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Modelling and Simulation: An Overview
McAleer, Michael; Chan, Felix; Oxley, Les - 2013
analysis for Australia, China and India, the impacts of exchange rates on Australia's domestic and outbound travel markets …, clean development mechanism in China: regional distribution and prospects, design and implementation of a Web …
Persistent link: https://www.econbiz.de/10010326266
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Modelling and simulation : an overview
McAleer, Michael; Chan, Felix; Oxley, Les - 2013
Persistent link: https://www.econbiz.de/10009747199
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Modelling and simulation : an overview
McAleer, Michael; Chan, Felix; Oxley, Les - 2013
Persistent link: https://www.econbiz.de/10009755013
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Modelling and simulation : an overview
McAleer, Michael; Chan, Felix; Oxley, Les - 2013
Persistent link: https://www.econbiz.de/10009765832
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Are Forecast Updates Progressive?
Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - 2013
Many macroeconomic forecasts and forecast updates like those from IMF and OECD typically involve both a model component, which is replicable, as well as intuition, which is non-replicable. Intuition is expert knowledge possessed by a forecaster. If forecast updates are progressive, forecast...
Persistent link: https://www.econbiz.de/10010326444
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Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2013
Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the literature has focused on...
Persistent link: https://www.econbiz.de/10010326487
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A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily continuously compounded...
Persistent link: https://www.econbiz.de/10010326508
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Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
Asai, Manabu; McAleer, Michael - 2013
The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which accommodates leverage, feedback effects and multifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace transform...
Persistent link: https://www.econbiz.de/10010326219
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Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence
Chang, Chia-Lin; McAleer, Michael; Oxley, Les - 2013
performance metrics, namely the Eigenfactor score, which may be interpreted as measuring “Journal Influence”, and the Article … journal performance metrics, although the actual relationships are very similar. Moreover, the journal influence and article … influence journal performance metrics are shown to be closely related empirically to the two existing ISI metrics, and hence add …
Persistent link: https://www.econbiz.de/10010326262
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Realized Volatility Risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - 2013
In this paper we document that realized variation measures constructed from highfrequency 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/10010326350