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The Impact of Jumps and Leverage in Forecasting Co-Volatility
Asai, Manabu; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2015
__Abstract__ The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects … for forecasting weekly and monthly horizons. …
Persistent link: https://www.econbiz.de/10011274348
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It Pays to Violate: How Effective are the Basel Accord Penalties?
McAleer, Michael; da Veiga, da Veiga, B.; Chan, Chan, F. - Faculteit der Economische Wetenschappen, Erasmus … - 2009
The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...
Persistent link: https://www.econbiz.de/10010731585
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Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
Caporin, Massimiliano; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010
The management and monitoring of very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations in the class of multivariate GARCH models are BEKK and DCC. It is well known that BEKK...
Persistent link: https://www.econbiz.de/10010731849
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Modelling and Simulation: An Overview
McAleer, Michael; Oxley, Les; Chan, Chan, F. - Faculteit der Economische Wetenschappen, Erasmus … - 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/10010732602
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Modelling sustainable international tourism demand to the Brazilian Amazon
McAleer, Michael; Divino, Divino, J.A. - Faculteit der Economische Wetenschappen, Erasmus … - 2008
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/10010732604
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Modelling and Forecasting Noisy Realized Volatility
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo - Faculteit der Economische Wetenschappen, Erasmus … - 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/10010732608
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Risk Modelling and Management: An Overview
Chang, Chia-Lin; McAleer, Michael; perez-amaral, teodosio; … - Faculteit der Economische Wetenschappen, Erasmus … - 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/10010732625