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A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises

Guo, Xu; McAleer, Michael; Wong, Wing Keung; Zhu, Lixing - 2016

In this paper, we introduce a new Bayesian approach to explain some market anomalies during financial crises and subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to incorporate the impact of financial crises. We further assume...

Persistent link: https://www.econbiz.de/10011441491

Testing for a common volatility process and information spillovers in bivariate financial time series models

Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2016 - Revised: February 2016

The paper considers the problem as to whether financial returns have a common volatility process in the framework of stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH test proposed by Engle and Susmel (1993), who...

Persistent link: https://www.econbiz.de/10011441709

Testing for volatility co-movement in bivariate stochastic volatility models

Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2017 - Revised: February 2017

The paper considers the problem of volatility co-movement, namely as to whether two financial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which checks the volatility co-movement. The proposed test...

Persistent link: https://www.econbiz.de/10011602570

Tourism stocks in times of crises : an econometric investigation of non-macro factors

Zopiatis, Anastasios; Savva, Christos S.; Lambertides, … - 2016

Following the recent terrorist attacks in Paris, the European media emphatically pronounced that billions of euros were wiped from tourism related stocks. This comes at a troublesome time for the tourism industry, in the midst of a global financial crisis, and the unpredictable rise of radical...

Persistent link: https://www.econbiz.de/10011566387

Tourism stocks in times of crises : an econometric investigation of unexpected non-macroeconomic factors

Zopiatis, Anastasios; Savva, Christos S.; Lambertides, … - 2017 - Revised: June 2017

Following the recent terrorist attacks in Paris, the European media emphatically pronounced that billions of Euros were wiped from tourism related stocks. The theoretical relationship of the industry with such unexpected non-macro incidents received moderate academic coverage. Nevertheless, the...

Persistent link: https://www.econbiz.de/10011658758

A capital adequacy buffer model

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013

In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model which measures...

Persistent link: https://www.econbiz.de/10010224793

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016

In recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporating the long memory in stochastic volatility (SV)...

Persistent link: https://www.econbiz.de/10011483824

Forecasting the volatility of Nikkei 225 futures

Asai, Manabu; McAleer, Michael - 2017 - Revised: January 2017

For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers … that the new method based on stochastic volatility models with the asymmetry and long memory outperforms the forecasting …

Persistent link: https://www.econbiz.de/10011590424

Modelling and simulation : an overview

McAleer, Michael; Chan, Felix; Oxley, Les - 2013

Persistent link: https://www.econbiz.de/10009765832

Risk modelling and management : an overview

Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013

Persistent link: https://www.econbiz.de/10009767001