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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - 2013
Research papers in empirical finance and financial econometrics are among the most widely cited, downloaded and viewed … articles in the discipline of Finance. The special issue presents several papers by leading scholars in the field on “Recent … researchers in finance, financial economics, financial econometrics and financial statistics. The purpose of this special issue on …
Persistent link: https://www.econbiz.de/10010326212
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Recent developments in financial economics and econometrics : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009724823
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Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - Department of Economics and Finance, College of … - 2011
The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...
Persistent link: https://www.econbiz.de/10008914313
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Modelling and Forecasting Noisy Realized Volatility
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - Facultad de Ciencias Económicas y Empresariales, … - 2011
Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility. Even bias-corrected and consistent realized...
Persistent link: https://www.econbiz.de/10008915753
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GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies
Santos, Paulo Araújo; Jiménez-Martín, Juan-Ángel; … - Department of Economics and Finance, College of … - 2011
In McAleer et al. (2010b), a robust risk management strategy to the Global Financial Crisis (GFC) was proposed under the Basel II Accord by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast was based on the median of the point VaR...
Persistent link: https://www.econbiz.de/10009207375
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GFC-Robust Risk Management Strategies under the Basel Accord
McAleer, Michael; Jiménez-Martín, Juan-Ángel; … - Department of Economics and Finance, College of … - 2010
A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility...
Persistent link: https://www.econbiz.de/10008677893
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GFC-Robust Risk Management Strategies under the Basel Accord
Jimenez-Martin, Juan Angel Jimenez Martin; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2010
A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility...
Persistent link: https://www.econbiz.de/10008764123
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International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord
McAleer, Michael; Jimenez-Martin, Juan Angel Jimenez Martin - Facultad de Ciencias Económicas y Empresariales, … - 2011
A risk management strategy that is designed to be robust to the Global Financial Crisis (GFC), in the sense of selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al. (2010c). The robust forecast is based on the median of the...
Persistent link: https://www.econbiz.de/10008799922
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International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord
McAleer, Michael; Jiménez-Martín, Juan-Ángel; … - Department of Economics and Finance, College of … - 2011
A risk management strategy that is designed to be robust to the Global Financial Crisis (GFC), in the sense of selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al. (2010c). The robust forecast is based on the median of the...
Persistent link: https://www.econbiz.de/10008828627
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Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures
Chang, Chia-Lin; Jimenez-Martin, Juan Angel Jimenez Martin - Facultad de Ciencias Económicas y Empresariales, … - 2011
The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...
Persistent link: https://www.econbiz.de/10008852432