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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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Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
Chang, Chia-Lin - 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/10013154681
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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin - 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/10013147805
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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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Testing for volatility co-movement in bivariate stochastic volatility models
Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2017 - Revised: February 2017
The paper considers the problem of volatility co-movement, namely as to whether two financial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which checks the volatility co-movement. The proposed test...
Persistent link: https://www.econbiz.de/10011602570
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Preferences of risk-averse and risk-seeking investors for oil spot and futures before, during and after the Global Financial Crisis
Hooi Hooi Lean; McAleer, Michael; Wong, Wing Keung - In: International review of economics & finance : IREF 40 (2015), pp. 204-216
Persistent link: https://www.econbiz.de/10011573581
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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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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
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - 2013
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 … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using …
Persistent link: https://www.econbiz.de/10010326212
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Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models
Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2017
The paper considers the problem of volatility co-movement, namely as to whether two nancial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which checks the volatility co-movement. The proposed test is...
Persistent link: https://www.econbiz.de/10011662520