This paper employs three Value-at-Risk (VaR) models (GARJI, ARJI and asymmetric GARCH) to compare the performance of 1-day-ahead VaR estimates. The influences of price jumps and asymmetric information on the performance of VaR are investigated. Two stock indices (Dow Jones and S&P 500) and one...

This paper investigates the impact of CSRC allowing domestic residents to invest in the B-share stock market. An ARJI model is used to analyse the jump dynamics process during the pre- and post-event periods and impulse response functions are employed to demonstrate the volatility transmissions...

In this paper we derive a new mean-risk hedge ratio based on the concept of Value at Risk (VaR). The proposed zero-VaR hedge ratio has an analytical solution and it converges to the MV hedge ratio under a pure martingale process or normality. A bivariate constant correlation GARCH(1,1) model...

In spite of increasing numbers of countries having established renewable energy development mechanisms for carbon dioxide (CO2) emissions reduction, the CO2 emissions problem continues to worsen along with the growth of the world economy. This leads us to examine the threshold effect of the...

This investigation provides evidence and identifies two important structural changes in the risk characteristics of real estate investment trusts (REITs), namely, the 1993 tax reform and the inclusion of REITs in the mainstream S&P indices in 2001. Using daily data from 1989 to 2008, this study...

In the past, petroleum companies only paid attention to hedging the variation in the crude oil price and volatility. However, they have now expanded their analysis to encompass renewable sources, such as corn and soybeans, under the current low-carbon biofuel obligations. This paper employs...

This article employs jump-diffusion models, including the ARJI model and the GARCH-jump model, to examine jump intensity and volatility of Taiwan stock and foreign exchange markets during a Presidential election period. The empirical results indicate that, firstly, the ARJI model fits data...

This article investigates the relationship between foreign investors' trading behaviour and political election events in South Korea and the effect of the relationship on the financial markets via a bivariate GARCH (1,1) model analysis. The empirical results show that the KOSPI 200 index return...

This article investigates normal and abnormal information transmissions by examining diffusion volatility and jump intensity spillovers in China's stock markets. We analyse the impact of releasing investing restriction to information transmission mechanism, and also the interactions between 'A'...

A tradeoff between forecast accuracy and the length of an estimation period always exists in forecasting. Longer estimation periods are argued to be less efficient, however, using the forecast encompassing and accuracy test, this study discusses the importance of considering the overall...