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Recent Developments in Financial Economics and Econometrics:An Overview
Chang, Chia-Lin; Allen, David E; McAleer, Michael - Institute of Economic Research, Kyoto University - 2013
Research papers in empirical finance and financial econometrics are among the most widely cited, downloaded and viewed articles in the discipline of Finance. The special issue presents several papers by leading scholars in the field on “Recent Developments in Financial Economics and...
Persistent link: https://www.econbiz.de/10010860064
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Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009
memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the … $ exchange rate are statistically adequate and have sensible interpretations. Asymmetry (though not leverage) is found for …
Persistent link: https://www.econbiz.de/10010732596
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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010
mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation. The … and have sensible interpretations. Asymmetry (though not leverage) is found for several alternative HAR models for the …
Persistent link: https://www.econbiz.de/10010732607
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Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009
memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the … $ exchange rate are statistically adequate and have sensible interpretations. Asymmetry (though not leverage) is found for …
Persistent link: https://www.econbiz.de/10010732623
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; McAleer, Michael; Allen, Allen, D.E. - Faculteit der Economische Wetenschappen, Erasmus … - 2013
Research papers in empirical finance and financial econometrics are among the most widely cited, downloaded and viewed articles in the discipline of Finance. The special issue presents several papers by leading scholars in the field on “Recent Developments in Financial Economics and...
Persistent link: https://www.econbiz.de/10010732636
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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin; McAleer, Michael - Institute of Economic Research, Kyoto University - 2010
approximate long memory in the conditional mean, examine asymmetry and leverage in volatility, and examine the effects of temporal … and spatial aggregation. Asymmetry (though not leverage) is found for several alternative HAR models. For policy purposes …
Persistent link: https://www.econbiz.de/10008489840
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Evaluating non-linear models on point and interval forecasts: an application with exchange rate returns
Boero, G.; Marrocu, E. - Centro Ricerche Nord Sud (CRENoS) - 2001
The aim of this paper is to compare the forecasting performance of SETAR and GARCH models against a linear benchmark using historical data for the returns of the Japanese yen/US dollar exchange rate. The relative performance of the models is evaluated on point forecasts and on interval...
Persistent link: https://www.econbiz.de/10005049497
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La performance di modelli non lineari per i tassi di cambio: un'applicazione con dati a diversa frequenza
Boero, G.; Marrocu, E. - Centro Ricerche Nord Sud (CRENoS) - 2000
In recent years there has been a considerable development in modelling nonlinearities and asymmetries in economic and financial variables. The aim of this work is to compare the forecasting performance of different models for the returns of some of the most traded exchange rates in terms of the...
Persistent link: https://www.econbiz.de/10005049521
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; McAleer, Michael; Allen, David - Facultad de Ciencias Económicas y Empresariales, … - 2013
Research papers in empirical finance and financial econometrics are among the most widely cited, downloaded and viewed articles in the discipline of Finance. The special issue presents several papers by leading scholars in the field on “Recent Developments in Financial Economics and...
Persistent link: https://www.econbiz.de/10010778692
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Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
Chang, C-L.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2009
memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the … $ exchange rate are statistically adequate and have sensible interpretations. Asymmetry (though not leverage) is found for …
Persistent link: https://www.econbiz.de/10008570643