Narrow search
Showing 1 - 10 of 252
Cover Image
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
Allen, David E.; McAleer, Michael; Powell, Robert; … - Tinbergen Instituut - 2013
This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacic). We explore the relationship between the S&P 500 daily continuously compounded...
Persistent link: https://www.econbiz.de/10011256625
Cover Image
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily continuously compounded...
Persistent link: https://www.econbiz.de/10010326508
Cover Image
A Tourism Financial Conditions Index
Chang, Chia-Lin; McAleer, Michael; Hsu, Hsu, H-K. - Faculteit der Economische Wetenschappen, Erasmus … - 2014
__Abstract__ The paper uses monthly data on financial stock index returns, tourism stock sub-index returns, effective exchange rate returns and interest rate differences from April 2005 – August 2013 for Taiwan that applies Chang’s (2014) novel approach for constructing a tourism financial...
Persistent link: https://www.econbiz.de/10011149265
Cover Image
A One Line Derivation of EGARCH
McAleer, Michael; Hafner, Christian Matthias - Faculteit der Economische Wetenschappen, Erasmus … - 2014
__Abstract__ One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can...
Persistent link: https://www.econbiz.de/10011149277
Cover Image
On the Invertibility of EGARCH
McAleer, Michael; Martinet, Martinet, G.G. - Faculteit der Economische Wetenschappen, Erasmus … - 2014
__Abstract__ Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and...
Persistent link: https://www.econbiz.de/10011149280
Cover Image
A Tourism Conditions Index
Chang, Chia-Lin; McAleer, Michael; Hsu, Hsu, H-K. - Faculteit der Economische Wetenschappen, Erasmus … - 2014
__Abstract__ This paper uses monthly data from April 2005 to August 2013 for Taiwan to propose a novel tourism indicator, namely the Tourism Conditions Index (TCI). TCI accounts for the spillover weights based on the Granger causality test and estimates of the multivariate BEKK model for four...
Persistent link: https://www.econbiz.de/10011149283
Cover Image
The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - Tinbergen Instituut - 2013
This discussion paper resulted in a publication in <I>The North American Journal of Economics and Finance</I> (2014 …
Persistent link: https://www.econbiz.de/10011255765
Cover Image
Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview
Hammoudeh, Shawkat; McAleer, Michael - Tinbergen Instituut - 2014
Uncertainty” is to highlight some areas of research in which novel econometric, financial econometric and empirical finance …
Persistent link: https://www.econbiz.de/10011255921
Cover Image
Econometric Analysis of Financial Derivatives: An Overview
Chang, Chia-Lin; McAleer, Michael - Tinbergen Instituut - 2014
One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a … highlight several areas of research by leading academics in which novel econometric, financial econometric, mathematical finance … and empirical finance methods have contributed significantly to the econometric analysis of financial derivatives …
Persistent link: https://www.econbiz.de/10011256249
Cover Image
Has the Basel Accord Improved Risk Management During the Global Financial Crisis?
McAleer, Michael; Jiménez-Martín, Juan-Ángel; … - Tinbergen Instituut - 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/10011256460