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Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range

McAleer, Michael; Chen, Chen, C.W.S.; Gerlach, Gerlach, R. - Faculteit der Economische Wetenschappen, Erasmus … - 2011

, back-testing criteria, market risk charges and quantile loss function to measure the forecasting performance of a variety …

Persistent link: https://www.econbiz.de/10010734029

Herding, Information Cascades and Volatility Spillovers in Futures Markets

McAleer, Michael; Radalj, Radalj, K. - Faculteit der Economische Wetenschappen, Erasmus … - 2013

Economists and financial analysts have begun to recognise the importance of the actions of other agents in the decision-making process. Herding is the deliberate mimicking of the decisions of other agents. Examples of mimicry range from the choice of restaurant, fashion and financial market...

Persistent link: https://www.econbiz.de/10010731573

Risk Management and Financial Derivatives: An Overview

Hammoudeh, Shawkat; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2012

indices: dynamic models and risk hedging, the probability of default in collateralized credit operations, risk premia in multi …

Persistent link: https://www.econbiz.de/10010731768

Asymmetric Adjustment in the Ethanol and Grains Markets

Chang, Chia-Lin; Hammoudeh, Shawkat; McAleer, Michael; … - Faculteit der Economische Wetenschappen, Erasmus … - 2011

) spot show different long-run adjustments, arbitrage profitable opportunities and price risk hedging capabilities. The … potentially hedging the spot prices of agricultural commodities with ethanol futures contracts, which sends an important message … that the ethanol futures market is capable of hedging price risk in agricultural commodity markets. The short …

Persistent link: https://www.econbiz.de/10010732603

Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies

Hammoudeh, Shawkat; McAleer, Michael; Yuan, Yuan, Y.; … - Faculteit der Economische Wetenschappen, Erasmus … - 2009

. The implications of the estimated results for portfolio designs and hedging strategies are also analyzed. The results for … optimal weights in a two-asset portfolio and the hedging ratios for long positions. …

Persistent link: https://www.econbiz.de/10010732605

Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies

Hammoudeh, Shawkat; McAleer, Michael; Yuan, Yuan, Y. - Faculteit der Economische Wetenschappen, Erasmus … - 2010

This paper examines the inclusion of the dollar/euro exchange rate together with four important and highly traded commodities - aluminum, copper, gold and oil- in symmetric and asymmetric multivariate GARCH and DCC models. The inclusion of exchange rate increases the significant direct and...

Persistent link: https://www.econbiz.de/10010732633

A Capital Adequacy Buffer Model

Allen, Allen, D.E.; Powell, Powell, R.J.; Singh, Singh, A.K. - Faculteit der Economische Wetenschappen, Erasmus … - 2013

__Abstract__ In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model...

Persistent link: https://www.econbiz.de/10011149240

An Empirical Comparison of Default Swap Pricing Models

Houweling, Patrick; Vorst, Ton - Faculteit der Economische Wetenschappen, Erasmus … - 2002

Abstract: In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums. We find that the model works...

Persistent link: https://www.econbiz.de/10010731658

Modelling and Simulation: An Overview

McAleer, Michael; Oxley, Les; Chan, Chan, F. - Faculteit der Economische Wetenschappen, Erasmus … - 2013

The papers in this special issue of Mathematics and Computers in Simulation cover the following topics: improving judgmental adjustment of model-based forecasts, whether forecast updates are progressive, on a constrained mixture vector autoregressive model, whether all estimators are born equal:...

Persistent link: https://www.econbiz.de/10010732602

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