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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013
simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …> Research papers in empirical finance and financial econometrics are among the most widely cited, downloaded and viewed articles … Developments in Financial Economics and Econometrics”. The breadth of coverage is substantial, and includes original research and …
Persistent link: https://www.econbiz.de/10011256871
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Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - Tinbergen Instituut - 2013
, volatility spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the …
Persistent link: https://www.econbiz.de/10011256696
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Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis
McAleer, Michael; Suen, John; Wong, Wing Keung - Tinbergen Instituut - 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 of Nasdaq. It examines the profitability of Technical Analysis (TA) strategies generating buy and sell signals with...
Persistent link: https://www.econbiz.de/10011257455
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Do Daily Retail Gasoline Prices adjust Asymmetrically?
Bettendorf, Leon; Geest, Stephanie van der; Kuper, Gerard - Tinbergen Instituut - 2005
in the daily retail price for gasoline (taxes excluded) for the period 1996-2004 taking care of volatility clustering by … estimating an EGARCH model. It turns out the volatility process is asymmetrical: an unexpected increase in the producer price has … amount asymmetry. However, there is a faster reaction to upward changes in spot prices than to downward changes in spot …
Persistent link: https://www.econbiz.de/10011257551
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Modelling and Simulation: An Overview
McAleer, Michael; Chan, Felix; Oxley, Les - Tinbergen Instituut - 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/10011256964
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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - Tinbergen Instituut - 2001
="http://people.few.eur.nl/hkvandijk/PDF/Bos_Mahieu_and_Van_Dijk_2000_JoAE_daily_exchange_rate.pdf">'Journal of Applied Econometrics'</A>, 2000, 15(6), 671-696.<P> We construct models … ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance densities) areinvestigated in …
Persistent link: https://www.econbiz.de/10011256653
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On the Variation of Hedging Decisions in Daily Currency Risk Management
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - Tinbergen Instituut - 2001
This discussion paper resulted in a publication in (I. Edward George (eds.)), 2001, Bayesian methods with applications to science, policy and official statistics, Eurostat, 31-40.<P> Internationally operating firrns naturally face the decision whether or not to hedge the currencyrisk implied by...</p>
Persistent link: https://www.econbiz.de/10011256848
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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - Tinbergen Instituut - 1999
This discussion paper led to a publication in the 'Journal of Applied Econometrics', 2000, 15(6), pages 671-696.<P …. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed disturbancedensities …
Persistent link: https://www.econbiz.de/10011257188
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Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - Tinbergen Instituut - 2013
paper examines the size effects of volatility spillovers for firm performance and exchange rates with asymmetry in the … volatility specification. Daily data from 1 July 2008 to 29 June 2012 for 999 firms are used, which covers the Global Financial … Crisis. The empirical findings indicate that there are size effects on volatility spillovers from the exchange rate to firm …
Persistent link: https://www.econbiz.de/10011256725
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Convertible Bonds and Bank Risk-Taking
Martynova, Natalya; Perotti, Enrico - Tinbergen Instituut - 2012
We study the effect of going-concern contingent capital on bank risk choice. The possibility of debt for equity conversion forces deleveraging in highly levered states, when risk incentives are worse. The additional equity reduces endogenous risk shifting by diluting returns in high states. An...
Persistent link: https://www.econbiz.de/10011256836