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A Bayesian Approach to Excess Volatility, Short-term Underreaction and Long-term Overreaction During Financial Crises
Guo, Xu; McAleer, Michael; Wong, Wing-Keung; Zhu, Lixing - 2016
In this paper, we introduce a new Bayesian approach to explain some market anomalies during financial crises and subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to incorporate the impact of financial crises. We further assume...
Persistent link: https://www.econbiz.de/10011451517
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A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises
Guo, Xu; McAleer, Michael; Wong, Wing Keung; Zhu, Lixing - 2016
In this paper, we introduce a new Bayesian approach to explain some market anomalies during financial crises and subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to incorporate the impact of financial crises. We further assume...
Persistent link: https://www.econbiz.de/10011441491
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A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises
Guo, Xu; McAleer, Michael; Wong, Wing Keung; Zhu, Lixing - In: The North American journal of economics and finance : a … 42 (2017), pp. 346-358
Persistent link: https://www.econbiz.de/10011938136
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Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments
Hoiti, Suhejla; Maasoumi, Esfandiar; McAleer, Michael; … - Departament d'Economia Aplicada, Facultat de Ciències … - 2005
assessment of the implications of modelling conditional volatility on forecasting performance. The estimated conditional …
Persistent link: https://www.econbiz.de/10005827745
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Realized Volatility Risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - Tinbergen Instituut - 2013
forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …
Persistent link: https://www.econbiz.de/10011256164
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Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - Tinbergen Instituut - 2013
under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes … dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value …
Persistent link: https://www.econbiz.de/10011256696
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Modelling and Simulation: An Overview
McAleer, Michael; Chan, Felix; Oxley, Les - Tinbergen Instituut - 2013
underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan …
Persistent link: https://www.econbiz.de/10011256964
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The Impact of Jumps and Leverage in Forecasting Co-Volatility
Asai, Manabu; McAleer, Michael - Tinbergen Instituut - 2015
The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … forecasting weekly and monthly horizons. …
Persistent link: https://www.econbiz.de/10011257254
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Modelling and Forecasting Noisy Realized Volatility
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - Facultad de Ciencias Económicas y Empresariales, … - 2011
account of them in estimating and forecasting IV. This paper investigates through Monte Carlo simulations the effects of RV … errors on estimating and forecasting IV with RV data. It is found that: (i) neglecting RV errors can lead to serious bias in …
Persistent link: https://www.econbiz.de/10008915753
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It Pays to Violate: How Effective are the Basel Accord Penalties?
McAleer, Michael; da Veiga, da Veiga, B.; Chan, Chan, F. - Faculteit der Economische Wetenschappen, Erasmus … - 2009
The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...
Persistent link: https://www.econbiz.de/10010731585