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A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises

Guo, Xu; McAleer, Michael; Wong, Wing Keung; Zhu, Lixing - In: The North American journal of economics and finance : a … 42 (2017), pp. 346-358

Persistent link: https://www.econbiz.de/10011938136

Non-parametric multiple change point analysis of the global financial crisis

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Annals of financial economics 13 (2018) 2, pp. 1-23

Persistent link: https://www.econbiz.de/10011931167

Profiteering from the dot-com bubble, subprime crisis and Asian financial crisis

McAleer, Michael; Suen, John; Wong, Wing Keung - In: The Japanese economic review : the journal of the … 67 (2016) 3, pp. 257-279

Persistent link: https://www.econbiz.de/10011720858

Preferences of risk-averse and risk-seeking investors for oil spot and futures before, during and after the Global Financial Crisis

Hooi Hooi Lean; McAleer, Michael; Wong, Wing Keung - In: International review of economics & finance : IREF 40 (2015), pp. 204-216

Persistent link: https://www.econbiz.de/10011573581

A capital adequacy buffer model

Allen, David E.; McAleer, Michael; Powell, R. J.; … - In: Applied economics letters 23 (2016) 1/3, pp. 175-179

Persistent link: https://www.econbiz.de/10011414540

Volatility smirk as an externality of agency conflict and growing debt

Jaskowski, Marcin; McAleer, Michael - In: International journal of economic theory 11 (2015) 4, pp. 389-404

Persistent link: https://www.econbiz.de/10011415577

Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing

Asai, Manabu; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 436-446

Persistent link: https://www.econbiz.de/10011499703

Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

Asai, Manabu; McAleer, Michael - In: Journal of econometrics 189 (2015) 2, pp. 251-262

Persistent link: https://www.econbiz.de/10011504522

On the invertibility of EGARCH(p, q)

Martinet, Guillaume Gaetan; McAleer, Michael - In: Econometric reviews 37 (2018) 6/10, pp. 824-849

Persistent link: https://www.econbiz.de/10012040413

Modelling the riskiness in country risk ratings

Hoti, Suhejla (contributor); McAleer, Michael (contributor) - 2005

Introduction / Michael McAleer -- Assessment of risk ratings and risk returns for 120 representative countries / Michael McAleer -- Conditional volatility models for risk ratings and risk returns / Michael McAleer -- Univariate and multivariate estimates of symmetric and asymmetric conditional...

Persistent link: https://www.econbiz.de/10012049748