Documentos: 
1. (�)
Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc
- Chang, Chia-Lin; McAleer, Michael
The paper focuses on the robustness of rankings of academic journal quality and research impact of 1 ... (application/pdf) - 16-nov-2013
2. (�)
A Capital Adequacy Buffer Model
- Allen, David E.; McAleer, Michael; Powell, Robert J.; Singh, Abhay K.
In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic e ... (application/pdf) - 16-nov-2013
3. (�)
Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures
- Lean, Hooi Hooi; McAleer, Michael; Wong, Wing-Keung
This paper examines risk-averse and risk-seeking investor preferences for oil spot and futures price ... (application/pdf) - 16-nov-2013
4. (�)
The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry
- Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael
This paper investigates the stock returns and volatility size effects for firm performance in the Ta ... (application/pdf) - 16-nov-2013
5. (�)
Market Integration Dynamics and Asymptotic Price Convergence in Distribution
- García Hiernaux, Alfredo; David E. , Guerrero; McAleer, Michael
In this paper we analyse the market integration process of the relative price distribution, develop ... (application/pdf) - 16-nov-2013
6. (�)
Volatility Smirk as an Externality of Agency Conict and Growing Debt
- Jaskowski, Marcin; McAleer, Michael
Since Black (1976), the source of the stock price volatility smirk has remained a controversy. The v ... (application/pdf) - 16-nov-2013
7. (�)
International Technology Diffusion of Joint and Cross-border Patents
- Chang, Chia-Lin; McAleer, Michael; Tang, Ju-Ting
With the advent of globalization, economic and financial interactions among countries have become wi ... (application/pdf) - 16-nov-2013
8. (�)
Realized volatility risk
- Allen, David E.; McAleer, Michael; Scharth, Marcel
In this paper we document that realized variation measures constructed from high-frequency returns r ... (application/pdf) - 16-nov-2013
9. (�)
Herding, Information Cascades and Volatility Spillovers
in Futures Markets
- McAleer, Michael; Radalj , Kim
Economists and financial analysts have begun to recognise the importance of the actions of other age ... (application/pdf) - 16-nov-2013
10. (�)
Risk Modelling and Management: An Overview
- Chang, Chia-Lin; Allen, David E.; McAleer, Michael; Pérez Amaral, Teodosio
The papers in this special issue of Mathematics and Computers in Simulation are substantially revise ... (application/pdf) - 16-nov-2013 | |
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