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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - 2013
single index model with local covariates for detecting and evaluating active management, whether the Basel Accord has … improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and …-market noise, stress testing correlation matrices for risk management, whether bank relationship matters for corporate risk taking …
Persistent link: https://www.econbiz.de/10010326212
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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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Has the Basel Accord Improved Risk Management During the Global Financial Crisis?
McAleer, Michael; Jiménez-Martín, Juan-Ángel; … - 2013
estimated VaR. In this paper we define risk management in terms of choosing from a variety of risk models, and discuss the … how different risk management strategies performed during the 2008-09 global financial crisis. These issues are …
Persistent link: https://www.econbiz.de/10010326358
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Connecting VIX and stock index ETF with VAR and diagonal BEKK
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-25
As stock market indexes are not tradeable, the importance and trading volume of Exchange-Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index...
Persistent link: https://www.econbiz.de/10012611071
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Corporate financial distress of industry level listings in Vietnam
McAleer, Michael - In: Journal of Risk and Financial Management 12 (2019) 4, pp. 1-17
Any critical analysis of the corporate financial distress of listed firms in international exchange would be incomplete without a serious dissection at the industry level, because of the different levels of risks concerned. This paper considers the financial distress of listed firms at the...
Persistent link: https://www.econbiz.de/10012611228
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GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies
Jimenez-Martin, Juan-Angel; McAleer, Michael; Amaral, … - Tinbergen Instituut - 2013
See the publication in <I>Mathematics and Computers in Simulation (MATCOM)</I> (2013). Volume 94(C), pages 223-237.<P> 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...</p></i>
Persistent link: https://www.econbiz.de/10011256711
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013
single index model with local covariates for detecting and evaluating active management, whether the Basel Accord has … improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and …-market noise, stress testing correlation matrices for risk management, whether bank relationship matters for corporate risk taking …
Persistent link: https://www.econbiz.de/10011256871
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Has the Basel Accord improved risk management during the global financial crisis?
McAleer, Michael; Jimenez-Martin, Juan-Angel; … - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 250-265
estimated VaR. In this paper we define risk management in terms of choosing from a variety of risk models, and discuss the … how different risk management strategies performed during the 2008–09 global financial crisis. These issues are …
Persistent link: https://www.econbiz.de/10010730243
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Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009
Both domestic and international tourism are a major source of service export receipts for many countries worldwide, and is also increasingly important in Taiwan. One of the three leading tourism source countries for Taiwan is the Republic of Korea, which is a source of short haul tourism. Daily...
Persistent link: https://www.econbiz.de/10010732596
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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010
Tourism is a major source of service receipts for many countries, including Taiwan. The two leading tourism countries for Taiwan, comprising a high proportion of world tourist arrivals to Taiwan, are Japan and USA, which are sources of short and long haul tourism, respectively. As it is well...
Persistent link: https://www.econbiz.de/10010732607