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A Statistical Analysis of Industrial Penetration and Internet Intensity in Taiwan
Chang, Chia-Lin - 2018
This paper investigates the effect of industrial penetration (geographic concentration of industries) and internet … intensity (the proportion of enterprises that use the internet) for Taiwan manufacturing firms, and analyses whether the … selectivity for unobservable data for firms that use the internet. The empirical results from two-stage estimation show that: (1 …
Persistent link: https://www.econbiz.de/10012930557
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A statistical analysis of industrial penetration and internet intensity in Taiwan
Chang, Chia-Lin; McAleer, Michael; Wu, Yu-Chieh - 2018 - Revised: January 2018
Persistent link: https://www.econbiz.de/10011785182
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International Technology Diffusion of Joint and Cross-border Patents
Chang, Chia-Lin; McAleer, Michael; Tang, Ju-Ting - 2013
With the advent of globalization, economic and financial interactions among countries have become widespread. Given technological advancements, the factors of production can no longer be considered to be just labor and capital. In the pursuit of economic growth, every country has sensibly...
Persistent link: https://www.econbiz.de/10010326134
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Herding, Information Cascades and Volatility Spillovers in Futures Markets
McAleer, Michael; Radalj, Kim - 2013
Economists and financial analysts have begun to recognise the importance of the actions of other agents in the decision-making process. Herding is the deliberate mimicking of the decisions of other agents. Examples of mimicry range from the choice of restaurant, fashion and financial market...
Persistent link: https://www.econbiz.de/10010326188
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Journal Impact Factor, Eigenfactor, Journal Influence and Article Influence
Chang, Chia-Lin; McAleer, Michael; Oxley, Les - 2013
This paper examines the practical usefulness of two new journal performance metrics, namely the Eigenfactor score, which may be interpreted as measuring “Journal Influence”, and the Article Influence score, using the Thomson Reuters ISI Web of Science (hereafter ISI) data for 2009 for the...
Persistent link: https://www.econbiz.de/10010326225
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Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression
Allen, David E.; Singh, Abhay K.; Powell, Robert J.; … - 2013
The purpose of this paper is to examine the asymmetric relationship betweenprice and implied volatility and the associated extreme quantile dependence usinglinear and non linear quantile regression approach. Our goal in this paper is todemonstrate that the relationship between the volatility and...
Persistent link: https://www.econbiz.de/10010326227
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Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence
Chang, Chia-Lin; McAleer, Michael; Oxley, Les - 2013
This paper examines the issue of coercive journal self citations and the practical usefulness of two recent journal performance metrics, namely the Eigenfactor score, which may be interpreted as measuring “Journal Influence”, and the Article Influence score, using the Thomson Reuters ISI Web...
Persistent link: https://www.econbiz.de/10010326262
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GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies
Jimenez-Martin, Juan-Angel; McAleer, Michael; Amaral, … - 2013
In this paper we provide further evidence on the suitability of the median of the point VaR forecasts of a set of models as a GFC-robust strategy by using an additional set of new extreme value forecasting models and by extending the sample period for comparison. These extreme value models...
Persistent link: https://www.econbiz.de/10010326321
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Realized Volatility Risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - 2013
In this paper we document that realized variation measures constructed from highfrequency 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/10010326350
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Has the Basel Accord Improved Risk Management During the Global Financial Crisis?
McAleer, Michael; Jiménez-Martín, Juan-Ángel; … - 2013
The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...
Persistent link: https://www.econbiz.de/10010326358