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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin; McAleer, Michael - Department of Economics and Finance, College of … - 2010
mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation. The … and have sensible interpretations. Asymmetry (though not leverage) is found for several alternative HAR models for the …
Persistent link: https://www.econbiz.de/10010627491
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Asymmetry and Leverage in Conditional Volatility Models
McAleer, Michael - Department of Economics and Finance, College of … - 2014
on conditional volatility of positive and negative effects of equal magnitude, and leverage, which is the negative … between asymmetry and leverage, as well as which asymmetric models are purported to be able to capture leverage, the purpose … appropriate regularity conditions; and (2) to show that leverage is not possible in these univariate conditional volatility models. …
Persistent link: https://www.econbiz.de/10010928922
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Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan
Chang, Chia-Lin; McAleer, Michael; Lim, Christine - Department of Economics and Finance, College of … - 2010
asymmetric effect. Moreover, there is a leverage effect in the monthly growth rate of Japanese tourists to New Zealand, whereby … the issues related to risk and leverage effects, are also applicable to international tourism flows. …
Persistent link: https://www.econbiz.de/10008527482
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A One Line Derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - Department of Economics and Finance, College of … - 2014
effects of equal magnitude, EGARCH can also accommodate leverage, which is the negative correlation between returns shocks and …
Persistent link: https://www.econbiz.de/10010907437
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On the Invertibility of EGARCH
Martinet, Guillaume Gaetan; McAleer, Michael - Department of Economics and Finance, College of … - 2014
effects of equal magnitude, and leverage, which refers to the negative correlation between the returns shocks and subsequent …
Persistent link: https://www.econbiz.de/10010907440
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New Zealand Corporate Boards in Transition: Composition, Activity and Incentives Between 1995 and 2010
Boyle, Glenn; Boyle, Glenn; Xu (Jane) Ji - Department of Economics and Finance, College of … - 2011
We document, describe and interpret changes in New Zealand corporate board characteristics between 1995 and 2010, a period centred around the 2003 introduction of the NZX Corporate Governance Best Practice Code. Unsurprisingly, the representation of non-executive, independent and female...
Persistent link: https://www.econbiz.de/10010907415
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Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - Department of Economics and Finance, College of … - 2011
The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...
Persistent link: https://www.econbiz.de/10008914313
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Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures
Casarin, Roberto; Chang, Chia-Lin; Jiménez-Martín, … - Department of Economics and Finance, College of … - 2011
It is well known that the Basel II Accord requires banks and other Authorized Deposit-taking Institutions (ADIs) to communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models, whether individually or as...
Persistent link: https://www.econbiz.de/10009207373
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GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies
Santos, Paulo Araújo; Jiménez-Martín, Juan-Ángel; … - Department of Economics and Finance, College of … - 2011
In McAleer et al. (2010b), a robust risk management strategy to the Global Financial Crisis (GFC) was proposed under the Basel II Accord by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast was based on the median of the point VaR...
Persistent link: https://www.econbiz.de/10009207375
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The Rise and Fall of S&P500 Variance Futures
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - Department of Economics and Finance, College of … - 2011
Modelling, monitoring and forecasting volatility are indispensible to sensible portfolio risk management. The volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps, options and futures. The most popular volatility index is...
Persistent link: https://www.econbiz.de/10009358981