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Allen, David Edmund; McAleer, Michael; Scharth, Marcel - Facultad de Ciencias Económicas y Empresariales, … - 2014

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

Persistent link: https://www.econbiz.de/10010862570

The Impact of Jumps and Leverage in Forecasting Co-Volatility

Asai, Manabu; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2015

The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … forecasting weekly and monthly horizons. …

Persistent link: https://www.econbiz.de/10011272957

Modelling Sustainable International Tourism Demand to the Brazilian Amazon

Divino, Jose Angelo; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2009

The Amazon rainforest is one of the world’s greatest natural wonders and holds great importance and significance for the world’s environmental balance. Around 60% of the Amazon rainforest is located in the Brazilian territory. The two biggest states of the Amazon region are Amazonas (the...

Persistent link: https://www.econbiz.de/10005012104

Risk Modelling and Management: An Overview

Chang, Chia-Lin; Allen, David Edmund; McAleer, Michael; … - Facultad de Ciencias Económicas y Empresariales, … - 2013

under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes … dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value …

Persistent link: https://www.econbiz.de/10010778723

Modelling and Forecasting Noisy Realized Volatility

Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - Facultad de Ciencias Económicas y Empresariales, … - 2011

account of them in estimating and forecasting IV. This paper investigates through Monte Carlo simulations the effects of RV … errors on estimating and forecasting IV with RV data. It is found that: (i) neglecting RV errors can lead to serious bias in …

Persistent link: https://www.econbiz.de/10008915753

Realized volatility risk

Allen, David Edmund; McAleer, Michael; Scharth, Marcel - Facultad de Ciencias Económicas y Empresariales, … - 2013

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

Persistent link: https://www.econbiz.de/10011162546

Modelling and Simulation: An Overview

McAleer, Michael; Oxley, Les; Chan, Felix - Facultad de Ciencias Económicas y Empresariales, … - 2013

underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan …

Persistent link: https://www.econbiz.de/10011162548

Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models

Caporin, Massimiliano; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2009

Large and very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations are BEKK and DCC. BEKK suffers from the archetypal "curse of dimensionality" whereas DCC does not. This is a...

Persistent link: https://www.econbiz.de/10005115640