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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

Big data, computational science, economics, finance, marketing, management, and psychology : connections

Chang, Chia-Lin; McAleer, Michael; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 11 (2018) 1, pp. 1-29

associated models, as well as conduct simulation to examine whether the estimators in their theories on estimation and hypothesis … testing have good size and high power. Thereafter, academics and practitioners could apply theory to analyse some interesting …

Persistent link: https://www.econbiz.de/10011855163