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Robust Estimation and Forecasting of the Capital Asset Pricing Model

Bian, Guorui; McAleer, Michael; Wong, Wing-Keung - Department of Economics and Finance, College of … - 2010

In this paper, we develop a modified maximum likelihood (MML) estimator for the multiple linear regression model with underlying student t distribution. We obtain the closed form of the estimators, derive the asymptotic properties, and demonstrate that the MML estimator is more appropriate for...

Persistent link: https://www.econbiz.de/10008692053

Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis

McAleer, Michael; Suen, John; Wong, Wing Keung - Department of Economics and Finance, College of … - 2013

This paper explores the characteristics associated with the formation of bubbles that occurred in the Hong Kong stock market in 1997 and 2007, as well as the 2000 dot-com bubble in NASDAQ. It examines the profitability of Technical Analysis (TA) strategies generating buy and sell signals with...

Persistent link: https://www.econbiz.de/10010907392

Estimating Price Effects in an Almost Ideal Demand Model of Outbound Thai Tourism to East Asia

Chang, Chia-Lin; Khamkaew, Thanchanok; McAleer, Michael - Department of Economics and Finance, College of … - 2010

This paper analyzes the responsiveness of Thai outbound tourism to East Asian destinations, namely China, Hong Kong, Japan, Taiwan and Korea, to changes in effective relative price of tourism, total real total tourism expenditure, and one-off events. The nonlinear and linear Almost Ideal Demand...

Persistent link: https://www.econbiz.de/10008621802

REPLICATION STUDY: Toya and Skidmore (Economics Letters, 2007

Reed, W. Robert; Mercer, Robert - Department of Economics and Finance, College of … - 2013

This study replicates the empirical findings of Toya and Skidmore (2007), hereinaf¬ter “TS”, and performs a variety of robustness checks. We are able to exactly replicate the find¬ings reported by TS. Our robustness checks consist of two parts. Firstly, we update TS’s orig¬in¬al data...

Persistent link: https://www.econbiz.de/10010608702

Information-Theoretic Distribution Test with Application to Normality

Stengos, Thanasis; Wu, Ximing - Department of Economics and Finance, College of … - 2006

We derive general distribution tests based on the method of Maximum Entropy density. The proposed tests are derived from maximizing the di®erential entropy subject to moment constraints. By exploiting the equivalence between the Maximum Entropy and Maximum Likelihood estimates of the general...

Persistent link: https://www.econbiz.de/10005545226

A Note on the Practice of Lagging Variables to Avoid Simultaneity

Reed, W. Robert - Department of Economics and Finance, College of … - 2013

A common practice in applied econometrics consists of replacing a suspected endogenous variable with its lagged values. This note demonstrates that lagging an endogen¬ous variable does not enable one to escape simultaneity bias. The associated estimates are still inconsistent, and hypothesis...

Persistent link: https://www.econbiz.de/10010907403

On the Practice of Lagging Variables To Avoid Simultaneity

Reed, W. Robert - Department of Economics and Finance, College of … - 2014

A common practice in applied economics research consists of replacing a suspected simultaneously-determined explanatory variable with its lagged value. This note demonstrates that this practice does not enable one to avoid simultaneity bias. The associated estimates are still inconsistent, and...

Persistent link: https://www.econbiz.de/10010907405

A Replication of "The Political Determinants of Federal Expenditure at the State Level (Public Choice, 2005)

Douglas, Stratford; Reed, W. Robert - Department of Economics and Finance, College of … - 2013

This paper replicates and analyses a study by Hoover and Pecorino (2005) on federal spending in US states. H&P followed on path-breaking research by Atlas et al. (1995) in which evidence was claimed in favour of the “small state effect;” namely, that since every state is represented by two...

Persistent link: https://www.econbiz.de/10010907423

REPLICATION STUDY: Hoover and Pecorino (Public Choice, 2005)

Douglas, Stratford; Reed, W. Robert - Department of Economics and Finance, College of … - 2013

This paper replicates and analyses a study by Hoover and Pecorino on Federal spending in US states (Hoover and Pecorino, 2005; henceforth H&P). H&P followed on path-breaking research by Atlas et al. (1995) in which evidence was claimed in favour of the “small state effect;” namely, that since...

Persistent link: https://www.econbiz.de/10010907431

The Rise and Fall of S&P500 Variance Futures

Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - Department of Economics and Finance, College of … - 2011

Modelling, monitoring and forecasting volatility are indispensible to sensible portfolio risk management. The … volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps …, options and futures. The most popular volatility index is VIX, which is a key measure of market expectations of volatility …

Persistent link: https://www.econbiz.de/10009358981