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Modelling Long Memory Volatility in Agricultural Commodity Futures Return
McAleer, Michael; Chang, Chia-Lin; Tansuchat, Roengchai - Institute of Economic Research, Kyoto University - 2012
, coffee, cotton, orange juice, Kansas City wheat, rubber, and palm oil. The class of fractional GARCH models, namely the …), are modelled and compared with the GARCH model of Bollerslev (1986), EGARCH model of Nelson (1991), and APARCH model of … are found to outperform their GARCH(1,1) and EGARCH(1,1) counterparts. …
Persistent link: https://www.econbiz.de/10010545927
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Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - Department of Economics and Finance, College of … - 2012
, coffee, cotton, orange juice, Kansas City wheat, rubber, and palm oil. The class of fractional GARCH models, namely the …), are modelled and compared with the GARCH model of Bollerslev (1986), EGARCH model of Nelson (1991), and APARCH model of … are found to outperform their GARCH(1,1) and EGARCH(1,1) counterparts. …
Persistent link: https://www.econbiz.de/10010548109
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Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
Tansuchat, Roengchai; Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009
, coffee, cotton, orange juice, Kansas City wheat, rubber, and palm oil. The class of fractional GARCH models, namely the …), are modelled and compared with the GARCH model of Bollerslev (1986), EGARCH model of Nelson (1991), and APARCH model of … are found to outperform their GARCH(1,1) and EGARCH(1,1) counterparts. …
Persistent link: https://www.econbiz.de/10010732611
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Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
Tansuchat, Roengchai; Chang, Chia-Lin; McAleer, Michael - 2009
, coffee, cotton, orange juice, Kansas City wheat, rubber, and palm oil. The class of fractional GARCH models, namely the …), are modelled and compared with the GARCH model of Bollerslev (1986), EGARCH model of Nelson (1991), and APARCH model of … are found to outperform their GARCH(1,1) and EGARCH(1,1) counterparts …
Persistent link: https://www.econbiz.de/10014202478
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Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - Facultad de Ciencias Económicas y Empresariales, … - 2012
, coffee, cotton, orange juice, Kansas City wheat, rubber, and palm oil. The class of fractional GARCH models, namely the …), are modelled and compared with the GARCH model of Bollerslev (1986), EGARCH model of Nelson (1991), and APARCH model of … are found to outperform their GARCH(1,1) and EGARCH(1,1) counterparts. …
Persistent link: https://www.econbiz.de/10010778713
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A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015
The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that "a number of weaknesses have been identified with using VaR for determining regulatory capital...
Persistent link: https://www.econbiz.de/10011288403
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Are Forecast Updates Progressive?
Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - 2013
Many macroeconomic forecasts and forecast updates like those from IMF and OECD typically involve both a model component, which is replicable, as well as intuition, which is non-replicable. Intuition is expert knowledge possessed by a forecaster. If forecast updates are progressive, forecast...
Persistent link: https://www.econbiz.de/10010326444
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Analyzing Fixed-Event Forecast Revisions
Chang, Chia-Lin; de Bruijn, Bert; Franses, Philip Hans; … - 2013
It is common practice to evaluate fixed-event forecast revisions in macroeconomics by regressing current forecast revisions on one-period lagged forecast revisions. Under weak-form (forecast) efficiency, the correlation between the current and one-period lagged revisions should be zero. The...
Persistent link: https://www.econbiz.de/10010326506
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Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015
Bank risk managers follow the Basel Committee on Banking Supervision (BCBS) recommendations that recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The Basel Committee on Banking Supervision (2013, p. 3) noted that: “a number of...
Persistent link: https://www.econbiz.de/10011451509
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Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015
Bank risk managers follow the Basel Committee on Banking Supervision (BCBS) recommendations that recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The Basel Committee on Banking Supervision (2013, p. 3) noted that: "a number of...
Persistent link: https://www.econbiz.de/10011431395