McAleer Michael

Michael McAleer

Information about the author Michael McAleer will soon be added to the site.
Found 14 papers in total
Testing for the Box–Cox parameter for an integrated process
Testing for the Box–Cox parameter for an integrated process
2012
This paper analyses the constant elasticity of volatility (CEV) model suggested by...
How accurate are government forecasts of economic fundamentals? The case of Taiwan
How accurate are government forecasts of economic fundamentals? The case of Taiwan
2011
A government’s ability to forecast key economic fundamentals accurately can...
Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
2011
Dynamic Asymmetric Multivariate GARCH (DAMGARCH) is a new model that extends the...
Modelling the asymmetric volatility in hog prices in Taiwan: The impact of joining the WTO
Modelling the asymmetric volatility in hog prices in Taiwan: The impact of joining the WTO
2011
Prices in the hog industry in Taiwan are determined according to an auction system....
Identifying shocks in regionally integrated East Asian economies with structural VAR and block exogeneity
Identifying shocks in regionally integrated East Asian economies with structural VAR and block exogeneity
2011
In this paper we use a structural VAR model with block exogeneity to investigate if...
Monte Carlo option pricing with asymmetric realized volatility dynamics
Monte Carlo option pricing with asymmetric realized volatility dynamics
2011
What are the advances introduced by realized volatility models in pricing...
Modelling conditional correlations in the volatility of Asian rubber spot and futures returns
Modelling conditional correlations in the volatility of Asian rubber spot and futures returns
2011
Asia is presently the most important market for the production and consumption of...
Modelling international tourism demand and uncertainty in Maldives and Seychelles: A portfolio approach
Modelling international tourism demand and uncertainty in Maldives and Seychelles: A portfolio approach
2008
Maldives and Seychelles in the Indian Ocean are small island tourism economies...
Modelling risk in agricultural finance: Application to the poultry industry in Taiwan
Modelling risk in agricultural finance: Application to the poultry industry in Taiwan
2009
The volatility in agricultural prices, such as for broiler and color broiler chickens...
Forecasting value‐at‐risk with a parsimonious portfolio spillover GARCH (PS‐GARCH) model
Forecasting value‐at‐risk with a parsimonious portfolio spillover GARCH (PS‐GARCH) model
2008
Accurate modelling of volatility (or risk) is important in finance,...
Scalar BEKK and indirect DCC
Scalar BEKK and indirect DCC
2008
The paper derives the scalar special case of the well-known BEKK (the acronym BEKK...
Single-index and portfolio models for forecasting value-at-risk thresholds
Single-index and portfolio models for forecasting value-at-risk thresholds
2008
The variance of a portfolio can be forecast using a single index model or the...
Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model
Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model
2008
Accurate modelling of volatility (or risk) is important in finance, particularly as it...
Recursive modelling of symmetric and asymmetric volatility in the presence of extreme observations
Recursive modelling of symmetric and asymmetric volatility in the presence of extreme observations
2004
This paper is concerned with recursive estimation, testing and forecasting of the...
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