Similar Search Results

Herding, Information Cascades and Volatility Spillovers in Futures Markets

McAleer, Michael; Radalj, Kim - Tinbergen Instituut - 2013

Published in the Journal of Reviews on Global Economics (2013). Volume 2, pages 307-329. Economists and financial analysts have begun to recognise the importance of the actions of other agents in the decision-making process. Herding is the deliberate mimicking of the decisions of other agents....

Persistent link: https://www.econbiz.de/10011256404

Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures

Lean, Hooi Hooi; McAleer, Michael - Tinbergen Instituut - 2013

This paper examines risk-averse and risk-seeking investor preferences for oil spot and futures prices by using the mean-variance (MV) criterion and stochastic dominance (SD) approach. The MV findings cannot distinguish between the preferences of spot and futures markets. However, the SD tests...

Persistent link: https://www.econbiz.de/10011256736

Recent Developments in Financial Economics and Econometrics: An Overview

Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013

improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and …, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …

Persistent link: https://www.econbiz.de/10011256871

Volatility Smirk as an Externality of Agency Conflict and Growing Debt

Jaskowski, Marcin; McAleer, Michael - Tinbergen Instituut - 2013

Since Black (1976), the source of the stock price volatility smirk has remained a controversy. The volatility smirk is a side effect of agency conflict. An important distinction is that the smirk occurs in the optimum, even after agency conflict has been resolved. The slope of the smirk is found...

Persistent link: https://www.econbiz.de/10011268659

Asymmetric Realized Volatility Risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - Tinbergen Instituut - 2014

In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...

Persistent link: https://www.econbiz.de/10011272575

Volatility Spillovers from Australia's Major Trading Partners across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert J.; … - Tinbergen Instituut - 2014

This paper features an analysis of volatility spillover effects from Australia's major trading partners, namely, China, Japan, Korea and the United States, for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global Financial Crisis (GFC). These...

Persistent link: https://www.econbiz.de/10011272594