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A Bayesian Approach to Excess Volatility, Short-term Underreaction and Long-term Overreaction During Financial Crises

Guo, Xu; McAleer, Michael; Wong, Wing-Keung; Zhu, Lixing - 2016

In this paper, we introduce a new Bayesian approach to explain some market anomalies during financial crises and subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to incorporate the impact of financial crises. We further assume...

Persistent link: https://www.econbiz.de/10011451517

A Capital Adequacy Buffer Model

Allen, David; McAleer, Michael - 2013

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 which measures...

Persistent link: https://www.econbiz.de/10010326171

Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors

Zopiatis, Anastasios; Savva, Christos S.; Lambertides, … - 2016

Following the recent terrorist attacks in Paris, the European media emphatically pronounced that billions of euros were wiped from tourism related stocks. This comes at a troublesome time for the tourism industry, in the midst of a global financial crisis, and the unpredictable rise of radical...

Persistent link: https://www.econbiz.de/10011586719

Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models

Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2017

The paper considers the problem of volatility co-movement, namely as to whether two nancial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which checks the volatility co-movement. The proposed test is...

Persistent link: https://www.econbiz.de/10011662520

Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic Factors

Zopiatis, Anastasios; Savva, Christos S.; Lambertides, … - 2017

Following the recent terrorist attacks in Paris, the European media emphatically pronounced that billions of Euros were wiped from tourism related stocks. The theoretical relationship of the industry with such unexpected non-macro incidents received moderate academic coverage. Nevertheless, the...

Persistent link: https://www.econbiz.de/10011819445

Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models

Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2016

The paper considers the problem as to whether financial returns have a common volatility process in the framework of stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH test proposed by Engle and Susmel (1993), who...

Persistent link: https://www.econbiz.de/10011451526

Risk Modelling and Management: An Overview

Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013

under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes … dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value …

Persistent link: https://www.econbiz.de/10010326135

Modelling and Simulation: An Overview

McAleer, Michael; Chan, Felix; Oxley, Les - 2013

underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan …

Persistent link: https://www.econbiz.de/10010326266

Realized Volatility Risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - 2013

of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting …

Persistent link: https://www.econbiz.de/10010326350

Forecasting the Volatility of Nikkei 225 Futures

Asai, Manabu; McAleer, Michael - 2017

For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers … that the new method based on stochastic volatility models with the asymmetry and long memory outperforms the forecasting …

Persistent link: https://www.econbiz.de/10011662515