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Central bank intervention, bubbles and risk in Walrasian financial markets

Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - 2019

Persistent link: https://www.econbiz.de/10011986943

Direct tests of the permanent income hypothesis under uncertainty, inflationary expectations and liquidity constraints

Madsen, Jakob Brøchner; McAleer, Michael - In: Journal of macroeconomics 22 (2000) 2, pp. 229-252

Persistent link: https://www.econbiz.de/10001469483

Modelling and Forecasting Noisy Realized Volatility

Asai, Manabu - 2009

Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility. Even bias-corrected and consistent (modified)...

Persistent link: https://www.econbiz.de/10013156240

Are Forecast Updates Progressive?

Chang, Chia-Lin - 2010

Macro-economic forecasts 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 updates should become more accurate, on average, as the...

Persistent link: https://www.econbiz.de/10013144919

Modelling volatility spillovers for bio-ethanol, sugarcane and corn

Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016

The recent and rapidly growing interest in biofuel as a green energy source has raised concerns about its impact on the prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural commodities and biofuel helps commodity suppliers hedge...

Persistent link: https://www.econbiz.de/10011441704

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 …

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

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 correlations have to be calculated. As optimal hedge ratios are …

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

Herding, Information Cascades and Volatility Spillovers in Futures Markets

McAleer, Michael; Radalj, Kim - Tinbergen Instituut - 2013

Published in the Journal of Reviews on Global Economics (2013). Volume 2, pages 307-329. 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....

Persistent link: https://www.econbiz.de/10011256404

Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies

Hammoudeh, Shawkat M.; Yuan, Yuan; McAleer, Michael - Institute of Economic Research, Kyoto University - 2010

This paper examines volatility, volatility spillovers, optimal portfolio weights and hedging for systems that include … aluminum, copper and gold and less of oil in those portfolios. Hedging ratios indicate that the most effective way of hedging …

Persistent link: https://www.econbiz.de/10008763555

Asymmetric Adjustments in the Ethanol and Grains Markets

Chang, Chia-Lin; Chen, Li-Hsueh; Hammoudeh, Shawkat; … - Department of Economics and Finance, College of … - 2010

) spot show different long-run adjustments, arbitrage profitable opportunities and price risk hedging capabilities. The … potentially hedging the spot prices of agricultural commodities with ethanol futures contracts, which sends an important message … that the ethanol futures market is capable of hedging price risk in agricultural commodity markets. The short …

Persistent link: https://www.econbiz.de/10008765701