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McAleer, Michael

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Author ID: mcaleer.michael Recent zbMATH articles by "McAleer, Michael"
Published as: McAleer, Michael; Mcaleer, Michael; McAleer, M.
Documents Indexed: 114 Publications since 1981, including 5 Books
all top 5

Co-Authors

4 single-authored
13 Asai, Manabu
9 Chang, Chialin
8 Oxley, Les
7 Chan, Felix T. S.
7 Ling, Shiqing
6 Allen, David E.
6 Medeiros, Marcelo C.
5 Hoti, Suhejla
5 Kobayashi, Masahito
4 Mckenzie, C. R.
4 Perez-Amaral, Teodosio
4 Slottje, Daniel J.
3 Franses, Philip Hans
3 Jimenez-Martin, Juan-Angel
3 Maasoumi, Esfandiar
3 Peiris, M. Shelton
3 Watkins, Clinton
3 Wong, Wing-Keung
2 Bera, Anil K.
2 Fisher, Gordon R.
2 Hu, Baiding
2 Jakeman, Anthony J.
2 Keuzenkamp, Hugo A.
2 Lim, Christine
2 Marinova, Dora
2 Nawata, Kazumitsu
2 Pesaran, M. Hashem
2 Post, David A.
2 Sato, Kiyotaka
2 Sequeira, John M.
2 Verhoeven, Peter
2 Zellner, Arnold
2 Zhang, Zhaoyong
1 Amendola, Alessandra
1 Amram, Ron
1 Ann, Wong Kie
1 Araújo Santos, Paulo
1 Areosa, Waldyr Dutra
1 Argent, Robert
1 Bai, Jun
1 Bai, Zhi-Dong
1 Bartels, Robert
1 Basmann, Robert L.
1 Bauwens, Luc C. A. A.
1 Belsley, David A.
1 Bian, Guorui
1 Billio, Monica
1 Caporin, Massimiliano
1 Casarin, Roberto
1 Chen, Cathy W. S.
1 Chen, Jinghui
1 Chen, Meng-Gu
1 Chiat, Pang Chia
1 Croux, Christophe
1 da Veiga, Bernardo
1 Davidson, Russell
1 de Veiga, Bernardo
1 Dharmapala, Dhammika
1 Duchesne, Pierre
1 Fiebig, Denzil G.
1 Foschi, Paolo
1 Francq, Christian
1 Fuertes, Ana-María
1 Gao, Jiti
1 Hakim, Abdul Halim
1 Henderson-Sellers, Brian
1 Huang, Biing-Wen
1 Jaskowski, Marcin
1 Khalaf, Lynda
1 King, Maxwell Leslie
1 Kontoghiorghes, Erricos John
1 Koop, Gary
1 Koopman, Siem Jan
1 Kunitomo, Naoto
1 Lazarov, Zdravetz
1 Li, Hua
1 Li, Wai Keung
1 Lieberman, Offer
1 Lim, Lee K.
1 McDonald, A. David
1 Mees, Alistair I.
1 Min, Jennifer C. H.
1 Nam, Jason Chee Wei
1 Nishiyama, Yoshihiko
1 Pagan, Adrian R.
1 Pauwels, Laurent L.
1 Pilgram, Berndt
1 Radalj, Kim F.
1 Ramos, Vicente
1 Rey-Maquieira, Javier
1 Shareef, Riaz
1 Smith, Anthony D. M.
1 Tong, Howell
1 van Dijk, Herman K.
1 Visco, Ignazio
1 Wiphatthanananthakul, Chatayan
1 Zerger, Andre

Publications by Year

Citations contained in zbMATH Open

64 Publications have been cited 694 times in 470 Documents Cited by Year
Automated inference and learning in modeling financial volatility. Zbl 1072.62104
McAleer, Michael
72
2005
Stationarity and the existence of moments of a family of GARCH processes. Zbl 1043.62073
Ling, Shiqing; McAleer, Michael
60
2002
Necessary and sufficient moment conditions for the \(\text{GARCH}((r,s)\) and asymmetric power \(\text{GARCH}((r,s)\) models. Zbl 1110.62332
Ling, Shiqing; McAleer, Michael
53
2002
Multivariate stochastic volatility: a review. Zbl 1107.62108
Asai, Manabu; McAleer, Michael; Yu, Jun
53
2006
Realized volatility: a review. Zbl 1148.62089
McAleer, Michael; Medeiros, Marcelo C.
35
2008
Alternative procedures and associated tests of significance for non- nested hypotheses. Zbl 0532.62098
Fisher, Gordon R.; McAleer, Michael
29
1981
Estimation and testing for unit root processes with GARCH(1,1) errors: theory and Monte Carlo evidence. Zbl 1106.62346
Ling, Shiqing; Li, W. K.; McAleer, Michael
29
2003
On adaptive estimation in nonstationary ARMA models with GARCH errors. Zbl 1039.62084
Ling, Shiqing; McAleer, Michael
28
2003
Asymptotic theory for a vector ARMA-GARCH model. Zbl 1441.62799
Ling, Shiqing; McAleer, Michael
23
2003
Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks. Zbl 1429.62649
Allen, David; Chan, Felix; McAleer, Michael; Peiris, Shelton
20
2008
An econometric analysis of asymmetric volatility: theory and application to patents. Zbl 1418.62517
McAleer, Michael; Chan, Felix; Marinova, Dora
19
2007
Asymmetric multivariate stochastic volatility. Zbl 1112.62116
Asai, Manabu; McAleer, Michael
18
2006
Structure and asymptotic theory for multivariate asymmetric conditional volatility. Zbl 1168.62083
McAleer, Michael; Hoti, Suhejla; Chan, Felix
16
2009
Generalized autoregressive conditional correlation. Zbl 1277.62214
McAleer, Michael; Chan, Felix; Hoti, Suhejla; Lieberman, Offer
16
2008
The significance of testing empirical non-nested models. Zbl 0925.62525
McAleer, Michael
16
1995
A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries. Zbl 1429.62405
McAleer, Michael; Medeiros, Marcelo C.
16
2008
The structure of dynamic correlations in multivariate stochastic volatility models. Zbl 1429.62457
Asai, Manabu; Mcaleer, Michael
15
2009
Modelling and forecasting noisy realized volatility. Zbl 1241.91135
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C.
12
2012
Dynamic asymmetric leverage in stochastic volatility models. Zbl 1075.62092
Asai, Manabu; McAleer, Michael
12
2005
Further results on testing AR(1) against MA(1) disturbances in the linear regression model. Zbl 0627.62075
King, Maxwell L.; McAleer, Michael
12
1987
A new approach to maximum likelihood estimation of the three-parameter gamma and Weibull distributions. Zbl 0850.62241
Bai, Jun; Jakeman, Anthony J.; McAleer, Michael
9
1991
Statistical inference in non-nested econometric models. Zbl 0658.62134
McAleer, Michael; Pesaran, M. Hashem
9
1986
Testing for unit roots and nonlinear transformations. Zbl 0944.62078
Franses, Philip Hans; McAleer, Michael
8
1998
Fat tails and asymmetry in financial volatility models. Zbl 1062.91040
Verhoeven, Peter; McAleer, Michael
8
2004
Multivariate stochastic volatility, leverage and news impact surfaces. Zbl 1231.91483
Asai, Manabu; McAleer, Michael
7
2009
Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market. Zbl 1162.91520
Allen, David; Lazarov, Zdravetz; McAleer, Michael; Peiris, Shelton
6
2009
Simplicity, inference and modelling. Keeping it sophisticatedly simple. Zbl 1019.62003
Zellner, Arnold (ed.); Keuzenkamp, Hugo A. (ed.); McAleer, Michael (ed.)
6
2001
Properties of ordinary least squares estimators in regression models with nonspherical disturbances. Zbl 0755.62084
Fiebig, Denzil G.; McAleer, Michael; Bartels, Robert
6
1992
Multivariate stochastic volatility: an overview. Zbl 1220.62129
Maasoumi, Esfandiar; McAleer, Michael
6
2006
A decision rule to minimize daily capital charges in forecasting value-at-risk. Zbl 1204.91099
McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez-Amaral, Teodosio
5
2010
Regression quantiles for unstable autoregressive models. Zbl 1047.62077
Ling, Shiqing; McAleer, Michael
5
2004
Size characteristics of tests for sample selection bias: A Monte Carlo comparison and empirical example. Zbl 1019.62019
Nawata, Kazumitsu; McAleer, Michael
5
2001
Realized volatility and long memory: an overview. Zbl 1359.62460
Maasoumi, Esfandiar; McAleer, Michael
5
2008
Moment-based estimation of smooth transition regression models with endogenous variables. Zbl 1441.62591
Areosa, Waldyr Dutra; McAleer, Michael; Medeiros, Marcelo C.
5
2011
When are two step estimators efficient? Zbl 0741.62096
McAleer, Michael; McKenzie, C. R.
4
1991
Tests of linear and logarithmic transformations for integrated processes. Zbl 0996.62081
Kobayashi, Masahito; McAleer, Michael
3
1999
Nonlinear modelling and forecasting of S& P 500 volatility. Zbl 1008.91099
Verhoeven, Peter; Pilgram, Berndt; McAleer, Michael; Mees, Alistair
3
2002
Mapping the presidential election cycle in US stock markets. Zbl 1170.91509
Wong, Wing-Keung; McAleer, Michael
2
2009
Forecasting conditional correlations in stock, bond and foreign exchange markets. Zbl 1168.91495
Hakim, Abdul; Mcaleer, Michael
2
2009
Simplicity, inference and modelling. Keeping it sophisticatedly simple. Reprint of the 2001 hardback ed. Zbl 1179.62010
Zellner, Arnold (ed.); Keuzenkamp, Hugo A. (ed.); McAleer, Michael (ed.)
2
2009
Econometric methodology and the philosophy of science. Zbl 0839.62102
Dharmapala, Dhammika; McAleer, Michael
2
1996
Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations. Zbl 1065.92057
Hoti, Suhejla; McAleer, Michael; Chan, Felix
2
2005
Analytical power comparisons of nested and nonnested tests for linear and loglinear regression models. Zbl 1069.62535
Kobayashi, Masahito; McAleer, Michael
2
1999
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance. Zbl 1337.62317
Asai, Manabu; McAleer, Michael
2
2015
Realized stochastic volatility with general asymmetry and long memory. Zbl 1388.62245
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael
2
2017
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing. Zbl 1337.62316
Asai, Manabu; McAleer, Michael
2
2015
Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China. Zbl 1398.62276
Bai, Zhidong; Li, Hua; McAleer, Michael; Wong, Wing-Keung
2
2015
Non-trading day effects in asymmetric conditional and stochastic volatility models. Zbl 1137.91424
Asai, Manabu; McAleer, Michael
2
2007
Nested and non-nested procedures for testing linear and log-linear regression models. Zbl 0685.62051
Bera, Anil K.; McAleer, Michael
2
1989
A sequential testing procedure for outliers and structural change. Zbl 0718.62184
McAleer, Michael; Tse, Y. K.
2
1988
ARMAX modelling of international tourism demand. Zbl 1168.91474
Lim, Christine; Mcaleer, Michael; Min, Jennifer C. H.
1
2009
A simple expected volatility (SEV) index: Application to SET50 index options. Zbl 1194.91202
McAleer, Michael; Wiphatthanananthakul, Chatayan
1
2010
Dynamic conditional correlations for asymmetric processes. Zbl 1403.62153
Asai, Manabu; McAleer, Michael
1
2011
Testing nested and non-nested periodically integrated autoregressive models. Zbl 0920.62107
Franses, Philip Hans; McAleer, Michael
1
1997
A cointegration analysis of annual tourism demand by Malaysia for Australia. Zbl 1032.91674
Lim, Christine; McAleer, Michael
1
2002
A further result on the sign of restricted least-squares estimates. Zbl 0596.62115
McAleer, Michael; Pagan, Adrian; Visco, Ignazio
1
1986
On exact and asymptotic tests of non-nested models. Zbl 0603.62079
Bera, Anil K.; McAleer, Michael
1
1987
Recursive estimation and generated regressors. Zbl 0775.62338
McAleer, Michael; McKenzie, C. R.
1
1992
Modelling risk in agricultural finance: Application to the poultry industry in Taiwan. Zbl 1155.91442
Huang, Biing-Wen; Chen, Meng-Gu; Chang, Chia-Lin; McAleer, Michael
1
2009
Econometric analysis of financial derivatives: an overview. Zbl 1314.00084
Chang, Chia-Lin (ed.); McAleer, Michael (ed.)
1
2015
The correct regularity condition and interpretation of asymmetry in EGARCH. Zbl 1401.62144
Chang, Chia-Lin; McAleer, Michael
1
2017
An alternative approach to estimating demand: neural network regression with conditional volatility for high frequency air passenger arrivals. Zbl 1429.62686
Medeiros, Marcelo C.; McAleer, Michael; Slottje, Daniel; Ramos, Vicente; Rey-Maquieira, Javier
1
2008
The geometry of specification error. Zbl 0582.62055
Fisher, Gordon; McAleer, Michael
1
1984
Patent activity and technical change. Zbl 1418.62415
Basmann, Robert L.; McAleer, Michael; Slottje, Daniel
1
2007
Realized stochastic volatility with general asymmetry and long memory. Zbl 1388.62245
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael
2
2017
The correct regularity condition and interpretation of asymmetry in EGARCH. Zbl 1401.62144
Chang, Chia-Lin; McAleer, Michael
1
2017
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance. Zbl 1337.62317
Asai, Manabu; McAleer, Michael
2
2015
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing. Zbl 1337.62316
Asai, Manabu; McAleer, Michael
2
2015
Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China. Zbl 1398.62276
Bai, Zhidong; Li, Hua; McAleer, Michael; Wong, Wing-Keung
2
2015
Econometric analysis of financial derivatives: an overview. Zbl 1314.00084
Chang, Chia-Lin; McAleer, Michael
1
2015
Modelling and forecasting noisy realized volatility. Zbl 1241.91135
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C.
12
2012
Moment-based estimation of smooth transition regression models with endogenous variables. Zbl 1441.62591
Areosa, Waldyr Dutra; McAleer, Michael; Medeiros, Marcelo C.
5
2011
Dynamic conditional correlations for asymmetric processes. Zbl 1403.62153
Asai, Manabu; McAleer, Michael
1
2011
A decision rule to minimize daily capital charges in forecasting value-at-risk. Zbl 1204.91099
McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez-Amaral, Teodosio
5
2010
A simple expected volatility (SEV) index: Application to SET50 index options. Zbl 1194.91202
McAleer, Michael; Wiphatthanananthakul, Chatayan
1
2010
Structure and asymptotic theory for multivariate asymmetric conditional volatility. Zbl 1168.62083
McAleer, Michael; Hoti, Suhejla; Chan, Felix
16
2009
The structure of dynamic correlations in multivariate stochastic volatility models. Zbl 1429.62457
Asai, Manabu; Mcaleer, Michael
15
2009
Multivariate stochastic volatility, leverage and news impact surfaces. Zbl 1231.91483
Asai, Manabu; McAleer, Michael
7
2009
Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market. Zbl 1162.91520
Allen, David; Lazarov, Zdravetz; McAleer, Michael; Peiris, Shelton
6
2009
Mapping the presidential election cycle in US stock markets. Zbl 1170.91509
Wong, Wing-Keung; McAleer, Michael
2
2009
Forecasting conditional correlations in stock, bond and foreign exchange markets. Zbl 1168.91495
Hakim, Abdul; Mcaleer, Michael
2
2009
Simplicity, inference and modelling. Keeping it sophisticatedly simple. Reprint of the 2001 hardback ed. Zbl 1179.62010
Zellner, Arnold; Keuzenkamp, Hugo A.; McAleer, Michael
2
2009
ARMAX modelling of international tourism demand. Zbl 1168.91474
Lim, Christine; Mcaleer, Michael; Min, Jennifer C. H.
1
2009
Modelling risk in agricultural finance: Application to the poultry industry in Taiwan. Zbl 1155.91442
Huang, Biing-Wen; Chen, Meng-Gu; Chang, Chia-Lin; McAleer, Michael
1
2009
Realized volatility: a review. Zbl 1148.62089
McAleer, Michael; Medeiros, Marcelo C.
35
2008
Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks. Zbl 1429.62649
Allen, David; Chan, Felix; McAleer, Michael; Peiris, Shelton
20
2008
Generalized autoregressive conditional correlation. Zbl 1277.62214
McAleer, Michael; Chan, Felix; Hoti, Suhejla; Lieberman, Offer
16
2008
A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries. Zbl 1429.62405
McAleer, Michael; Medeiros, Marcelo C.
16
2008
Realized volatility and long memory: an overview. Zbl 1359.62460
Maasoumi, Esfandiar; McAleer, Michael
5
2008
An alternative approach to estimating demand: neural network regression with conditional volatility for high frequency air passenger arrivals. Zbl 1429.62686
Medeiros, Marcelo C.; McAleer, Michael; Slottje, Daniel; Ramos, Vicente; Rey-Maquieira, Javier
1
2008
An econometric analysis of asymmetric volatility: theory and application to patents. Zbl 1418.62517
McAleer, Michael; Chan, Felix; Marinova, Dora
19
2007
Non-trading day effects in asymmetric conditional and stochastic volatility models. Zbl 1137.91424
Asai, Manabu; McAleer, Michael
2
2007
Patent activity and technical change. Zbl 1418.62415
Basmann, Robert L.; McAleer, Michael; Slottje, Daniel
1
2007
Multivariate stochastic volatility: a review. Zbl 1107.62108
Asai, Manabu; McAleer, Michael; Yu, Jun
53
2006
Asymmetric multivariate stochastic volatility. Zbl 1112.62116
Asai, Manabu; McAleer, Michael
18
2006
Multivariate stochastic volatility: an overview. Zbl 1220.62129
Maasoumi, Esfandiar; McAleer, Michael
6
2006
Automated inference and learning in modeling financial volatility. Zbl 1072.62104
McAleer, Michael
72
2005
Dynamic asymmetric leverage in stochastic volatility models. Zbl 1075.62092
Asai, Manabu; McAleer, Michael
12
2005
Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations. Zbl 1065.92057
Hoti, Suhejla; McAleer, Michael; Chan, Felix
2
2005
Fat tails and asymmetry in financial volatility models. Zbl 1062.91040
Verhoeven, Peter; McAleer, Michael
8
2004
Regression quantiles for unstable autoregressive models. Zbl 1047.62077
Ling, Shiqing; McAleer, Michael
5
2004
Estimation and testing for unit root processes with GARCH(1,1) errors: theory and Monte Carlo evidence. Zbl 1106.62346
Ling, Shiqing; Li, W. K.; McAleer, Michael
29
2003
On adaptive estimation in nonstationary ARMA models with GARCH errors. Zbl 1039.62084
Ling, Shiqing; McAleer, Michael
28
2003
Asymptotic theory for a vector ARMA-GARCH model. Zbl 1441.62799
Ling, Shiqing; McAleer, Michael
23
2003
Stationarity and the existence of moments of a family of GARCH processes. Zbl 1043.62073
Ling, Shiqing; McAleer, Michael
60
2002
Necessary and sufficient moment conditions for the \(\text{GARCH}((r,s)\) and asymmetric power \(\text{GARCH}((r,s)\) models. Zbl 1110.62332
Ling, Shiqing; McAleer, Michael
53
2002
Nonlinear modelling and forecasting of S& P 500 volatility. Zbl 1008.91099
Verhoeven, Peter; Pilgram, Berndt; McAleer, Michael; Mees, Alistair
3
2002
A cointegration analysis of annual tourism demand by Malaysia for Australia. Zbl 1032.91674
Lim, Christine; McAleer, Michael
1
2002
Simplicity, inference and modelling. Keeping it sophisticatedly simple. Zbl 1019.62003
Zellner, Arnold; Keuzenkamp, Hugo A.; McAleer, Michael
6
2001
Size characteristics of tests for sample selection bias: A Monte Carlo comparison and empirical example. Zbl 1019.62019
Nawata, Kazumitsu; McAleer, Michael
5
2001
Tests of linear and logarithmic transformations for integrated processes. Zbl 0996.62081
Kobayashi, Masahito; McAleer, Michael
3
1999
Analytical power comparisons of nested and nonnested tests for linear and loglinear regression models. Zbl 1069.62535
Kobayashi, Masahito; McAleer, Michael
2
1999
Testing for unit roots and nonlinear transformations. Zbl 0944.62078
Franses, Philip Hans; McAleer, Michael
8
1998
Testing nested and non-nested periodically integrated autoregressive models. Zbl 0920.62107
Franses, Philip Hans; McAleer, Michael
1
1997
Econometric methodology and the philosophy of science. Zbl 0839.62102
Dharmapala, Dhammika; McAleer, Michael
2
1996
The significance of testing empirical non-nested models. Zbl 0925.62525
McAleer, Michael
16
1995
Properties of ordinary least squares estimators in regression models with nonspherical disturbances. Zbl 0755.62084
Fiebig, Denzil G.; McAleer, Michael; Bartels, Robert
6
1992
Recursive estimation and generated regressors. Zbl 0775.62338
McAleer, Michael; McKenzie, C. R.
1
1992
A new approach to maximum likelihood estimation of the three-parameter gamma and Weibull distributions. Zbl 0850.62241
Bai, Jun; Jakeman, Anthony J.; McAleer, Michael
9
1991
When are two step estimators efficient? Zbl 0741.62096
McAleer, Michael; McKenzie, C. R.
4
1991
Nested and non-nested procedures for testing linear and log-linear regression models. Zbl 0685.62051
Bera, Anil K.; McAleer, Michael
2
1989
A sequential testing procedure for outliers and structural change. Zbl 0718.62184
McAleer, Michael; Tse, Y. K.
2
1988
Further results on testing AR(1) against MA(1) disturbances in the linear regression model. Zbl 0627.62075
King, Maxwell L.; McAleer, Michael
12
1987
On exact and asymptotic tests of non-nested models. Zbl 0603.62079
Bera, Anil K.; McAleer, Michael
1
1987
Statistical inference in non-nested econometric models. Zbl 0658.62134
McAleer, Michael; Pesaran, M. Hashem
9
1986
A further result on the sign of restricted least-squares estimates. Zbl 0596.62115
McAleer, Michael; Pagan, Adrian; Visco, Ignazio
1
1986
The geometry of specification error. Zbl 0582.62055
Fisher, Gordon; McAleer, Michael
1
1984
Alternative procedures and associated tests of significance for non- nested hypotheses. Zbl 0532.62098
Fisher, Gordon R.; McAleer, Michael
29
1981
all top 5

Cited by 630 Authors

63 McAleer, Michael
15 Asai, Manabu
13 Shin, Dongwan
11 Francq, Christian
11 Ling, Shiqing
11 Zakoïan, Jean-Michel
9 Medeiros, Marcelo C.
7 Chan, Felix T. S.
7 Chang, Chialin
7 Omori, Yasuhiro
7 So, Mike K. P.
6 Gerlach, Richard H.
6 Hoti, Suhejla
6 Li, Wai Keung
6 Pesaran, M. Hashem
5 Allen, David E.
5 Jimenez-Martin, Juan-Angel
5 Peiris, M. Shelton
5 Wong, Wing-Keung
4 Caporin, Massimiliano
4 Cavaliere, Giuseppe
4 Chen, Cathy W. S.
4 Fiebig, Denzil G.
4 Franses, Philip Hans
4 Godfrey, Leslie G.
4 Hwang, Eunju
4 Krämer, Walter
4 Lee, Oesook
4 Lee, Taewook
4 Perez-Amaral, Teodosio
4 Sayyareh, Abdolreza
4 Shao, Xiaofeng
4 Slottje, Daniel J.
4 Triantafyllopoulos, Kostas
4 Wu, Wei Biao
4 Wu, Wuqing
3 Bartels, Robert
3 Bhatti, Chad R.
3 Corsi, Fulvio
3 Gribisch, Bastian
3 Horváth, Lajos
3 Ishihara, Tsunehiro
3 Kobayashi, Masahito
3 Lee, Sangyeol
3 Liu, Shuangzhe
3 Maasoumi, Esfandiar
3 Patton, Andrew J.
3 Silvapulle, Paramsothy
3 Taylor, A. M. Robert
3 Werker, Bas J. M.
2 Araújo Santos, Paulo
2 Balakrishnan, Narayanaswamy
2 Bandi, Federico M.
2 Barigozzi, Matteo
2 Bloomfield, Peter
2 Bollerslev, Tim
2 Chen, Zhao
2 Cheng, Xu
2 Cheong, Chin Wen
2 Choi, Jieun
2 Cribari-Neto, Francisco
2 Da Fonseca, José
2 Davidson, Russell
2 Demetrescu, Matei
2 Demos, Antonis
2 Drost, Feike C.
2 Engle, Robert Fry
2 Fan, Yanqin
2 Gao, Jiti
2 Ghosh, Sujit Kumar
2 Ghysels, Eric
2 Gospodinov, Nikolay
2 Haas, Markus
2 Hafner, Christian Matthias
2 Hallin, Marc
2 Heyde, Christopher Charles
2 Higgins, Matthew L.
2 Hörmann, Siegfried
2 Hušková, Marie
2 Jones, Owen Dafydd
2 King, Maxwell Leslie
2 Koopman, Siem Jan
2 Koul, Hira Lal
2 Ku, Yu-Cheng
2 Kunitomo, Naoto
2 Laurini, Márcio Poletti
2 Li, Dong
2 Li, Ming-Yuan Leon
2 Li, Qi
2 Lin, Edward M. H.
2 Lin, Hsinyi
2 Liu, Jichun
2 Lucena, Sadraque E. F.
2 MacKinnon, James G.
2 Maheu, John M.
2 Marinova, Dora
2 Massacci, Daniele
2 Mckenzie, C. R.
2 Meintanis, Simos G.
2 Meitz, Mika
...and 530 more Authors
all top 5

Cited in 71 Serials

89 Journal of Econometrics
53 Mathematics and Computers in Simulation
31 Econometric Reviews
26 Economics Letters
25 Econometric Theory
22 Computational Statistics and Data Analysis
18 Quantitative Finance
16 Communications in Statistics. Theory and Methods
14 Statistics & Probability Letters
14 Journal of Time Series Analysis
11 Communications in Statistics. Simulation and Computation
11 Journal of Statistical Computation and Simulation
10 Journal of the Korean Statistical Society
7 The Annals of Statistics
7 Statistical Papers
7 The Econometrics Journal
7 Journal of Time Series Econometrics
5 Journal of Statistical Planning and Inference
5 Computational Statistics
5 European Journal of Operational Research
5 Asia-Pacific Financial Markets
4 Scandinavian Journal of Statistics
4 Applied Mathematics and Computation
4 Bernoulli
3 Annals of the Institute of Statistical Mathematics
3 Statistical Science
3 Journal of Economic Dynamics & Control
3 Stochastic Processes and their Applications
3 Australian & New Zealand Journal of Statistics
3 Journal of Applied Statistics
2 Advances in Applied Probability
2 Acta Mathematicae Applicatae Sinica. English Series
2 Statistics
2 Statistica Sinica
2 Applied Stochastic Models in Business and Industry
2 AStA. Advances in Statistical Analysis
2 Science China. Mathematics
2 Annals of Finance
2 Bayesian Analysis
1 Physica A
1 Journal of the American Statistical Association
1 Kybernetika
1 Studia Logica
1 Synthese
1 Journal of the Japan Statistical Society
1 Insurance Mathematics & Economics
1 Computers & Operations Research
1 Mathematical and Computer Modelling
1 Multidimensional Systems and Signal Processing
1 The Annals of Applied Probability
1 Linear Algebra and its Applications
1 Computational Economics
1 Test
1 Applied Mathematics. Series B (English Edition)
1 Applied Mathematical Finance
1 Studies in Nonlinear Dynamics and Econometrics
1 Far East Journal of Theoretical Statistics
1 Journal of the Royal Statistical Society. Series B. Statistical Methodology
1 Philosophical Transactions of the Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences
1 Acta Mathematica Sinica. English Series
1 RAIRO. Operations Research
1 Decisions in Economics and Finance
1 Statistical Modelling
1 Thai Journal of Mathematics
1 Journal of Forecasting
1 The European Physical Journal B. Condensed Matter and Complex Systems
1 Journal of Statistical Theory and Practice
1 Electronic Journal of Statistics
1 Journal of Probability and Statistics
1 European Journal for Philosophy of Science
1 Journal of Statistical Distributions and Applications

Citations by Year