Similar Search Results

Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan

Chang, Chia-Lin; McAleer, Michael; Lim, Christine - Facultad de Ciencias Económicas y Empresariales, … - 2011

This paper estimates the effects of short and long haul volatility (or risk) in monthly Japanese tourist arrivals to … former has an asymmetric effect on risk from positive and negative shocks of equal magnitude, while the latter has no … the issues related to risk and leverage effects, are also applicable to international tourism flows. …

Persistent link: https://www.econbiz.de/10009194559

Modelling and Forecasting Noisy Realized Volatility

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

Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility. Even bias-corrected and consistent realized...

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

Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates

Chang, Chia-Lin; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2011

Tourism is a major source of service receipts for many countries, including Taiwan. The two leading tourism countries for Taiwan are Japan and USA, which are sources of short and long haul tourism, respectively. As a strong domestic currency can have adverse effects on international tourist...

Persistent link: https://www.econbiz.de/10009141353

Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX

Ishida, Isao; McAleer, Michael; Oya, Kosuke - Facultad de Ciencias Económicas y Empresariales, … - 2011

This paper proposes a new method for estimating continuous-time stochastic volatility (SV) models for the S&P 500 stock index process using intraday high-frequency observations of both the S&P 500 index and the Chicago Board of Exchange (CBOE) implied (or expected) volatility index (VIX)....

Persistent link: https://www.econbiz.de/10009142363

Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns

Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - Facultad de Ciencias Económicas y Empresariales, … - 2011

This paper investigates the conditional correlations and volatility spillovers between the crude oil and financial markets, based on crude oil returns and stock index returns. Daily returns from 2 January 1998 to 4 November 2009 of the crude oil spot, forward and futures prices from the WTI and...

Persistent link: https://www.econbiz.de/10009364035

The Rise and Fall of S&P500 Variance Futures

Chang, Chia-Lin; Jimenez-Martin, Juan Angel Jimenez Martin - Facultad de Ciencias Económicas y Empresariales, … - 2011

Volatility is an indispensible component of sensible portfolio risk management. The volatility of an asset of composite …, and hence is not model based. Speculators can trade on volatility risk with VIX derivatives, with views on whether … risk. VIX and its options and futures derivatives has been widely analysed in recent years. An alternative volatility …

Persistent link: https://www.econbiz.de/10009364036

Currency Hedging Strategies Using Dynamic Multivariate GARCH

Chang, Chia-Lin; Jimenez-Martin, Juan Angel Jimenez Martin - Facultad de Ciencias Económicas y Empresariales, … - 2011

This paper examines the effect on the effectiveness of using futures contracts as hedging instruments of: 1) the model of volatility used to estimate conditional variances and covariances, 2) the analyzed currency, and 3) the maturity of the futures contract being used. For this purpose, daily...

Persistent link: https://www.econbiz.de/10009364038

GFC-Robust Risk Management Strategies under the Basel Accord

Jimenez-Martin, Juan Angel Jimenez Martin; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2010

A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk … VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that … maintaining the same risk management strategies before, during and after a financial crisis would lead to comparatively low daily …

Persistent link: https://www.econbiz.de/10008764123

A One Line Derivation of EGARCH

McAleer, Michael; Hafner, Christian Matthias - Facultad de Ciencias Económicas y Empresariales, … - 2014

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also...

Persistent link: https://www.econbiz.de/10010790038

Linking the problems of estimating and allocating unconditional capital

Ferrer, Alex; Casals, José; Sotoca, Sonia - Facultad de Ciencias Económicas y Empresariales, … - 2014

: Estimating it using Monte Carlo simulation and allocating it among the different risk units that form the portfolio. By …

Persistent link: https://www.econbiz.de/10010790039