The paper forecasts conditional correlations between three classes of international financial assets, namely stock, bond and foreign exchange. Two countries are considered, namely Australia and New Zealand. Forecasting will be conducted using three multivariate GARCH models, namely the CCC model...

Real non-durable consumption expenditure for many countries typically exhibits substantial seasonal fluctuations. In this paper, two seasonal models that are consistent with an extension of the rational expectations life-cycle permanent income hypothesis are evaluated using quarterly seasonally...

Many macroeconomic forecasts and forecast updates like those from IMF and OECD typically involve both a model component, which is replicable, as well as intuition, which is non-replicable. Intuition is expert knowledge possessed by a forecaster. If forecast updates are progressive, forecast...

What are the advances introduced by realized volatility models in pricing options? In this short paper we analyze a simple option pricing framework based on the dually asymmetric realized volatility model, which emphasizes extended leverage effects and empirical regularity of high volatility...

Asia is presently the most important market for the production and consumption of natural rubber. World prices of rubber are subject to not only to changes in demand, but also speculation regarding future markets. Japan and Singapore are the major future markets for rubber, while Thailand is one...

Atmospheric carbon dioxide concentrations (ACDC) are critical to the global temperature control system and climate change, with ACDC levels having increased rapidly since the start of the industrial revolution in the late 1700s, and the climate having become quite unstable with significant...