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Forecasting realized volatility with linear and nonlinear univariate models
McAleer, Michael; Medeiros, Marcelo C. - 2010
Persistent link: https://www.econbiz.de/10008689073
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Forecasting realized volatility with linear and nonlinear models
McAleer, Michael; Medeiros, Marcelo C. - 2010
of the integrated volatility that is computed from high frequency intra-day returns. We also consider a simple algorithm …
Persistent link: https://www.econbiz.de/10003962167
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Forecasting realized volatility with linear and nonlinear univariate models
McAleer, Michael; Medeiros, Marcelo C. - In: Journal of economic surveys 25 (2011) 1, pp. 6-18
Persistent link: https://www.econbiz.de/10009127819
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It pays to violate : how effective are the Basel accord penalties in encouraging risk management?
Da Veiga, Bernardo; Chan, Felix; McAleer, Michael - In: Accounting and finance : journal of the Accounting … 52 (2012) 1, pp. 95-116
Persistent link: https://www.econbiz.de/10009512724
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Modelling and simulation : an overview
McAleer, Michael; Chan, Felix; Oxley, Les - 2013
Persistent link: https://www.econbiz.de/10009747199
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Modelling and simulation : an overview
McAleer, Michael; Chan, Felix; Oxley, Les - 2013
Persistent link: https://www.econbiz.de/10009755013
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Modelling and simulation : an overview
McAleer, Michael; Chan, Felix; Oxley, Les - 2013
Persistent link: https://www.econbiz.de/10009765832
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It pays to violate : how effective are the Basel accord penalties?
Da Veiga, Bernardo; Chan, Felix; McAleer, Michael - 2009
Persistent link: https://www.econbiz.de/10003910300
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It Pays to Violate : How Effective are the Basel Accord Penalties in Encouraging Risk Management?
da Veiga, Bernardo - 2010
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/10013149149
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Modelling and Simulation: An Overview
McAleer, Michael; Chan, Felix; Oxley, Les - 2013
The papers in this special issue of Mathematics and Computers in Simulation cover the following topics: improving …, globalization, and innovation: a general equilibrium simulation, whether exchange rates affect consumer prices: a comparative …
Persistent link: https://www.econbiz.de/10010326266