[RAS] [RePEc] Your monthly statistics (fwd)

Christian Zimmermann zimmermann at stlouisfed.org
Sun Jun 5 16:19:01 CDT 2011 

#5

-- 
Christian Zimmermann                          FIGUGEGL!
Economic Research
Federal Reserve Bank of St. Louis
P.O. Box 442
St. Louis MO 63166-0442 USA
http://ideas.repec.org/zimm/

---------- Forwarded message ----------
Date: Sun, 5 Jun 2011 21:37:54 +0200
From: Michael McAleer <michael.mcaleer at gmail.com>
To: Christian Zimmermann <christian.zimmermann at uconn.edu>
Subject: Re: [RePEc] Your monthly statistics

Dear Professor Zimmermann,

    In the past 5 days, my rePEc citations have dropped from 995 to 651, a
drastic reduction of 35%.

    I am simply pointing this out to you, though you may already know about
this.

    The standard response is that the so-called updates have resolved any
double counting.

    Such a response, were it to be presented, would be nonsensical for two
reasons:

(1) my citations have not been as low as 651 for at least a year, which
would mean that your citations search algorithm, if it is, in fact, giving
the correct number of citations, would have been in grievous error for at
least one year, which is hardly reassuring;

(2) the deleted citations that I have checked involve no double counting,
which takes us back to point (1).

    I am simply making these observations in the hope that the algorithms you
and the other members of the RePEc team are using will be able to resolve
these flaws.

    It is worth noting that SSRN and ISI do not seem to have such flaws,
whereby citations (or any other m4easure of academic impact) can decrease by
35% virtually overnight.

    It might be worth noting that for the past 4 months, my citations have
dropped from around 990 by at least 50 in the days before the monthly RePEc
rankings have been released, but have returned within a matter of days to
their previous levels.

    This month, however, the numbers have been dropping alarmingly in only
one direction.

    Yours sincerely,

    Michael McAleer





On Thu, May 5, 2011 at 7:31 AM, Christian Zimmermann <
christian.zimmermann at uconn.edu> wrote:

> Michael Mcaleer,
>
>
> this is a monthly message to inform you about the visibility of
> your works through RePEc. This message also contains information on
> how to update your profile.
>
> =======================
> There seems to be some confusion about what counts as an affiliation and
> how mutliple affiliations are treated. Please see the RePEc blog at
> http://blog.repec.org/ for some explanations in this regard.
> =======================
>
> For additional frequently asked questions, see
> http://authors.repec.org/FAQ.
>
>
> Watch further down in this message for new citations to your works we have
> uncovered.
>
> Your ranking analysis, along with links to your profile pages on the
> various RePEc services, is available at:
> http://ideas.repec.org/cgi-bin/rank.cgi?pmc90&PNkJ
>
> This link is valid only for a month. You can directly check
> for new items you could add to your profile here:
> http://authors.repec.org/?login=michael.mcaleer@gmail.com
>
> Your profile currently contains 549 items, among them 411 papers, 131
> articles.
> Below are some traffic statistics for all these items, as provided by
> LogEc. More details for each of your works are available directly at
> http://logec.repec.org/RAS/pmc90.htm
>
>                Abstract     File
>                 views     downloads
> Last month       1225        534
> Previous month   1308        514
> Last 3 months    3696        1557
> Last 12 months   14892       6673
> Since start      75053       22931
>
> We have found the following citations to your works during the last month:
>
> - Massimiliano Caporin & Michael McAleer, 2009.
> "Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models,"
> Documentos del Instituto Complutense de Análisis Económico 0904,
> Universidad Complutense de Madrid, Facultad de Ciencias Económicas y
> Empresariales.
>
> cited in:
> ** - Caporin, M. & McAleer, M.J., 2010.
> "Ranking multivariate GARCH models by problem dimension,"
> Econometric Institute Report EI 2010-34, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - Chang, C-L. & McAleer, M.J., 2010.
> "Aggregation, Heterogeneous Autoregression and Volatility of Daily
> International Tourist Arrivals and Exchange Rates,"
> Econometric Institute Report EI 2010-15, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2010.
> "Conditional Correlations and Volatility Spillovers Between Crude Oil and
> Stock Index Returns,"
> Econometric Institute Report EI 2010-12, Erasmus University Rotterdam,
> Econometric Institute.
>
> - Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2009.
> "Expert opinion versus expertise in forecasting," Statistica Neerlandica,
> Netherlands Society for Statistics and Operations Research, vol. 63(3),
> pages 334-346.
>
> cited in:
> ** - Franses, Ph.H.B.F., 2009.
> "Forecasting Sales,"
> Econometric Institute Report EI 2009-29, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2011.
> "Are Forecast Updates Progressive?,"
> Documentos del Instituto Complutense de Análisis Económico 1103,
> Universidad Complutense de Madrid, Facultad de Ciencias Económicas y
> Empresariales.
>
> - McAleer, Michael & Chan, Felix & Marinova, Dora, 2007.
> "An econometric analysis of asymmetric volatility: Theory and application
> to patents," Journal of Econometrics, Elsevier, vol. 139(2), pages 259-284,
> August.
>
> cited in:
> ** - Chen, P.-Y. & Chang, C-L. & Chen, C-C. & McAleer, M.J., 2010.
> "Modeling the Effect of Oil Price on Global Fertilizer Prices,"
> Econometric Institute Report EI 2010-56, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - Chang, C-L. & Huang, B-W. & Chen, M.-G., 2010.
> "Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of
> Joining the WTO,"
> Econometric Institute Report EI 2010-46, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer,
> 2010.
> "Modeling the Effect of Oil Price on Global Fertilizer Prices,"
> Working Papers in Economics 10/55, University of Canterbury, Department of
> Economics and Finance.
>
> - Michael McAleer & C. R. McKenzie, 1991.
> "When are two step estimators efficient?," Econometric Reviews, Taylor and
> Francis Journals, vol. 10(2), pages 235-252.
>
> cited in:
> ** - Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2011.
> "Are Forecast Updates Progressive?,"
> Documentos del Instituto Complutense de Análisis Económico 1103,
> Universidad Complutense de Madrid, Facultad de Ciencias Económicas y
> Empresariales.
>
> -  Oxley, Les & McAleer, Michael, 1993.
> " Econometric Issues in Macroeconomic Models with Generated Regressors,"
> Journal of Economic Surveys, Blackwell Publishing, vol. 7(1), pages 1-40.
>
> cited in:
> ** - Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2011.
> "Are Forecast Updates Progressive?,"
> Documentos del Instituto Complutense de Análisis Económico 1103,
> Universidad Complutense de Madrid, Facultad de Ciencias Económicas y
> Empresariales.
>
> - Allen, David & Chan, Felix & McAleer, Michael & Peiris, Shelton, 2008.
> "Finite sample properties of the QMLE for the Log-ACD model: Application to
> Australian stocks," Journal of Econometrics, Elsevier, vol. 147(1), pages
> 163-185, November.
>
> cited in:
> ** - David E. Allen & Zdravetz Lazarov & Michael McAleer & Shelton Peiris,
> 2007.
> "Comparison of Alternative ACD Models via Density and Interval Forecasts:
> Evidence from the Australian Stock Market,"
> Working papers 2007-03, Edith Cowan University, School of Accounting
> Finance & Economics.
>
> - Michael McAleer, 2009.
> "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital
> Charges,"
> CARF F-Series CARF-F-164, Center for Advanced Research in Finance, Faculty
> of Economics, The University of Tokyo.
>
> cited in:
> ** - Shawkat Hammoudeh & Farooq Malik & Michael McAleer, 2011.
> "Risk Management of Precious Metals,"
> Documentos del Instituto Complutense de Análisis Económico 1104,
> Universidad Complutense de Madrid, Facultad de Ciencias Económicas y
> Empresariales.
>
> - Riaz Shareef & Michael McAleer, 2006.
> "Modelling International Tourism Demand and Uncertainty in Maldives and
> Seychelles: A Portfolio Approach,"
> Working papers 2006-05, Edith Cowan University, School of Accounting
> Finance & Economics.
>
> cited in:
> ** - Chia-Lin Chang & Michael McAleer & Christine Lim, 2010.
> "Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals
> to New Zealand and Taiwan,"
> Working Papers in Economics 10/40, University of Canterbury, Department of
> Economics and Finance.
>
> ** - Chang, C-L. & McAleer, M.J., 2010.
> "Aggregation, Heterogeneous Autoregression and Volatility of Daily
> International Tourist Arrivals and Exchange Rates,"
> Econometric Institute Report EI 2010-15, Erasmus University Rotterdam,
> Econometric Institute.
>
> - Suhejla Hoti & Michael McAleer & Laurent L. Pauwels, 2004.
> "Modelling Environmental Risk,"
> IHEID Working Papers 08-2004, Economics Section, The Graduate Institute of
> International Studies.
>
> cited in:
> ** - Chen, P.-Y. & Chang, C-L. & Chen, C-C. & McAleer, M.J., 2010.
> "Modeling the Effect of Oil Price on Global Fertilizer Prices,"
> Econometric Institute Report EI 2010-56, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer,
> 2010.
> "Modeling the Effect of Oil Price on Global Fertilizer Prices,"
> Working Papers in Economics 10/55, University of Canterbury, Department of
> Economics and Finance.
>
> - Massimiliano Caporin & Michael McAleer, 2009.
> "Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models,"
> CARF F-Series CARF-F-156, Center for Advanced Research in Finance, Faculty
> of Economics, The University of Tokyo.
>
> cited in:
> ** - Caporin, M. & McAleer, M.J., 2010.
> "Ranking multivariate GARCH models by problem dimension,"
> Econometric Institute Report EI 2010-34, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - Chang, C-L. & McAleer, M.J., 2010.
> "Aggregation, Heterogeneous Autoregression and Volatility of Daily
> International Tourist Arrivals and Exchange Rates,"
> Econometric Institute Report EI 2010-15, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2010.
> "Conditional Correlations and Volatility Spillovers Between Crude Oil and
> Stock Index Returns,"
> Econometric Institute Report EI 2010-12, Erasmus University Rotterdam,
> Econometric Institute.
>
> - Fiebig, Denzil G. & McAleer, Michael & Bartels, Robert, 1992.
> "Properties of ordinary least squares estimators in regression models with
> nonspherical disturbances," Journal of Econometrics, Elsevier, vol. 54(1-3),
> pages 321-334.
>
> cited in:
> ** - Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2010.
> "Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments,"
> Working Papers in Economics 10/09, University of Canterbury, Department of
> Economics and Finance.
>
> ** - Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010.
> "Combining Non-Replicable Forecasts,"
> Working Papers in Economics 10/35, University of Canterbury, Department of
> Economics and Finance.
>
> ** - Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010.
> "How Accurate are Government Forecasts of Economic Fundamentals? The Case
> of Taiwan,"
> Working Papers in Economics 10/16, University of Canterbury, Department of
> Economics and Finance.
>
> ** - Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010.
> "Are Forecast Updates Progressive?,"
> Working Papers in Economics 10/12, University of Canterbury, Department of
> Economics and Finance.
>
> - Ling, Shiqing & McAleer, Michael, 2002.
> "Stationarity and the existence of moments of a family of GARCH processes,"
> Journal of Econometrics, Elsevier, vol. 106(1), pages 109-117, January.
>
> cited in:
> ** - Chen, P.-Y. & Chang, C-L. & Chen, C-C. & McAleer, M.J., 2010.
> "Modeling the Effect of Oil Price on Global Fertilizer Prices,"
> Econometric Institute Report EI 2010-56, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - Alex Huang, 2011.
> "Volatility Modeling by Asymmetrical Quadratic Effect with Diminishing
> Marginal Impact," Computational Economics, Springer, vol. 37(3), pages
> 301-330, March.
>
> ** - Chang, C-L. & Huang, B-W. & Chen, M.-G., 2010.
> "Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of
> Joining the WTO,"
> Econometric Institute Report EI 2010-46, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer,
> 2010.
> "Modeling the Effect of Oil Price on Global Fertilizer Prices,"
> Working Papers in Economics 10/55, University of Canterbury, Department of
> Economics and Finance.
>
> - Jose Angelo Divino & Michael McAleer, 2009.
> "Modelling the Growth and Volatility in Daily International Mass Tourism to
> Peru,"
> Documentos del Instituto Complutense de Análisis Económico 0915,
> Universidad Complutense de Madrid, Facultad de Ciencias Económicas y
> Empresariales.
>
> cited in:
> ** - Chang, C-L. & McAleer, M.J., 2010.
> "Aggregation, Heterogeneous Autoregression and Volatility of Daily
> International Tourist Arrivals and Exchange Rates,"
> Econometric Institute Report EI 2010-15, Erasmus University Rotterdam,
> Econometric Institute.
>
> - Hammoudeh, Shawkat M. & Yuan, Yuan & McAleer, Michael & Thompson, Mark
> A., 2010.
> "Precious metals-exchange rate volatility transmissions and hedging
> strategies," International Review of Economics & Finance, Elsevier, vol.
> 19(4), pages 633-647, October.
>
> cited in:
> ** - Shawkat Hammoudeh & Farooq Malik & Michael McAleer, 2010.
> "Risk Management of Precious Metals,"
> Working Papers in Economics 10/37, University of Canterbury, Department of
> Economics and Finance.
>
> ** - Shawkat Hammoudeh & Farooq Malik & Michael McAleer, 2011.
> "Risk Management of Precious Metals,"
> Documentos del Instituto Complutense de Análisis Económico 1104,
> Universidad Complutense de Madrid, Facultad de Ciencias Económicas y
> Empresariales.
>
> - McAleer, Michael, 1992.
> "Efficient Estimation: The Rao-Zyskind Condition, Kruskal's Theorem and
> Ordinary Least Squares," The Economic Record, The Economic Society of
> Australia, vol. 68(200), pages 65-72, March.
>
> cited in:
> ** - Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2010.
> "Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments,"
> Working Papers in Economics 10/09, University of Canterbury, Department of
> Economics and Finance.
>
> ** - Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010.
> "Combining Non-Replicable Forecasts,"
> Working Papers in Economics 10/35, University of Canterbury, Department of
> Economics and Finance.
>
> ** - Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010.
> "How Accurate are Government Forecasts of Economic Fundamentals? The Case
> of Taiwan,"
> Working Papers in Economics 10/16, University of Canterbury, Department of
> Economics and Finance.
>
> ** - Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010.
> "Are Forecast Updates Progressive?,"
> Working Papers in Economics 10/12, University of Canterbury, Department of
> Economics and Finance.
>
> - Shiqing Ling & Michael McAleer, 2001.
> "On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors,"
> ISER Discussion Paper 0548, Institute of Social and Economic Research,
> Osaka University.
>
> cited in:
> ** - Chia-Lin Chang & Michael McAleer & Christine Lim, 2010.
> "Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals
> to New Zealand and Taiwan,"
> Working Papers in Economics 10/40, University of Canterbury, Department of
> Economics and Finance.
>
> ** - Chia-Lin Chang & Biing-Wen Huang & Meng-Gu Chen & Michael McAleer,
> 2010.
> "Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of
> Joining the WTO,"
> Working Papers in Economics 10/39, University of Canterbury, Department of
> Economics and Finance.
>
> ** - Chang, C-L. & McAleer, M.J., 2010.
> "Aggregation, Heterogeneous Autoregression and Volatility of Daily
> International Tourist Arrivals and Exchange Rates,"
> Econometric Institute Report EI 2010-15, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - Chen, P.-Y. & Chang, C-L. & Chen, C-C. & McAleer, M.J., 2010.
> "Modeling the Effect of Oil Price on Global Fertilizer Prices,"
> Econometric Institute Report EI 2010-56, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - Chang, C-L. & Huang, B-W. & Chen, M.-G., 2010.
> "Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of
> Joining the WTO,"
> Econometric Institute Report EI 2010-46, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer,
> 2010.
> "Modeling the Effect of Oil Price on Global Fertilizer Prices,"
> Working Papers in Economics 10/55, University of Canterbury, Department of
> Economics and Finance.
>
> - da Veiga, Bernardo & Chan, Felix & McAleer, Michael, 2008.
> "Evaluating the impact of market reforms on Value-at-Risk forecasts of
> Chinese A and B shares," Pacific-Basin Finance Journal, Elsevier, vol.
> 16(4), pages 453-475, September.
>
> cited in:
> ** - Veiga, B. da & Chan, F. & McAleer, M.J., 2009.
> "It Pays to Violate: How Effective are the Basel Accord Penalties?,"
> Econometric Institute Report EI 2009-39, Erasmus University Rotterdam,
> Econometric Institute.
>
> - Massimiliano Caporin & Michael McAleer, 2010.
> "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH
> Models,"
> CIRJE F-Series CIRJE-F-713, CIRJE, Faculty of Economics, University of
> Tokyo.
>
> cited in:
> ** - Caporin, M. & McAleer, M.J., 2010.
> "Ranking multivariate GARCH models by problem dimension,"
> Econometric Institute Report EI 2010-34, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - Chang, C-L. & McAleer, M.J., 2010.
> "Aggregation, Heterogeneous Autoregression and Volatility of Daily
> International Tourist Arrivals and Exchange Rates,"
> Econometric Institute Report EI 2010-15, Erasmus University Rotterdam,
> Econometric Institute.
>
> - Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio
> Pérez-Amaral, 2009.
> "The Ten Commandments For Managing Value At Risk Under The Basel Ii
> Accord," Journal of Economic Surveys, Blackwell Publishing, vol. 23(5),
> pages 850-855, December.
>
> cited in:
> ** - Shawkat Hammoudeh & Farooq Malik & Michael McAleer, 2010.
> "Risk Management of Precious Metals,"
> Working Papers in Economics 10/37, University of Canterbury, Department of
> Economics and Finance.
>
> ** - Michael McAleer & Juan-à ngel Jiménez-Martín & Teodosio
> Pérez-Amaral, 2010.
> "GFC-Robust Risk Management Strategies under the Basel Accord,"
> Working Papers in Economics 10/63, University of Canterbury, Department of
> Economics and Finance.
>
> ** - McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T., 2011.
> "International Evidence on GFC-robust Forecasts for Risk Management under
> te Basel Accord,"
> Econometric Institute Report EI 2011-04, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - Michael McAleer & Juan-à ngel Jiménez-Martín & Teodosio
> Pérez-Amaral, 2011.
> "International Evidence on GFC-robust Forecasts for Risk Management under
> the Basel Accord,"
> Working Papers in Economics 11/05, University of Canterbury, Department of
> Economics and Finance.
>
> ** - McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T., 2009.
> "What Happened to Risk Management During the 2008-09 Financial Crisis?,"
> Econometric Institute Report EI 2009-17, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T., 2010.
> "GFC-Robust Risk Management Strategies under the Basel Accord,"
> Econometric Institute Report EI 2010-59, Erasmus University Rotterdam,
> Econometric Institute.
>
> -  Li, W K & Ling, Shiqing & McAleer, Michael, 2002.
> " Recent Theoretical Results for Time Series Models with GARCH Errors,"
> Journal of Economic Surveys, Blackwell Publishing, vol. 16(3), pages 245-69,
> July.
>
> cited in:
> ** - Chang, C-L. & Huang, B-W. & Chen, M.-G., 2010.
> "Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of
> Joining the WTO,"
> Econometric Institute Report EI 2010-46, Erasmus University Rotterdam,
> Econometric Institute.
>
> - Suhejla Hoti & Riaz Shareef & Michael McAleer, 2005.
> "Modelling International Tourism and Country Risk Spillovers for Cyprus and
> Malta,"
> Working papers 2005-16, Edith Cowan University, School of Accounting
> Finance & Economics.
>
> cited in:
> ** - Chang, C-L. & McAleer, M.J., 2010.
> "Aggregation, Heterogeneous Autoregression and Volatility of Daily
> International Tourist Arrivals and Exchange Rates,"
> Econometric Institute Report EI 2010-15, Erasmus University Rotterdam,
> Econometric Institute.
>
> - Michael McAleer & Marcelo Medeiros, 2008.
> "Realized Volatility: A Review," Econometric Reviews, Taylor and Francis
> Journals, vol. 27(1-3), pages 10-45.
>
> cited in:
> ** - Julien Chevallier & Benoît Sévi, 2011.
> "On the realized volatility of the ECX CO<Subscript>2</Subscript> emissions
> 2008 futures contract: distribution, dynamics and forecasting," Annals of
> Finance, Springer, vol. 7(1), pages 1-29, February.
>
> ** - Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011.
> "Modelling and Forecasting Noisy Realized Volatility,"
> Documentos del Instituto Complutense de Análisis Económico 1109,
> Universidad Complutense de Madrid, Facultad de Ciencias Económicas y
> Empresariales.
>
> - Smith, Jeremy & McAleer, Michael, 1994.
> "Newey-West Covariance Matrix Estimates for Models with Generated
> Regressors," Applied Economics, Taylor and Francis Journals, vol. 26(6),
> pages 635-40, June.
>
> cited in:
> ** - Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2011.
> "Are Forecast Updates Progressive?,"
> Documentos del Instituto Complutense de Análisis Económico 1103,
> Universidad Complutense de Madrid, Facultad de Ciencias Económicas y
> Empresariales.
>
> - McAleer, Michael & Medeiros, Marcelo C., 2008.
> "A multiple regime smooth transition Heterogeneous Autoregressive model for
> long memory and asymmetries," Journal of Econometrics, Elsevier, vol.
> 147(1), pages 104-119, November.
>
> cited in:
> ** - Fulvio Corsi & Francesco Audrino, 2008.
> "Modeling Tick-by-Tick Realized Correlations,"
> University of St. Gallen Department of Economics working paper series 2008
> 2008-05, Department of Economics, University of St. Gallen.
>
> ** - McAleer, M.J., 2008.
> "The ten commandments for optimizing value-at-risk and daily capital
> charges,"
> Econometric Institute Report EI 2008-32, Erasmus University Rotterdam,
> Econometric Institute.
>
> - McAleer, Michael & Pagan, Adrian, 1985.
> "What Will Take the Con Out of Econometrics?,"
> CEPR Discussion Papers 39, C.E.P.R. Discussion Papers.
>
> cited in:
> ** - Jennifer Castle & Xiaochuan Qin & W. Robert Reed, 2011.
> "Using Model Selection Algorthims to Obtain Reliable Coefficient
> Estimates,"
> Working Papers in Economics 11/03, University of Canterbury, Department of
> Economics and Finance.
>
> - McAleer, Michael, 2005.
> "Automated Inference And Learning In Modeling Financial Volatility,"
> Econometric Theory, Cambridge University Press, vol. 21(01), pages 232-261,
> February.
>
> cited in:
> ** - Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010.
> "Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging
> in Major Oil Markets,"
> Working Papers in Economics 10/19, University of Canterbury, Department of
> Economics and Finance.
>
> ** - Caporin, M. & McAleer, M.J., 2010.
> "Ranking multivariate GARCH models by problem dimension,"
> Econometric Institute Report EI 2010-34, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011.
> "Modelling and Forecasting Noisy Realized Volatility,"
> Documentos del Instituto Complutense de Análisis Económico 1109,
> Universidad Complutense de Madrid, Facultad de Ciencias Económicas y
> Empresariales.
>
> ** - Chang, C-L. & Huang, B-W. & Chen, M.-G., 2010.
> "Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of
> Joining the WTO,"
> Econometric Institute Report EI 2010-46, Erasmus University Rotterdam,
> Econometric Institute.
>
> - Chang, C-L. & McAleer, M.J., 2009.
> "Daily tourist arrivals, exchange rates and volatility for Korea and
> Taiwan,"
> Econometric Institute Report EI 2009-41, Erasmus University Rotterdam,
> Econometric Institute.
>
> cited in:
> ** - Chang, C-L. & McAleer, M.J., 2010.
> "Aggregation, Heterogeneous Autoregression and Volatility of Daily
> International Tourist Arrivals and Exchange Rates,"
> Econometric Institute Report EI 2010-15, Erasmus University Rotterdam,
> Econometric Institute.
>
> - Michael McAleer & Bernardo da Veiga, 2008.
> "Single-index and portfolio models for forecasting value-at-risk
> thresholds," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(3),
> pages 217-235.
>
> cited in:
> ** - Shawkat Hammoudeh & Farooq Malik & Michael McAleer, 2010.
> "Risk Management of Precious Metals,"
> Working Papers in Economics 10/37, University of Canterbury, Department of
> Economics and Finance.
>
> ** - Antonio Cabrales & Haydée Lugo, 2011.
> "An impure public good model with lotteries in large grou,"
> Documentos del Instituto Complutense de Análisis Económico 1105,
> Universidad Complutense de Madrid, Facultad de Ciencias Económicas y
> Empresariales.
>
> ** - Shawkat Hammoudeh & Farooq Malik & Michael McAleer, 2011.
> "Risk Management of Precious Metals,"
> Documentos del Instituto Complutense de Análisis Económico 1104,
> Universidad Complutense de Madrid, Facultad de Ciencias Económicas y
> Empresariales.
>
> - McAleer, M.J. & Huang, B-W. & Kuo, H-I. & Chen, C-C. & Chang, C-L., 2008.
> "An econometric analysis of SARS and Avian flu on international tourist
> arrivals to Asia,"
> Econometric Institute Report EI 2008-21, Erasmus University Rotterdam,
> Econometric Institute.
>
> cited in:
> ** - Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer, 2010.
> "Estimating Price Effects in an Almost Ideal Demand Model of Outbound Thai
> Tourism to East Asia,"
> Working Papers in Economics 10/11, University of Canterbury, Department of
> Economics and Finance.
>
> - Joseph Macri & Michael McAleer & Dipendra Sinha, 2010.
> "On the robustness of alternative rankings methodologies: Australian and
> New Zealand economics departments, 1988 to 2002," Applied Economics, Taylor
> and Francis Journals, vol. 42(10), pages 1257-1268.
>
> cited in:
> ** - David L. Anderson & John Tressler, 2009.
> "The Excellence in Research for Australia Scheme: An Evaluation of the
> Draft Journal Weights for Economics,"
> Working Papers in Economics 09/07, University of Waikato, Department of
> Economics.
>
> - Michael McAleer, 2009.
> "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital
> Charges,"
> Documentos del Instituto Complutense de Análisis Económico 0910,
> Universidad Complutense de Madrid, Facultad de Ciencias Económicas y
> Empresariales.
>
> cited in:
> ** - Shawkat Hammoudeh & Farooq Malik & Michael McAleer, 2011.
> "Risk Management of Precious Metals,"
> Documentos del Instituto Complutense de Análisis Económico 1104,
> Universidad Complutense de Madrid, Facultad de Ciencias Económicas y
> Empresariales.
>
> - Michael McAleer, 2009.
> "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital
> Charges,"
> CIRJE F-Series CIRJE-F-652, CIRJE, Faculty of Economics, University of
> Tokyo.
>
> cited in:
> ** - Shawkat Hammoudeh & Farooq Malik & Michael McAleer, 2011.
> "Risk Management of Precious Metals,"
> Documentos del Instituto Complutense de Análisis Económico 1104,
> Universidad Complutense de Madrid, Facultad de Ciencias Económicas y
> Empresariales.
>
> - Ling, Shiqing & McAleer, Michael, 2003.
> "Asymptotic Theory For A Vector Arma-Garch Model," Econometric Theory,
> Cambridge University Press, vol. 19(02), pages 280-310, April.
>
> cited in:
> ** - Chen, P.-Y. & Chang, C-L. & Chen, C-C. & McAleer, M.J., 2010.
> "Modeling the Effect of Oil Price on Global Fertilizer Prices,"
> Econometric Institute Report EI 2010-56, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - Chang, C-L. & Huang, B-W. & Chen, M.-G., 2010.
> "Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of
> Joining the WTO,"
> Econometric Institute Report EI 2010-46, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer,
> 2010.
> "Modeling the Effect of Oil Price on Global Fertilizer Prices,"
> Working Papers in Economics 10/55, University of Canterbury, Department of
> Economics and Finance.
>
> - Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009.
> "Modelling Conditional Correlations for Risk Diversification in Crude Oil
> Markets,"
> CARF F-Series CARF-F-162, Center for Advanced Research in Finance, Faculty
> of Economics, The University of Tokyo.
>
> cited in:
> ** - Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010.
> "Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging
> in Major Oil Markets,"
> Working Papers in Economics 10/19, University of Canterbury, Department of
> Economics and Finance.
>
> - Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral,
> 2009.
> "Has the Basel II Accord Encouraged Risk Management During the 2008-09
> Financial Crisis?,"
> CARF F-Series CARF-F-158, Center for Advanced Research in Finance, Faculty
> of Economics, The University of Tokyo.
>
> cited in:
> ** - Michael McAleer & Juan-à ngel Jiménez-Martín & Teodosio
> Pérez-Amaral, 2010.
> "GFC-Robust Risk Management Strategies under the Basel Accord,"
> Working Papers in Economics 10/63, University of Canterbury, Department of
> Economics and Finance.
>
> ** - McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T., 2011.
> "International Evidence on GFC-robust Forecasts for Risk Management under
> te Basel Accord,"
> Econometric Institute Report EI 2011-04, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - Michael McAleer & Juan-à ngel Jiménez-Martín & Teodosio
> Pérez-Amaral, 2011.
> "International Evidence on GFC-robust Forecasts for Risk Management under
> the Basel Accord,"
> Working Papers in Economics 11/05, University of Canterbury, Department of
> Economics and Finance.
>
> ** - McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T., 2010.
> "GFC-Robust Risk Management Strategies under the Basel Accord,"
> Econometric Institute Report EI 2010-59, Erasmus University Rotterdam,
> Econometric Institute.
>
> - Michael Mcaleer & Bernardo da Veiga, 2008.
> "Forecasting value-at-risk with a parsimonious portfolio spillover GARCH
> (PS-GARCH) model," Journal of Forecasting, John Wiley & Sons, Ltd., vol.
> 27(1), pages 1-19.
>
> cited in:
> ** - Shawkat Hammoudeh & Farooq Malik & Michael McAleer, 2010.
> "Risk Management of Precious Metals,"
> Working Papers in Economics 10/37, University of Canterbury, Department of
> Economics and Finance.
>
> - Michael McAleer, 2009.
> "The Ten Commandments For Optimizing Value-At-Risk And Daily Capital
> Charges," Journal of Economic Surveys, Blackwell Publishing, vol. 23(5),
> pages 831-849, December.
>
> cited in:
> ** - Shawkat Hammoudeh & Farooq Malik & Michael McAleer, 2011.
> "Risk Management of Precious Metals,"
> Documentos del Instituto Complutense de Análisis Económico 1104,
> Universidad Complutense de Madrid, Facultad de Ciencias Económicas y
> Empresariales.
>
> - Manabu Asai & Michael McAleer, 2005.
> "Asymmetric Multivariate Stochastic Volatility,"
> DEA Working Papers 12, Universitat de les Illes Balears, Departament
> d'Economía Aplicada.
>
> cited in:
> ** - Asai, M. & Caporin, M., 2009.
> "Block Structure Multivariate Stochastic Volatility Models,"
> Econometric Institute Report EI 2009-51, Erasmus University Rotterdam,
> Econometric Institute.
>
> - Gordon Fisher & Michael McAleer, 1981.
> "Alternative Procedures and Associated Tests of Significance for Non-Nested
> Hypotheses,"
> Working Papers 420, Queen's University, Department of Economics.
>
> cited in:
> ** - Hsin-Yi Lin, 2011.
> "A robust test for non-nested hypotheses," AStA Advances in Statistical
> Analysis, Springer, vol. 95(1), pages 93-111, March.
>
> - Fisher, Gordon R. & McAleer, Michael, 1981.
> "Alternative procedures and associated tests of significance for non-nested
> hypotheses," Journal of Econometrics, Elsevier, vol. 16(1), pages 103-119,
> May.
>
> cited in:
> ** - Hsin-Yi Lin, 2011.
> "A robust test for non-nested hypotheses," AStA Advances in Statistical
> Analysis, Springer, vol. 95(1), pages 93-111, March.
>
> - Zhaoyong Zhang & Kiyotaka Sato & Michael McAleer, 2004.
> "Is a monetary union feasible for East Asia?," Applied Economics, Taylor
> and Francis Journals, vol. 36(10), pages 1031-1043, June.
>
> cited in:
> ** - Sato, K. & Zhang, Z. & McAleer, M.J., 2010.
> "Identifying Shocks in Regionally Integrated East Asian Economies with
> Structural VAR and Block Exogeneity,"
> Econometric Institute Report EI 2010-09, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - Sato, K. & Zhang, Z. & McAleer, M.J., 2009.
> "Identifying Shocks in Regionally Integrated East Asian Economies with
> Structural VaR and Block Exogeneity,"
> Econometric Institute Report EI 2009-49, Erasmus University Rotterdam,
> Econometric Institute.
>
> - Shiqing Ling & Michael McAleer, 2001.
> "Necessary and Sufficient Moment Conditions for the GARCH(r,s) and
> Asymmetric Power GARCH(r,s) Models,"
> ISER Discussion Paper 0534, Institute of Social and Economic Research,
> Osaka University.
>
> cited in:
> ** - Chang, C-L. & McAleer, M.J., 2010.
> "Aggregation, Heterogeneous Autoregression and Volatility of Daily
> International Tourist Arrivals and Exchange Rates,"
> Econometric Institute Report EI 2010-15, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - Chen, P.-Y. & Chang, C-L. & Chen, C-C. & McAleer, M.J., 2010.
> "Modeling the Effect of Oil Price on Global Fertilizer Prices,"
> Econometric Institute Report EI 2010-56, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - Chang, C-L. & Huang, B-W. & Chen, M.-G., 2010.
> "Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of
> Joining the WTO,"
> Econometric Institute Report EI 2010-46, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer,
> 2010.
> "Modeling the Effect of Oil Price on Global Fertilizer Prices,"
> Working Papers in Economics 10/55, University of Canterbury, Department of
> Economics and Finance.
>
> - Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral,
> 2009.
> "A Decision Rule to Minimize Daily Capital Charges in Forecasting
> Value-at-Risk,"
> CIRJE F-Series CIRJE-F-644, CIRJE, Faculty of Economics, University of
> Tokyo.
>
> cited in:
> ** - Shawkat Hammoudeh & Farooq Malik & Michael McAleer, 2010.
> "Risk Management of Precious Metals,"
> Working Papers in Economics 10/37, University of Canterbury, Department of
> Economics and Finance.
>
> - Michael McAleer & Marcelo Cunha Medeiros, 2006.
> "Realized volatility: a review,"
> Textos para discussão 531 Publication status: F, Department of Economics
> PUC-Rio (Brazil).
>
> cited in:
> ** - Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Pérez-Amaral,
> 2009.
> "Optimal Risk Management Before, During and After the 2008-09 Financial
> Crisis,"
> Documentos del Instituto Complutense de Análisis Económico 0912,
> Universidad Complutense de Madrid, Facultad de Ciencias Económicas y
> Empresariales.
>
> ** - McAleer, M.J., 2008.
> "The ten commandments for optimizing value-at-risk and daily capital
> charges,"
> Econometric Institute Report EI 2008-32, Erasmus University Rotterdam,
> Econometric Institute.
>
> - McAleer, Michael & Chan, Felix & Hoti, Suhejla & Lieberman, Offer, 2008.
> "Generalized Autoregressive Conditional Correlation," Econometric Theory,
> Cambridge University Press, vol. 24(06), pages 1554-1583, December.
>
> cited in:
> ** - Hammoudeh, S.M. & Yuan, Y. & McAleer, M.J., 2008.
> "Shock and volatility spillovers among equity sectors of the Gulf Arab
> stock markets,"
> Econometric Institute Report EI 2008-29, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - Chang, C-L. & Huang, B-W. & Chen, M.-G., 2010.
> "Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of
> Joining the WTO,"
> Econometric Institute Report EI 2010-46, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - McAleer, M.J., 2008.
> "The ten commandments for optimizing value-at-risk and daily capital
> charges,"
> Econometric Institute Report EI 2008-32, Erasmus University Rotterdam,
> Econometric Institute.
>
> - Massimiliano Caporin & Michael McAleer, 2010.
> "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH
> Models,"
> Working Papers in Economics 10/06, University of Canterbury, Department of
> Economics and Finance.
>
> cited in:
> ** - Caporin, M. & McAleer, M.J., 2010.
> "Ranking multivariate GARCH models by problem dimension,"
> Econometric Institute Report EI 2010-34, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - Chang, C-L. & McAleer, M.J., 2010.
> "Aggregation, Heterogeneous Autoregression and Volatility of Daily
> International Tourist Arrivals and Exchange Rates,"
> Econometric Institute Report EI 2010-15, Erasmus University Rotterdam,
> Econometric Institute.
>
> - Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010.
> "How Accurate are Government Forecasts of Economic Fundamentals? The Case
> of Taiwan,"
> Working Papers in Economics 10/16, University of Canterbury, Department of
> Economics and Finance.
>
> cited in:
> ** - Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2010.
> "Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments,"
> Working Papers in Economics 10/09, University of Canterbury, Department of
> Economics and Finance.
>
> ** - Chang, C-L. & Franses, Ph.H.B.F. & McAleer, M.J., 2010.
> "Evaluating Combined Non-Replicable Forecast,"
> Econometric Institute Report EI 2010-74, Erasmus University Rotterdam,
> Econometric Institute.
>
> ** - Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010.
> "Combining Non-Replicable Forecasts,"
> Working Papers in Economics 10/35, University of Canterbury, Department of
> Economics and Finance.
>
> ** - Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010.
> "Are Forecast Updates Progressive?,"
> Working Papers in Economics 10/12, University of Canterbury, Department of
> Economics and Finance.
>
>
> Note that your profile on IDEAS may not yet reflect these new citations due
> to the rotation schedule for the web site update. If any of these citations
> does not appear to be correct, please log into your profile, and then click
> on citations to make appropriate adjustments. You may also find additional
> citations to approve for which we had a lower match confidence.
>
> I encourage you to check from time to time on RePEc for new items
> in the database you can claim authorship for, and keep your contact
> information current. This is the only way to add new works to your
> profile, this is not done automatically. Just use the direct link
> http://authors.repec.org/?login=michael.mcaleer@gmail.com
>
> New items are added continuously, be it from existing working papers
> series and journals or from new ones contributing to the database.
> And encourage your colleagues to do so as well. There are now over
> 28,000 authors registered through RePEc!
>
> If you have questions, consult the FAQ mentioned above. But do not
> hesitate to contact me for any question and encourage others
> to register with RePEc!
>
> Christian Zimmermann
> RePEc Team
> Department of Economics
> University of Connecticut
>
>
>


-- 
Michael McAleer, FASSA, FIEMSS

Professor of Quantitative Finance
Econometric Institute
Erasmus School of Economics
Erasmus University Rotterdam
The Netherlands
and
Research Fellow
Tinbergen Institute
The Netherlands
and
Distinguished Chair Professor
College of Social Science and Management
National Chung Hsing University
Taichung, Taiwan
and
Adjunct Professor
Department of Economics and Finance
Department of Mathematics and Statistics
University of Canterbury
Christchurch, New Zealand
and
Distinguished Visiting Professor
Department of Quantitative Economics
Complutense University of Madrid
Spain


______________________________________
View my research on my SSRN Author page:
http://ssrn.com/author=375743

______________________________________
View my research on my RePEc Author page:
http://ideas.repec.org/e/pmc90.html

___________________________________________
View my ISI Citation Metrics on my ISI Author page:
  URL:http://www.researcherid.com/rid/A-2407-2008<http://www.researcherid.com/rid/A-2407-2008>

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