Prof. Michael McAleer

Erasmus University Rotterdam, Netherlands

Email: michael.mcaleer@gmail.com

Qualifications

1981 Ph.D., Queen's University, Ontario, Canada

1977 M.Ec., Monash University, Melbourne, Australia

1974 B.Ec., Monash University, Melbourne, Australia

Publications (Selected)

1. Allen, D. E., & McAleer, M. (2023). Drawbacks in the 3-factor approach of Fama and French (2018). Annals of Financial Economics, 18(01), 2240001.
2. Johnston, B., Foley, A., Doran, J., Littler, T., & McAleer, M. (2022). Influence of input costs and levelised cost of energy on wind power growth. Journal of Cleaner Production, 373, 133407.
3. Mai, T. K., Foley, A. M., McAleer, M., & Chang, C. L. (2022). Impact of COVID-19 on returns-volatility spillovers in national and regional carbon markets in China. Renewable and Sustainable Energy Reviews, 169, 112861.
4. Asai, M., & McAleer, M. (2022). Multivariate Hyper-Rotated GARCH-BEKK. Journal of Time Series Econometrics, 14(2), 175-198.
5. Asai, M., Chang, C. L., McAleer, M., & Pauwels, L. (2022). A new structural multivariate GARCH-BEKK model: causality of green, sustainable and fossil energy ETFs. Communications in Statistics: Case Studies, Data Analysis and Applications, 8(2), 215-233.
6. Allen, D. E., & McAleer, M. (2022). Trump’s COVID-19 tweets and Dr. Fauci’s emails. Scientometrics, 127(3), 1643-1655.
7. Asai, M., Chang, C. L., & McAleer, M. (2022). Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers. Journal of Econometrics, 227(1), 285-304.
8. Allen, D. E., & McAleer, M. (2022). “Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Some Antecedents on Causality. Journal of the American Statistical Association, 117(537), 214-224.
9. Asai, M., & McAleer, M. (2022). Bayesian analysis of realized matrix-exponential GARCH models. Computational Economics, 59(1), 103-123.
10. Tham, W. W., Sojli, E., Bryant, R., & McAleer, M. (2021). Common mental disorders and economic uncertainty: Evidence from the COVID-19 pandemic in the US. PLoS One, 16(12), e0260726.
11. Allen, D. E., & McAleer, M. (2021). A nonlinear autoregressive distributed lag (NARDL) analysis of the FTSE and S&P500 indexes. Risks, 9(11), 195.
12. Cheng, Y., Hui, Y., McAleer, M., & Wong, W. K. (2021). Spurious relationships for nearly non-stationary series. Journal of Risk and Financial Management, 14(8), 366.
13. Sojli, E., Tham, W. W., Bryant, R., & McAleer, M. (2021). COVID-19 restrictions and age-specific mental health—US probability-based panel evidence. Translational Psychiatry, 11(1), 418.
14. Truong, B. C., Pho, K. H., Dinh, C. C., & McALEER, M. I. C. H. A. E. L. (2021). Zero-inflated poisson regression models: Applications in the sciences and social sciences. Annals of Financial Economics, 16(02), 2150006.
15. Nhan, D. T. T., Pho, K. H., ANH, D. T. V., & McAleer, M. (2021). Evaluating the efficiency of Vietnam banks using data envelopment analysis. Annals of Financial Economics, 16(02), 2150010.
16. Pho, K. H., & McAleer, M. (2021). Specification and estimation of a logistic function, with applications in the sciences and social sciences. Advances in Decision Sciences, (2), 1-30.
17. Allen, D. E., & McAleer, M. (2021). Predicting COVID-19 cases and deaths in the USA from tests and state populations. Advances in Decision Sciences, (2), 1-27.
18. Asai, M., Chang, C. L., McAleer, M., & Pauwels, L. (2021). Asymptotic and finite sample properties for multivariate rotated garch models. Econometrics, 9(2), 21.

Profile Details

https://www.eur.nl/en/news/top-econometricians-sharing-office

https://scholar.google.com/citations?user=pK01jfoAAAAJ&hl=en