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Recent developments in financial economics and econometrics : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009724823
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Value-at-Risk for Country Risk Ratings
McAleer, Michael; da Veiga, Bernardo; Hoti, Suhejla - 2010
The country risk literature argues that country risk ratings have a direct impact on the cost of borrowings as they reflect the probability of debt default by a country. An improvement in country risk ratings, or country creditworthiness, will lower a country’s cost of borrowing and debt...
Persistent link: https://www.econbiz.de/10014204307
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - 2013
liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single … regime-switching approaches, quantitative evaluation of contingent capital and its applications, high quantiles estimation …
Persistent link: https://www.econbiz.de/10010326212
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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
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Are the S&P 500 index and crude oil, natural gas and Ethanol futures related for intra-day data?
Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - 2016 - Revised: February 2016
The energy sector is one of the most important in the world, so that time series fluctuations in leading energy sources …
Persistent link: https://www.econbiz.de/10011441584
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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
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Latent volatility granger causality and spillovers in renewable energy and crude oil ETFs
Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2018
The purpose of the paper is to examine latent volatility Granger causality for four renewable energy Exchange Traded Funds (ETFs) and crude oil ETF (USO), namely solar (TAN), wind (FAN), water (PIO), and nuclear (NLR). Data on the renewable energy and crude oil ETFs are from 18 June 2008 to 20...
Persistent link: https://www.econbiz.de/10011869279
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Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs
Chang, Chia-Lin - 2018
The purpose of the paper is to examine latent volatility Granger causality for four renewable energy Exchange Traded Funds (ETFs) and crude oil ETF (USO), namely solar (TAN), wind (FAN), water (PIO), and nuclear (NLR). Data on the renewable energy and crude oil ETFs are from 18 June 2008 to 20...
Persistent link: https://www.econbiz.de/10012918304
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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
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Asymmetric realized volatility risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - 2014
Persistent link: https://www.econbiz.de/10010410196