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Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments

Franses, Philip Hans; McAleer, Michael; Legerstee, Rianne - Department of Economics and Finance, College of … - 2012

better than the Staff, and that the intuition of the FOMC does not add significantly in forecasting the actual values of the …

Persistent link: https://www.econbiz.de/10010556072

Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments

Franses, Philip Hans; McAleer, Michael; Legerstee, Rianne - Department of Economics and Finance, College of … - 2010

Macroeconomic forecasts are frequently produced, published, discussed and used. The formal evaluation of such forecasts has a long research history. Recently, a new angle to the evaluation of forecasts has been addressed, and in this review we analyse some recent developments from that...

Persistent link: https://www.econbiz.de/10008621804

Modelling Long Memory Volatility in Agricultural Commodity Futures Returns

Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - Department of Economics and Finance, College of … - 2012

, coffee, cotton, orange juice, Kansas City wheat, rubber, and palm oil. The class of fractional GARCH models, namely the …), are modelled and compared with the GARCH model of Bollerslev (1986), EGARCH model of Nelson (1991), and APARCH model of … are found to outperform their GARCH(1,1) and EGARCH(1,1) counterparts. …

Persistent link: https://www.econbiz.de/10010548109

Has the Basel Accord Improved Risk Management During the Global Financial Crisis

McAleer, Michael; Jiménez-Martín, Juan-Ángel; … - Department of Economics and Finance, College of … - 2013

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/10010907398

Great Expectatrics: Great Papers, Great Journals, Great Econometrics

Chang, Chia-Lin; McAleer, Michael; Oxley, Les - Department of Economics and Finance, College of … - 2010

The paper discusses alternative Research Assessment Measures (RAM), with an emphasis on the Thomson Reuters ISI Web of Science database (hereafter ISI). The various ISI RAM that are calculated annually or updated daily are defined and analysed, including the classic 2-year impact factor (2YIF),...

Persistent link: https://www.econbiz.de/10008493985

Combining Non-Replicable Forecasts

Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - Department of Economics and Finance, College of … - 2010

Macro-economic forecasts are often based on the interaction between econometric models and experts. A forecast that is based only on an econometric model is replicable and may be unbiased, whereas a forecast that is not based only on an econometric model, but also incorporates an expert’s...

Persistent link: https://www.econbiz.de/10008493987

Modeling the Effect of Oil Price on Global Fertilizer Prices

Chen, Ping-Yu; Chang, Chia-Lin; Chen, Chi-Chung; … - Department of Economics and Finance, College of … - 2010

, and alternative volatility models, including the generalized autoregressive conditional heteroskedasticity (GARCH) model …, Exponential GARCH (EGARCH) model, and GJR model, are used to investigate the relationship between crude oil price and six global …

Persistent link: https://www.econbiz.de/10008525344

Globalization and Knowledge Spillover: International Direct Investment, Exports and Patents

Chang, Chia-Lin; Chen, Sung-Po; McAleer, Michael - Department of Economics and Finance, College of … - 2010

This paper examines the impact of the three main channels of international trade on domestic innovation, namely outward direct investment, inward direct investment (IDI) and exports. The number of Triadic patents serves as a proxy for innovation. The data set contains 37 countries that are...

Persistent link: https://www.econbiz.de/10008525346

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

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

extreme value forecasting models and by extending the sample period for comparison. These extreme value models include DPOT …

Persistent link: https://www.econbiz.de/10009207375