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Herding, Information Cascades and Volatility Spillovers in Futures Markets
McAleer, Michael; Radalj, Kim - Tinbergen Instituut - 2013
Published in the <I>Journal of Reviews on Global Economics</I> (2013). Volume 2, pages 307-329.<P> 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....</p></i>
Persistent link: https://www.econbiz.de/10011256404
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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
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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
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Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
Hammoudeh, Shawkat; Liu, Tengdong; Chang, Chia-Lin; … - Department of Economics and Finance, College of … - 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/10009002352
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Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
Hammoudeh, Shawkat; Liu, Tengdong; Chang, Chia-Lin; … - Institute of Economic Research, Kyoto University - 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/10009002679
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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
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Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures
Lean, Hooi Hooi; McAleer, Michael; Wong, Wing-Keung - Department of Economics and Finance, College of … - 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/10010698691
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Herding, Information Cascades and Volatility Spillovers in Futures Markets
McAleer, Michael; Radalj, Radalj, K. - Faculteit der Economische Wetenschappen, Erasmus … - 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/10010731573
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Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures
McAleer, Michael; Lean, Lean, H.H.; Wong, Wong, W-K. - Faculteit der Economische Wetenschappen, Erasmus … - 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/10010731845
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Forecasting Realized Volatility with Linear and Nonlinear Models
McAleer, Michael; Medeiros, Medeiros, M.C. - Faculteit der Economische Wetenschappen, Erasmus … - 2009
In this paper we consider a nonlinear model based on neural networks as well as linear models to forecast the daily volatility of the S&P 500 and FTSE 100 indexes. As a proxy for daily volatility, we consider a consistent and unbiased estimator of the integrated volatility that is computed from...
Persistent link: https://www.econbiz.de/10010732616