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Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments

Hoiti, Suhejla; Maasoumi, Esfandiar; McAleer, Michael; … - Departament d'Economia Aplicada, Facultat de Ciències … - 2005

assessment of the implications of modelling conditional volatility on forecasting performance. The estimated conditional …

Persistent link: https://www.econbiz.de/10005827745

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

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

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