This paper introduces a new specification for the heterogeneous autoregressive (HAR) model for the realized volatility of S&P500 index returns. In this new model, the coeffcients of the HAR are allowed to be time-varying with unknown functional forms. We propose a local linear method for...

This paper proposes improvements to advanced measurement approach (AMA) to estimating operational risks, and applies the improved methods to US business losses categorised into five business lines and three event types operational losses. The AMA involves, among others, modelling a loss severity...

This paper investigates the effect of the open policy introduced in 2002 to allow foreigners to invest in the Chinese 'A' share market on the Chinese domestic capital market, especially on the dependence between the financial index returns of the 'A' shares and those of some emerging markets,...