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Modelling and Forecasting Noisy Realized Volatility
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - Facultad de Ciencias Económicas y Empresariales, … - 2011
account of them in estimating and forecasting IV. This paper investigates through Monte Carlo simulations the effects of RV … errors on estimating and forecasting IV with RV data. It is found that: (i) neglecting RV errors can lead to serious bias in …
Persistent link: https://www.econbiz.de/10008915753
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Asymmetric Realized Volatility Risk
Allen, David Edmund; McAleer, Michael; Scharth, Marcel - Facultad de Ciencias Económicas y Empresariales, … - 2014
forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …
Persistent link: https://www.econbiz.de/10010862570
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Realized volatility risk
Allen, David Edmund; McAleer, Michael; Scharth, Marcel - Facultad de Ciencias Económicas y Empresariales, … - 2013
forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …
Persistent link: https://www.econbiz.de/10011162546
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Modelling and Simulation: An Overview
McAleer, Michael; Oxley, Les; Chan, Felix - Facultad de Ciencias Económicas y Empresariales, … - 2013
underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan …
Persistent link: https://www.econbiz.de/10011162548
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Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David Edmund; McAleer, Michael; … - Facultad de Ciencias Económicas y Empresariales, … - 2013
under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes … dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value …
Persistent link: https://www.econbiz.de/10010778723
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The Impact of Jumps and Leverage in Forecasting Co-Volatility
Asai, Manabu; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2015
The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … forecasting weekly and monthly horizons. …
Persistent link: https://www.econbiz.de/10011272957
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Modelling Sustainable International Tourism Demand to the Brazilian Amazon
Divino, Jose Angelo; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2009
The Amazon rainforest is one of the world’s greatest natural wonders and holds great importance and significance for the world’s environmental balance. Around 60% of the Amazon rainforest is located in the Brazilian territory. The two biggest states of the Amazon region are Amazonas (the...
Persistent link: https://www.econbiz.de/10005012104
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Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models
Caporin, Massimiliano; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2009
Large and very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations are BEKK and DCC. BEKK suffers from the archetypal "curse of dimensionality" whereas DCC does not. This is a...
Persistent link: https://www.econbiz.de/10005115640
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Forecasting the Euro : do forecasters have an asymmetric loss function?
Fritsche, Ulrich; Pierdzioch, Christian; Ruelke, … - 2012
Based on the approach advanced by Elliott et al. (Rev. Ec. Studies. 72, 1197..1125, 2005), we analyzed whether the loss function of a sample of exchange rate forecasters is asymmetric in the forecast error. Using forecasts of the euro/dollar exchange rate, we found that the shape of the loss...
Persistent link: https://www.econbiz.de/10010425217
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Forecasting the Brazilian Real and the Mexican Peso : asymmetric loss, forecast rationality, and forecaster herding
Fritsche, Ulrich; Pierdzioch, Christian; Ruelke, … - 2012
Using forecasts of the Brazilian real and the Mexican peso, we analyze the shape of the loss function of exchange-rate forecasters and the rationality of their forecasts. We find a substantial degree of cross-sectional heterogeneity with respect to the shape of the loss function. While some...
Persistent link: https://www.econbiz.de/10010425218