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Risk Spillovers in Oil-Related CDS, Stock and Credit Markets

Chang, Chia-Lin; McAleer, Michael; Hammoudeh, Shawkat; … - Facultad de Ciencias Económicas y Empresariales, … - 2011

This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004-2011 period and the 2009-2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil price. There are more long-run equilibrium risk...

Persistent link: https://www.econbiz.de/10009143386

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

McAleer, Michael; Lean, Hooi Hooi; Wong, Wing-Keung - Facultad de Ciencias Económicas y Empresariales, … - 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/10010862565

Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China

McAleer, Michael; Bai, Zhidong; Li, Hua; Wong, Wing-Keung - Facultad de Ciencias Económicas y Empresariales, … - 2012

We derive the limiting process of the stochastic dominance statistics for risk averters as well as for risk seekers when the underlying processes might be dependent or independent. We take account of the dependency of the partitions and propose a bootstrap method to decide the critical point. In...

Persistent link: https://www.econbiz.de/10010862569

Asymmetric Realized Volatility Risk

Allen, David Edmund; McAleer, Michael; Scharth, Marcel - Facultad de Ciencias Económicas y Empresariales, … - 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/10010862570

Volatility Smirk as an Externality of Agency Conict and Growing Debt

McAleer, Michael; Jaskowski, Marcin - Facultad de Ciencias Económicas y Empresariales, … - 2013

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

Persistent link: https://www.econbiz.de/10011162550

Recent Developments in Financial Economics and Econometrics: An Overview

Chang, Chia-Lin; McAleer, Michael; Allen, David - Facultad de Ciencias Económicas y Empresariales, … - 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/10010778692

Herding, Information Cascades and Volatility Spillovers in Futures Markets

McAleer, Michael; Radalj, Kim - Facultad de Ciencias Económicas y Empresariales, … - 2013

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. Examples of mimicry range from the choice of restaurant, fashion and financial market...

Persistent link: https://www.econbiz.de/10010778715