Showing 1 - 10 of 123
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
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
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
This paper examines the short- and long-run daily relationships for a grain-energy nexus that includes the prices of corn, crude oil, ethanol, gasoline, soybeans, and sugar, and their open interest. The empirical results demonstrate the presence of these relationships in this nexus, and...
Persistent link: https://www.econbiz.de/10009643472
The paper analyses the leading international journals in Tourism and Hospitality Research using quantifiable Research Assessment Measures (RAMs), highlights the similarities and differences in alternative RAMs, shows that several RAMs capture similar performance characteristics of highly cited...
Persistent link: https://www.econbiz.de/10009207374
The Thomson Reuters ISI Web of Science citations database (hereafter ISI) category of Economics has one of the largest numbers of journals, at 304, of any ISI discipline, and hence has wide coverage. The paper analyses the leading international journals in the Economics sub-disciplines of...
Persistent link: https://www.econbiz.de/10009398254
Experts possess knowledge and information that are not publicly available. The paper is concerned with the ranking of academic journal quality and research impact using a survey of experts from a national project on ranking academic finance journals. A comparison is made with publicly available...
Persistent link: https://www.econbiz.de/10009416139
Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the international oil market, namely West Texas Intermediate...
Persistent link: https://www.econbiz.de/10008552171
This paper examines the novelty and usefulness of two new journal performance metrics, namely the Eigenfactor Score and Article Influence Score, using ISI data for 2009 for the 200 most highly cited journals in each of the sciences and social sciences, and compares them with existing ISI...
Persistent link: https://www.econbiz.de/10008560228
A government’s ability to forecast key economic fundamentals accurately can affect business confidence, consumer sentiment, and foreign direct investment, among others. A government forecast based on an econometric model is replicable, whereas one that is not fully based on an econometric...
Persistent link: https://www.econbiz.de/10008565778