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Estimation and inference for the threshold model with hybrid stochastic local unit root regressors

Chen, Chaoyi; Stengos, Thanasēs - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-15

In this paper, we study the estimation and inference of the threshold model with hybrid local stochastic unit root … nonstationary regressors and to obtain its limiting distribution theory. In particular, our proposed model generalizes the threshold … model with unit root, local-to-unity, and stochastic unit root regressors. We provide the estimation strategy for the least …

Persistent link: https://www.econbiz.de/10013273589

Greenhouse emissions and productivity growth

Kalaitzidakis, Pantelis; Mamuneas, Theofanis P.; … - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-14

In this paper, we examine the effect of emissions, as measured by carbon dioxide (CO 2), on economic growth among a set of OECD countries during the period 1981–1998. We examine the relationship between total factor productivity (TFP) growth and emissions using a semiparametric smooth...

Persistent link: https://www.econbiz.de/10011895741

The Environmental Kuznets Curve with recycling : a partially linear semiparametric approach

Kasioumi, Myrto; Stengos, Thanasēs - In: Journal of risk and financial management : JRFM 13 (2020) 11/274, pp. 1-26

This paper is the first to study a comparatively new Environmental Kuznets Curve which traces empirically the relationship between environmental abatement and real GDP. Our model is a partial linear semi parametric model that allows for two way fixed effects to eliminate the bias arising from...

Persistent link: https://www.econbiz.de/10012389804

Spurious relationships for nearly non-stationary series

Cheng, Yushan; Hui, Yongchang; McAleer, Michael; Wong, … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-24

Literature shows that the regression of independent and (nearly) nonstationary time series could result in spurious outcomes. In this paper, we conjecture that under some situations, the regression of two independent and nearly non-stationary series does not have any spurious problem at all. To...

Persistent link: https://www.econbiz.de/10012626690

Down-side risk metrics as portfolio diversification strategies across the global financial crisis

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-18

investment strategies and a variety of hold-out periods and backtests. We commence by using four two-year estimation periods and …

Persistent link: https://www.econbiz.de/10011543960

Asymmetric realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - In: Journal of risk and financial management : JRFM 7 (2014) 2, pp. 80-109

In this paper, we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...

Persistent link: https://www.econbiz.de/10011553303

A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 6-30

This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily return series and a similar...

Persistent link: https://www.econbiz.de/10011555743

The Journal of Risk and Financial Management in open access

McAleer, Michael - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 1-3

Persistent link: https://www.econbiz.de/10011553413

What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the full BEKK dynamic conditional covariance model

McAleer, Michael - In: Journal of risk and financial management : JRFM 12 (2019) 2/66, pp. 1-7

Persistently high negative covariances between risky assets and hedging instruments are intended to mitigate against risk and subsequent financial losses. In the event of having more than one hedging instrument, multivariate covariances need to be calculated. Optimal hedge ratios are unlikely to...

Persistent link: https://www.econbiz.de/10012022157

What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the Dynamic Conditional Correlation (DCC) model

McAleer, Michael - In: Journal of risk and financial management : JRFM 12 (2019) 2/61, pp. 1-9

In order to hedge efficiently, persistently high negative covariances or, equivalently, correlations, between risky assets and the hedging instruments are intended to mitigate against financial risk and subsequent losses. If there is more than one hedging instrument, multivariate covariances and...

Persistent link: https://www.econbiz.de/10012022209