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Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc

Chang, Chia-Lin; McAleer, Michael - In: Econometrics 1 (2013) 3, pp. 217-235

The paper focuses on the robustness of rankings of academic journal quality and research impact of 10 leading econometrics journals taken from the Thomson Reuters ISI Web of Science (ISI) Category of Economics, using citations data from ISI and the highly accessible Research Papers in Economics...

Persistent link: https://www.econbiz.de/10010711829

Asymmetry and Leverage in Conditional Volatility Models

McAleer, Michael - In: Econometrics 2 (2014) 3, pp. 145-150

The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...

Persistent link: https://www.econbiz.de/10011031443

Ten Things You Should Know about the Dynamic Conditional Correlation Representation

Caporin, Massimiliano; McAleer, Michael - In: Econometrics 1 (2013) 1, pp. 115-126

The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the...

Persistent link: https://www.econbiz.de/10011031447

A One Line Derivation of EGARCH

McAleer, Michael; Hafner, Christian M. - In: Econometrics 2 (2014) 2, pp. 92-97

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also...

Persistent link: https://www.econbiz.de/10010785679

The impact of China on stock return and volatility

Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10010354381

Report on the Fifth International Mathematics in Finance (MiF) Conference 2014, Skukuza, Kruger National Park, South Africa

McAleer, Michael - In: Journal of risk and financial management : JRFM 7 (2014) 3, pp. 110-112

Persistent link: https://www.econbiz.de/10011553115

The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry

Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - 2013

This paper investigates the stock returns and volatility size effects for firm performance in the Taiwan tourism … industry, especially the impacts arising from the tourism policy reform that allowed mainland Chinese tourists to travel to …

Persistent link: https://www.econbiz.de/10010326144

Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism

Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - 2013

the Taiwan tourism industry. The analysis is based on two conditional multivariate models, BEKK-AGARCH and VARMA … exchange rate to firm performance. Specifically, the risk for firm size has different effects from the three leading tourism …

Persistent link: https://www.econbiz.de/10010326433

Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors

Zopiatis, Anastasios; Savva, Christos S.; Lambertides, … - 2016

wiped from tourism related stocks. This comes at a troublesome time for the tourism industry, in the midst of a global …, mostly in theoretical terms. Nevertheless, the quantifiable impact of such events on tourism-specific stock values, both in … enhance our conceptual capital pertaining to the effects of such possibilities on five hospitality and tourism stock indices …

Persistent link: https://www.econbiz.de/10011586719

Risk and financial management of COVID-19 in business, economics and finance

Chang, Chia-Lin; McAleer, Michael; Wong, Wing Keung - In: Journal of Risk and Financial Management 13 (2020) 5, pp. 1-5

dramatically affected tourism, travel, hospitality, supply chains, consumption, production, operations, valuations, security … that have been discussed in tourism, global health security and risk management in business as well as the social and …

Persistent link: https://www.econbiz.de/10012611331