In this paper we report empirical evidence from a mixed methods approach to investigating the drivers of innovation in New Zealand. The evidence comes from a primary questionnaire survey we conducted across seventy-five local firms plus fifteen face-to-face case study interviews. Our survey...

Extreme value theory is widely used financial applications such as risk analysis, forecasting and pricing models. One of the major difficulties in the applications to finance and economics is that the assumption of independence of time series observations is generally not satisfied, so that the...

Employing the new regression tests for Convergence, Club Convergence and Clustering proposed by Phillips and Sul (2007), this paper models and analyzes the behavior of China‘s energy sectors. Energy market =convergence clusters‘ are identified using new price data and their regional spatial...

A new extreme value mixture modelling approach for estimating Value-at-Risk (VaR) is proposed, overcoming the key issues of determining the threshold which defines the distribution tail and accounts for uncertainty due to threshold choice. A two-stage approach is adopted: volatility estimation...

China has significantly expanded its dairy cow numbers and increased its dairy processing capacity over the last five year in an attempt to meet increased demand for dairy products. China’s net imports of dairy products, however, has expanded at a growth rate in excess of 30% during the same...

This paper explores the characteristics associated with the formation of bubbles that occurred in the Hong Kong stock market in 1997 and 2007, as well as the 2000 dot-com bubble in NASDAQ. It examines the profitability of Technical Analysis (TA) strategies generating buy and sell signals with...

The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...

In this paper, the annual maximum daily rainfall data from 1961 to 2010 are modelled for 18 stations in Taiwan. We fit the rainfall data with stationary and non-stationary generalized extreme value distributions (GEV), and estimate their future behaviour based on the best fitting model. The...

In this paper we document that realized variation measures constructed from highfrequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...

Hausman (1978) developed a widely-used model specification test that has passed the test of time. The test is based on two estimators, one being consistent under the null hypothesis but inconsistent under the alternative, and the other being consistent under both the null and alternative...