In memory of Michael McAleer: special issue of Econometric Reviews

Our dear friend and world-leading econometrician, Professor Michael John McAleer, passed away on 8 July 2021 after a long and graceful fight with cancer. Mike’s father was Irish and his mother Japanese. His formative years were spent in Japan, with fluency in Japanese and a lifelong affinity with Asian cultures. His grace and good humor during his battle with cancer is an example to all, and a true model of resilience and the power of a positive mental attitude. Mike continued to be a highly active researcher right up until his untimely death. Mike obtained his PhD from Queens University, Canada. Mike spent most of his professional career in Australia, including appointments at the Australian National University and the University of Western Australia. He also held distinguished positions at a number of higher educational institutions spanning several continents. Mike was a passionate debater and thought deeply and argued effectively on the pros and cons of various econometric methods and approaches. His research interests ranged widely in econometrics, financial econometrics, finance, energy economics, economics of patents, bibliometrics, tourism, and lastly COVID-19-related research. Mike was generous and easy to work with and was given to respect and kindness toward his collaborators and students. Michael McAleer is one of the most published econometricians in the world, in a record of scholarly collaboration that is unique in its breadth and width, involving many coauthors, especially younger scholars. In particular, Mike coauthored 415 publications, with 6786 citations, as indicated on Publons, and 1270 referenced pieces on Google Scholar, with 23,273 citations. He was ranked 62 on REPEC for work in economics over a recent 10 year period, 46 in econometrics globally on Google Scholar, and 8 in Financial Econometrics. Mike was also an outstanding Associate Editor of Econometric Reviews, with one of the longest years of service for the journal since the late 1980s. He was the Editor-in-Chief of six international journals and was a member of the editorial boards of forty international journals. Among others, Mike edited and coedited numerous special issues of the Journal of Econometrics, providing timely state of art collections of contributions to the latest topics, some under-covered were it not for his tireless efforts. He contributed to the launching of several journals and showed special sensitivity to the needs of younger scholars. Mike was also a superb host and a great friend, always generous and graceful. He is sorely missed by all those of us who were privileged to call him a friend. This special issue of Econometric Reviews is dedicated to Mike’s memory and honors his contributions as scholar, author, teacher, mentor, and editor. We now provide a short summary of each of the papers (in alphabetical order of the first author) that comprise this special issue, Vol. 42; 9-10. Each was anonymously reviewed in accordance with the usual standards required for publication in Econometric Reviews. In the first paper, Andreou, Anyfantaki, Maasoumi, and Sala demonstrate how extreme value theory can identify stock price crashes, featuring low-probability events that produce large, firmspecific negative outliers in the conditional distribution returns. This is an alternative to the imprecise