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Special issue : in memory of Michael McAleer

Maasoumi, Esfandiar; Taylor, Robert - 2023

Persistent link: https://econbiz.de/10014420400

Review papers for Journal of Risk and Financial Management (JRFM)

2020

Persistent link: https://econbiz.de/10012431044

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Review papers for Journal of Risk and Financial Management (JRFM)

2020

Book / Working Paper

Confucius and Herding Behaviour in the Stock Markets in China and Taiwan

Batmunkh, Munkh-Ulzii - 2020

It has been argued in the literature that financial markets with a Confucian background tend to exhibit herding behaviour, or correlated behavioural patterns in individuals. This paper applies the return dispersion model to investigate financial herding behaviour by examining index returns from...

Persistent link: https://econbiz.de/10012848763

Risk measures with applications in finance and economics

2019

Risk measures play a vital role in many subfields of economics and finance. It has been proposed that risk measures could be analysed in relation to the performance of variables extracted from empirical real-world data. For example, risk measures may help inform effective monetary and fiscal...

Persistent link: https://econbiz.de/10012058776

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Risk measures with applications in finance and economics

2019

Book / Working Paper

Drawbacks in the 3-factor approach of Fama and French : (2018)

Allen, David E.; McAleer, Michael - 2019

Persistent link: https://econbiz.de/10012149751

A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index

Allen, David E. - 2019

The paper features an examination of the link between the behaviour of oil prices and DowJones Index in a nonlinear autoregressive distributed lag NARDL framework. The attraction of NARDL is that it represents the simplest method available of modelling combined short- and long-run asymmetries....

Persistent link: https://econbiz.de/10012888683

Do We Need Stochastic Volatility and GARCH? Comparing Squared End-of-Day Returns on FTSE

Allen, David E. - 2019

The paper examines the relative performance of Stochastic Volatility (SV) and GARCH(1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we use the realized volatility (RV) of FTSE sampled at 5-minute intervals, taken from the Oxford Man Realised Library. Both models...

Persistent link: https://econbiz.de/10012859426

Central bank intervention, bubbles and risk in Walrasian financial markets

Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - 2019

Persistent link: https://econbiz.de/10011986943

Risk analysis of energy in Vietnam

Duc Hong Vo; Ngoc Phu Tran; Tam Nguyen-Thanh Duong; … - 2019

Persistent link: https://econbiz.de/10011986947

The impact of jumps and leverage in forecasting the co-volatility of oil and gold futures

Asai, Manabu; Gupta, Rangan; McAleer, Michael - 2019

Persistent link: https://econbiz.de/10011986953