View citations (1)

1979

411. On the interpretation of the cox test in econometrics
     Economics Letters, 1979, 4, (2), 145-150 View citations (7)
     See also Working Paper The Interpretation of the Cox Test in Econometrics, Working Paper (1980) View citations (2) (1980)

Books

2008

1. The Economics of Small Island Tourism
   Books, Edward Elgar Publishing View citations (4)

Edited books

2009

1. Simplicity, Inference and Modelling
   Cambridge Books, Cambridge University Press View citations (1)

2002

2. Simplicity, Inference and Modelling
   Cambridge Books, Cambridge University Press View citations (4)

Chapters

2009

1. Chapter 11 Modelling International Tourist Arrivals and Volatility: An Application to Taiwan
   A chapter in Quantifying Consumer Preferences, 2009, pp 299-315
2. Chapter 5 The GFT Utility Function
   A chapter in Quantifying Consumer Preferences, 2009, pp 119-147

2005

3. Assessment of Risk Ratings and Risk Returns for 120 Representative Countries
   A chapter in Modelling the Riskiness in Country Risk Ratings, 2005, pp 111-335
4. Conclusion
   A chapter in Patent Activity and Technical Change in US Industries, 2005, pp 193-194
   Also in A chapter in Modelling the Riskiness in Country Risk Ratings, 2005, pp 471-474 (2005)
5. Conditional Volatility Models for Risk Ratings and Risk Returns
   A chapter in Modelling the Riskiness in Country Risk Ratings, 2005, pp 337-347
6. Country Risk Models: An Empirical Critique
   A chapter in Modelling the Riskiness in Country Risk Ratings, 2005, pp 9-91
7. Data Description
   A chapter in Patent Activity and Technical Change in US Industries, 2005, pp 15-22
8. Econometric Methodology
   A chapter in Patent Activity and Technical Change in US Industries, 2005, pp 23-28
9. Estimation and Empirical Results
   A chapter in Patent Activity and Technical Change in US Industries, 2005, pp 29-191
10. Introduction
    A chapter in Modelling the Riskiness in Country Risk Ratings, 2005, pp 1-8
11. Introduction
    A chapter in Patent Activity and Technical Change in US Industries, 2005, pp 1-4
12. Literature Review
    A chapter in Patent Activity and Technical Change in US Industries, 2005, pp 5-13
13. Rating Risk Rating Systems
    A chapter in Modelling the Riskiness in Country Risk Ratings, 2005, pp 93-110
14. Univariate and Multivariate Estimates of Symmetric and Asymmetric Conditional Volatilities and Conditional Correlations for Risk Returns
    A chapter in Modelling the Riskiness in Country Risk Ratings, 2005, pp 349-469