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Estimating and forecasting generalized fractional long memory stochastic volatility models
Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016
. We examine the statistical properties of the new model, suggest using the spectral likelihood estimation for long memory …
Persistent link: https://www.econbiz.de/10011483824
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Estimating and forecasting generalized fractional long memory stochastic volatility models
Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-16
corresponding statistical properties of this model, discuss the spectral likelihood estimation and investigate the finite sample …
Persistent link: https://www.econbiz.de/10011854876
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Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies
Allen, David E.; McAleer, Michael; Shelton, Peiris; … - 2015
Persistent link: https://www.econbiz.de/10011432736
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Nonlinear time series and neural-network models of exchange rates between the US Dollar and major currencies
Allen, David E.; McAleer, Michael; Peiris, Shelton; … - 2015
in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models …
Persistent link: https://www.econbiz.de/10011378229
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Nonlinear time series and neural-network models of echange rates between the US Dollar and major currencies
Allen, David E.; McAleer, Michael; Peiris, Shelton; … - In: Risks : open access journal 4 (2016) 1, pp. 1-14
in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models …
Persistent link: https://www.econbiz.de/10011443686
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Estimating and forecasting generalized fractional long memory stochastic volatility models
Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016
Persistent link: https://www.econbiz.de/10011500273
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Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, Chia-Lin; McAleer, Michael - 2009
Persistent link: https://www.econbiz.de/10003910516
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What happened to risk management during the 2008 - 09 financial crisis?
McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - 2009
Persistent link: https://www.econbiz.de/10003877129
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Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, Chia-Lin; McAleer, Michael - In: The Korean economic review 50 (2009) 2, pp. 241-267
Persistent link: https://www.econbiz.de/10003926815
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Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
Chang, Chia-Lin - 2009
Both domestic and international tourism are a major source of service export receipts for many countries worldwide, and is also increasingly important in Taiwan. One of the three leading tourism source countries for Taiwan is the Republic of Korea, which is a source of short haul tourism. Daily...
Persistent link: https://www.econbiz.de/10013154681