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A decision rule to minimize daily capital charges in forecasting value-at-risk
McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - 2008
Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading day, using a variety of Value-at-Risk (VaR) models to measure risk. Sometimes the risk estimates...
Persistent link: https://www.econbiz.de/10003893363
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A simple expected volatility (SEV) index : application to SET50 index options
Wiphatthanananthakul, Chatayan; McAleer, Michael - 2008
Persistent link: https://www.econbiz.de/10003893426
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Moment-bases estimation of smooth transition regression models with endogenous variables
Dutra Areosa, Waldyr; McAleer, Michael; Medeiros, Marcelo C. - 2008
Persistent link: https://www.econbiz.de/10003893429
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A scientific classification of volatility models
Caporin, Massimiliano; McAleer, Michael - In: Journal of economic surveys 24 (2010) 1, pp. 192-195
Persistent link: https://www.econbiz.de/10003948949
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The ten commandments for managing investments
Caporin, Massimiliano; McAleer, Michael - In: Journal of economic surveys 24 (2010) 1, pp. 196-200
Persistent link: https://www.econbiz.de/10003948951
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Modelling the interactions across international stock, bond and foreign exchange markets
Hakim, Abdul; McAleer, Michael - In: Applied economics 42 (2010) 7/9, pp. 825-850
Persistent link: https://www.econbiz.de/10003991754
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How does Zinfluence affect article influence?
Chang, Chia-Lin; McAleer, Michael; Oxley, Les - 2010
Persistent link: https://www.econbiz.de/10003995686
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Modeling the volatility in global fertilizer prices
Chen, Ping-yu; Chang, Chia-Lin; Chen, Chi-chung; … - 2010
Persistent link: https://www.econbiz.de/10003995695
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Ten things we should know about time series
McAleer, Michael; Oxley, Les - In: Journal of economic surveys 25 (2011) 1, pp. 185-188
Persistent link: https://www.econbiz.de/10009127801
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Forecasting realized volatility with linear and nonlinear univariate models
McAleer, Michael; Medeiros, Marcelo C. - In: Journal of economic surveys 25 (2011) 1, pp. 6-18
Persistent link: https://www.econbiz.de/10009127819