Special Issue "A Commemorative Issue in Honor of Professor Michael McAleer, 1951–2021"

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074).

Deadline for manuscript submissions: 31 July 2022.

Special Issue Editor

Prof. Dr. Thanasis Stengos
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Guest Editor

Special Issue Information

Dear Colleagues,

This is a Special Issue to honor Professor Michael McAleer who passed away peacefully on 8 July 2021 after a long fight with cancer. Michael held a PhD on Economics from Queen’s University, Canada. He held positions as University Research Chair Professor, Department of Finance, College of Management, and Department of Bioinformatics and Medical Engineering, College of Information and Electrical Engineering, Asia University, Taiwan; Erasmus Visiting Professor of Quantitative Finance, Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, the Netherlands; Adjunct Professor, Department of Economic Analysis and ICAE, Complutense University of Madrid (founded 1293), Spain; and Adjunct Professor, Department of Mathematics and Statistics, University of Canterbury, New Zealand. On numerous occasions, he served as a distinguished visiting professor at the University of Tokyo, Kyoto University, and Osaka University, Japan; University of Padova (founded 1222), Italy, Complutense University of Madrid (founded 1293), Spain; Ca' Foscari University of Venice, Italy; University of Zurich, Switzerland; University of Hong Kong, Chinese University of Hong Kong; and Hong Kong University of Science and Technology. He was an elected Distinguished Fellow of the International Engineering and Technology Institute (DFIETI), and an elected Fellow of the Academy of the Social Sciences in Australia (FASSA), International Environmental Modelling and Software Society (FIEMSS), Modelling and Simulation Society of Australia and New Zealand (FMSSANZ), Tinbergen Institute, the Netherlands, Journal of Econometrics, and Econometric Reviews. He was the Editor-in-Chief of the Journal of Risk and Financial Management (MDPI) and had guest-edited numerous Special Issues in JRFM. In terms of academic publications, he published 1000+ journal articles and books in economics, financial econometrics, quantitative finance, risk and financial management, econometrics, statistics, time series analysis, energy economics and finance, sustainability, carbon emissions, climate change econometrics, forecasting, informatics, data mining, bibliometrics, and international rankings of journals and academics.

We expect to collect papers in all the areas that Michael had an interest in and contributed to, and we urge all of his colleagues and collaborators over the years to contribute to this Special Issue and thus honor his legacy to the profession.

Prof. Dr. Thanasis Stengos
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All papers will be peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1200 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • econometric theory
  • financial econometrics
  • risk and financial management
  • time series analysis
  • simulations and data mining
  • forecasting

Published Papers (1 paper)

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Research

Article
Spurious Relationships for Nearly Non-Stationary Series
J. Risk Financial Manag. 2021, 14(8), 366; https://doi.org/10.3390/jrfm14080366 - 09 Aug 2021
Viewed by 377
Abstract
Literature shows that the regression of independent and (nearly) nonstationary time series could result in spurious outcomes. In this paper, we conjecture that under some situations, the regression of two independent and nearly non-stationary series does not have any spurious problem at all. [...] Read more.
Literature shows that the regression of independent and (nearly) nonstationary time series could result in spurious outcomes. In this paper, we conjecture that under some situations, the regression of two independent and nearly non-stationary series does not have any spurious problem at all. To check whether our conjecture holds, we set up several situations and conduct simulations to justify our conjecture. Our simulations show that under some situations, the chance that the regressions being spurious is very high for all the cases simulated in our paper. Nonetheless, under some other situations, our simulation shows that the rejection rates are much smaller than the 5% level of significance for all the cases simulated in our paper, implying that our conjecture could hold under some situations that regression of two independent and nearly non-stationary series does not have any spurious problem at all. Full article
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