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Risk modelling and management : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013
Persistent link: https://www.econbiz.de/10009767001
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Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013
The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging...
Persistent link: https://www.econbiz.de/10010326135
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Multivariate volatility impulse response analysis of GFC news events
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
independent shocks on volatility through time, while avoiding typical orthogonalization and ordering problems. Volatility impulse …
Persistent link: https://www.econbiz.de/10011301206
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Volatility spillover and multivariate volatility impulse response analysis of GFC news events
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2016
volatility estimated at a particular point in time. The VIRF provide information about the impact of independent shocks on …
Persistent link: https://www.econbiz.de/10011556166
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Long-term and short-term causal relationships between dividends and stock prices in Malaysia : a time-series analysis in the spirit of Lintner's model
Allen, David E.; McDonald, Garry A.; Setiawan, H. - In: Advances in Pacific Basin financial markets 6 (2000), pp. 83-99
Persistent link: https://www.econbiz.de/10001487710
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Risk Modeling and Management: An Overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - Department of Economics and Finance, College of … - 2013
The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modeling and Management” (RMM2011). The papers cover the following topics: currency hedging...
Persistent link: https://www.econbiz.de/10010907434
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Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - Institute of Economic Research, Kyoto University - 2013
The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging...
Persistent link: https://www.econbiz.de/10010674394
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Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - Tinbergen Instituut - 2013
The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging...
Persistent link: https://www.econbiz.de/10011256696
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What Moves Stock Prices? Evidence that UK Stock Prices Deviate from Fundamentals
Allen, David E. - 2000
find that time varying discounted rates play an active role in explaining price deviations …
Persistent link: https://www.econbiz.de/10012743083
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A Comment on 'the Information Content of Earnings and Prices : A Simultaneous Equations Approach' by W.H. Beaver, M.L. Mcanally, and C.H. Stinson (1997)
Allen, David E. - 1999
ignores some recent developments in time-series econometrics. We apply a bi-variate vector autoregression framework to price …
Persistent link: https://www.econbiz.de/10012743842