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Managing Value-at-Risk in Daily Tourist Tax Revenue for the Maldives
McAleer, Michael; Shareef, Riaz; Veiga, Bernardo da - School of Business, Edith Cowan University - 2005
of tax revenue receipts. A framework is presented for risk management of daily tourist tax revenues for the Maldives … international tourist arrivals and their growth rate is analogous to the volatility (or dynamic risk) in financial returns. The …
Persistent link: https://www.econbiz.de/10009642900
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Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan
Chang, Chia-Lin; McAleer, Michael; Lim, Christine - Facultad de Ciencias Económicas y Empresariales, … - 2011
This paper estimates the effects of short and long haul volatility (or risk) in monthly Japanese tourist arrivals to … former has an asymmetric effect on risk from positive and negative shocks of equal magnitude, while the latter has no … the issues related to risk and leverage effects, are also applicable to international tourism flows. …
Persistent link: https://www.econbiz.de/10009194559
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Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn
Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016
commodities and biofuel helps commodity suppliers hedge their portfolios, and manage the risk and co-risk of their biofuel and … should be considered as viable futures products in financial portfolios for risk management. …
Persistent link: https://www.econbiz.de/10011451531
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Realized Volatility and Long Memory: An Overview
Maasoumi, Esfandiar; McAleer, Michael - In: Econometric Reviews 27 (2008) 1-3, pp. 1-9
The challenge of modeling, estimating, testing, and forecasting financial volatility is both intellectually worthwhile and also central to the successful analysis of financial returns and optimal investment strategies. In each of the three primary areas of volatility modeling, namely,...
Persistent link: https://www.econbiz.de/10005292316
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Long run returns predictability and volatility with moving averages
Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks 6 (2018) 4, pp. 1-18
strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy … stocks and when to shift to the risk-free rate. The important issue regarding the predictability of returns is assessed. It …
Persistent link: https://www.econbiz.de/10011996648
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Risk Management of Daily Tourist Tax Revenues for the Maldives
McAleer, Michael; Shareef, Riaz; da Veiga, Bernardo - 2005
magnitude of tax revenue receipts. A framework is presented for risk management of daily tourist tax revenues for the Maldives … tourist arrivals and their growth rate is analogous to the volatility (or dynamic risk) in financial returns. In this paper …
Persistent link: https://www.econbiz.de/10010312482
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Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments
Hoti, Suhejla; Maasoumi, Esfandiar; McAleer, Michael; … - In: Econometric Reviews 28 (2009) 6, pp. 522-554
As U.S. Treasury securities carry the full faith and credit of the U.S. government, they are free of default risk. Thus …, their yields are risk-free rates of return, which allows the most recently issued U.S. Treasury securities to be used as a …
Persistent link: https://www.econbiz.de/10004967065
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Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan
Chang, Chia-Lin; McAleer, Michael; Lim, Christine - Department of Economics and Finance, College of … - 2010
This paper estimates the effects of short and long haul volatility (or risk) in monthly Japanese tourist arrivals to … former has an asymmetric effect on risk from positive and negative shocks of equal magnitude, while the latter has no … the issues related to risk and leverage effects, are also applicable to international tourism flows. …
Persistent link: https://www.econbiz.de/10008527482
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Realized Volatility: A Review
McAleer, Michael; Medeiros, Marcelo - In: Econometric Reviews 27 (2008) 1-3, pp. 10-45
This article reviews the exciting and rapidly expanding literature on realized volatility. After presenting a general univariate framework for estimating realized volatilities, a simple discrete time model is presented in order to motivate the main results. A continuous time specification...
Persistent link: https://www.econbiz.de/10005511988
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Risk Management of Daily Tourist Tax Revenues for the Maldives
McAleer, Michael; Shareef, Riaz; Veiga, Bernardo da - Fondazione ENI Enrico Mattei (FEEM) - 2005
magnitude of tax revenue receipts. A framework is presented for risk management of daily tourist tax revenues for the Maldives … tourist arrivals and their growth rate is analogous to the volatility (or dynamic risk) in financial returns. In this paper …
Persistent link: https://www.econbiz.de/10005570340