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Identifying shocks in regionally integrated East Asian economies with structural VAR and block exogeneity

Sato, Kiyotaka; Zhang, Zhaoyong; McAleer, Michael - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 7, pp. 1353-1364

the impacts are still small and not comparable with those of US shocks. The world oil price shock has become increasingly …

Persistent link: https://www.econbiz.de/10010870613

Identifying Shocks in Regionally Integrated East Asian Economies with Structural VAR and Block Exogeneity

McAleer, Michael; Sato, Sato, K.; Zhang, Zhang, Z. - Faculteit der Economische Wetenschappen, Erasmus … - 2010

the impacts are still small and not comparable with those of US shocks. The world oil price shock has become increasingly …

Persistent link: https://www.econbiz.de/10010837727

Towards an East Asian Monetary Union: An Econometrics Analysis of Shocks

Sato, Kiyotaka; Zhang, Zhaoyong; McAleer, Michael - School of Business, Edith Cowan University - 2005

-specific shocks in estimation. We also obtain similar estimates for European countries to check for robustness. Impulse response …

Persistent link: https://www.econbiz.de/10009642861

Identifying Shocks in Regionally Integrated East Asian Economies with Structural VAR and Block Exogeneity

Sato, Kiyotaka; Zhang, Zhaoyong; McAleer, Michael - Department of Economics and Finance, College of … - 2010

the impacts are still small and not comparable with those of US shocks. The world oil price shock has become increasingly …

Persistent link: https://www.econbiz.de/10008552169

Asymmetric realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - In: Journal of risk and financial management : JRFM 7 (2014) 2, pp. 80-109

In this paper, we document that realized variation measures constructed from high-frequency 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/10011553303