This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacifc). We explore the relationship between the S&P 500 daily continuously compounded...

This paper examines the asymmetric relationship between price and implied volatility and the associated extreme quantile dependence using a linear and non- linear quantile regression approach. Our goal is to demonstrate that the relationship between the volatility and market return, as...

This paper presents an application of a recently developed approach by Matteson and James (2012) for the analysis of change points in a data set, namely major financial market indices converted to financial return series. The general problem concerns the inference of a change in the distribution...

This paper features the application of a novel and recently developed method of statistical and mathe- matical analysis to the assessment of financial risk: namely Regular Vine copulas. Dependence modelling using copulas is a popular tool in financial applications, but is usually applied to...

This paper examines the viability of regional monetary integration in East Asia by focusing on the symmetry of shocks, which is one of the preconditions for forming an optimum currency area (OCA). We extend the conventional 2-variable structural VAR model by incorporating foreign (namely, US)...

In this paper a number of alternative ACD models are compared using a sample of data for three major companies traded on the Australian Stock Exchange. The comparison is performed by employing the methodology for evaluating density and interval forecasts, developed by Diebold, Gunther and Tay...

In this paper we model intra-daily seasonality in the shape of the residual distribution of the standard ACD model, which is estimated using diurnally (seasonally) adjusted duration data. Specifically, for two of the three companies in our sample, the shapes of the residual distribution for...

Small Island Tourism Economies (SITEs) vary in their size, land area, location, narrow resource bases, economic development, an overwhelming reliance on tourism, and a consistent inflow of foreign direct investment for economic growth. SITEs differ in their ethnic diversity, political systems,...

Small Island Tourism Economies (SITEs) are developing sovereign countries that rely on tourism as a source of exports, and need a consistent inflow of foreign investment in order to facilitate economic growth. Access to international capital markets helps SITEs smooth out their consumption over...

International tourism is the principal economic activity for Small Island Tourism Economies (SITEs). There is a strongly predictable component of international tourism, specifically the government revenue received from taxes on international tourists, but it is difficult to predict the number of...