Specialisation: Econometrics, Financial Econometrics, Empirical Finance, Risk Management, Statistics
Michael McAleer holds a PhD (Economics), 1981, from Queen´s University, Canada. He is University Distinguished Chair Professor, Department of Quantitative Finance, National Tsing Hua University, Taiwan; Honorary Professor, Discipline of Business Analytics, University of Sydney Business School, Australia; Erasmus Visiting Professor of Quantitative Finance, Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands; Adjunct Professor, Department of Quantitative Economics, Complutense University of Madrid (founded 1293), Spain; Adjunct Professor, Department of Mathematics and Statistics, University of Canterbury, New Zealand; and IAS Adjunct Professor, Institute of Advanced Sciences, Yokohama National University, Japan.
On numerous occasions, he has been a distinguished visiting professor at the University of Tokyo (Economics, Finance, Engineering), Kyoto University (Economic Research), Osaka University (Economics, Social and Economic Research, International Public Policy), Yokohama National University (Economics, Management, Adsvanced Sciences), and Kobe University (Economics), Japan; University of Padova (founded 1222) (Economic Science), Italy; Complutense University of Madrid (founded 1293) (Quantitative Economics), Spain; Ca’ Foscari University of Venice (Economic Science), Italy; University of Zurich (Banking and Finance), Switzerland; Chinese University of Hong Kong (Economics, Finance), and Hong Kong University of Science and Technology (Mathematics).
He is an elected Distinguished Fellow of the International Engineering and Technology Institute (DFIETI, 2015), and an elected Fellow of the Academy of the Social Sciences in Australia (FASSA, 1996), International Environmental Modelling and Software Society (FIEMSS, 2004), Modelling and Simulation Society of Australia and New Zealand (FMSSANZ, 2011), Tinbergen Institute, The Netherlands, and Journal of Econometrics.
He is the Editor-in-Chief of seven international journals, is on the editorial boards of a further 38 international journals, and has guest co-edited numerous special issues of the following Web of Science and Scopus journals: Journal of Econometrics (Elsevier), Econometric Reviews (Taylor and Francis), Environmental Modelling and Software (Elsevier), Mathematics and Computers in Simulation (Elsevier), North American Journal of Economics and Finance (Elsevier), International Review of Economics and Finance (Elsevier), Annals of Financial Economics (World Scientific), Journal of Risk and Financial Management (MDPI), Sustainability (MDPI), Risks (MDPI), Journal of Reviews on Global Economics (Lifescience Global), Journal of Economic Surveys (Wiley), Economic Record (Wiley), China Finance Review International (Emerald), and Journal of Management Information and Decision Sciences (Allied Business Academies).
Michael has published more than 740 journal articles and books in financial econometrics, quantitative finance, risk and financial management, economics, theoretical and applied econometrics, theoretical and applied statistics, time series analysis, energy economics, energy finance, forecasting, informatics, data mining, bibliometrics, and international rankings of journals and academics. Michael is ranked among the leading academics in Australia in terms of the number of published articles and citations in leading rankings sources, including Thomson Reuters ISI, RePEc, SSRN, Google Scholar, Scopus, and ResearchGate.
FIEMSS (2004), FMSSANZ (2011), DFIETI (2015)
Elected Inaugural Fellow, International Environmental Modelling and Software Society, 2004.
Inaugural Biennial Medal of the International Environmental Modelling and Software Society, 2004.
Econometric Theory Award in Recognition of Research Contributions, Multa Scripsit, to the Science of Econometrics, 2006.
Biennial Medallist, Modelling and Simulation Society of Australia and New Zealand (MSSANZ), 2011.
Elected Fellow, Modelling and Simulation Society of Australia and New Zealand (MSSANZ), 2011.
Elected Inaugural Distinguished Fellow, International Engineering and Technology Institute (IETI), 2015.
Inaugural Annual Scientific Award, International Engineering and Technology Institute (IETI), 2016.
- Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing, Journal of Econometrics, 187(2), 2015, 436-446 (with M. Asai) [2-year IF = 1.633, 5-year IF = 2.407].
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance, Journal of Econometrics, 189(2), 2015, 251-262 (with M. Asai) [2-year IF = 1.633, 5-year IF = 2.407].
- Realized stochastic volatility with general asymmetry and long memory, Journal of Econometrics, 199, 2017, 202-212 (with M. Asai, C.-L. Chang) [2-year IF = 1.633, 5-year IF = 2.407].
- Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA, Sustainability, 9 (10:1789), 2017, 1-21 (with C.-L. Chang and G.D. Zuo). [2-year IF = 1.789; 5-Year IF = 1.850; listed in SCI(E) and SSCI].
- Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices, Renewable and Sustainable Energy Reviews, 81(1), 2018, 1002-1018 (with C.-L. Chang and W.-A. Wang) [2-year IF = 8.05; 5-Year IF = 9.122].
Email: michael.mcaleer [at] gmail.com