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  1. A one line derivation of DCC
    application of a vector random coefficient moving average process
    Autor*in: Hafner, Christian M.; McAleer, Michael
    Erschienen: 2014
    Verlag:  Tinbergen Inst., Rotterdam [u.a.]

    One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC) specification. However, the underlying stochastic process to derive DCC has not yet been established, which has made problematic... mehr

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    One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC) specification. However, the underlying stochastic process to derive DCC has not yet been established, which has made problematic the derivation of asymptotic properties of the Quasi-Maximum Likelihood Estimators (QMLE). To date, the statistical properties of the QMLE of the DCC parameters have been derived under highly restrictive and unverifiable regularity conditions. The paper shows that the DCC model can be obtained from a vector random coefficient moving average process, and derives the stationarity and invertibility conditions. The derivation of DCC from a vector random coefficient moving average process raises three important issues: (i) demonstrates that DCC is, in fact, a dynamic conditional covariance model of the returns shocks rather than a dynamic conditional correlation model; (ii) provides the motivation, which is presently missing, for standardization of the conditional covariance model to obtain the conditional correlation model; and (iii) shows that the appropriate ARCH or GARCH model for DCC is based on the standardized shocks rather than the returns shocks. The derivation of the regularity conditions should subsequently lead to a solid statistical foundation for the estimates of the DCC parameters.

     
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/107800
    Auflage/Ausgabe: Revised: July 2014
    Schriftenreihe: Array ; 2014-087
    Schlagworte: Korrelation; Varianzanalyse; Stochastischer Prozess; Zeitreihenanalyse
    Umfang: Online-Ressource (15 S.)
  2. A one line derivation of EGARCH
    Autor*in: McAleer, Michael; Hafner, Christian M.
    Erschienen: 2014
    Verlag:  Tinbergen Inst., Rotterdam [u.a.]

    One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects... mehr

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    One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also accommodate leverage, which is the negative correlation between returns shocks and subsequent shocks to volatility. However, there are as yet no statistical properties available for the (quasi-) maximum likelihood estimator of the EGARCH parameters. It is often argued heuristically that the reason for the lack of statistical properties arises from the presence in the model of an absolute value of a function of the parameters, which does not permit analytical derivatives or the derivation of statistical properties. It is shown in this paper that: (i) the EGARCH model can be derived from a random coefficient complex nonlinear moving average (RCCNMA) process; and (ii) the reason for the lack of statistical properties of the estimators of EGARCH is that the stationarity and invertibility conditions for the RCCNMA process are not known.

     
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    Weitere Identifier:
    hdl: 10419/98887
    Schriftenreihe: Array ; 2014-069
    Schlagworte: ARCH-Modell; Schätzung; Kapitalmarktrendite; Börsenkurs; Volatilität; Stochastischer Prozess
    Umfang: Online-Ressource (8 S.)
  3. Asymmetric realized volatility risk
    Autor*in: Allen, David E.; McAleer, Michael; Scharth, Marcel
    Erschienen: 2014
    Verlag:  Tinbergen Inst., Rotterdam [u.a.]

    In this paper we document that realized variation measures constructed from high-frequency 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... mehr

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    In this paper we document that realized variation measures constructed from high-frequency 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 though returns standardized by ex post quadratic variation measures are nearly gaussian, this unpredictability brings considerably more uncertainty to the empirically relevant ex ante distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized volatility model, which incorporates the fact that realized volatility series are systematically more volatile in high volatility periods. Returns in this framework display time varying volatility, skewness and kurtosis. We provide a detailed account of the empirical advantages of the model using data on the S&P 500 index and eight other indexes and stocks.

     
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    Weitere Identifier:
    hdl: 10419/107789
    Auflage/Ausgabe: This version: June 2014
    Schriftenreihe: Array ; 2014-075
    Schlagworte: Kapitalmarktrendite; Volatilität; Prognoseverfahren; Risikoprämie; Heteroskedastizität; Schätzung; Welt
    Umfang: Online-Ressource (32 S.), graph. Darst.
  4. Advances in financial risk management and economic policy uncertainty
    an overview
    Autor*in: Hammoudeh, Shawkat; McAleer, Michael
    Erschienen: 2014
    Verlag:  Tinbergen Inst., Rotterdam [u.a.]

    Financial risk management is difficult at the best of times, but especially so in the presence of economic uncertainty and financial crises. The purpose of this special issue on "Advances in Financial Risk Management and Economic Policy Uncertainty"... mehr

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    Financial risk management is difficult at the best of times, but especially so in the presence of economic uncertainty and financial crises. The purpose of this special issue on "Advances in Financial Risk Management and Economic Policy Uncertainty" is to highlight some areas of research in which novel econometric, financial econometric and empirical finance methods have contributed significantly to the analysis of financial risk management when there is economic uncertainty, especiallythe power of print: uncertainty shocks, markets, and the economy, determinants of the banking spread in the Brazilian economy: the role of micro and macroeconomic factors, forecasting value-at-risk using block structure multivariate stochastic volatility models, the time-varying causality between spot and futures crude oil prices: a regime switching approach, a regime-dependent assessment of the information transmission dynamics between oil prices, precious metal prices and exchange rates, a practical approach to constructing price-based funding liquidity factors, realized range volatility forecasting: dynamic features and predictive variables, modelling a latent daily tourism financial conditions index, bank ownership, financial segments and the measurement of systemic risk: an application of CoVaR, model-free volatility indexes in the financial literature: a review, robust hedging performance and volatility risk in option markets: application to Standard and Poorś 500 and Taiwan index options, price cointegration between sovereign CDS and currency option markets in the global financial crisis, whether zombie lending should always be prevented, preferences of risk-averse and risk-seeking investors for oil spot and futures before, during and after the global financial crisis, managing financial risk in Chinese stock markets: option pricing and modeling under a multivariate threshold autoregression, managing systemic risk in The Netherlands, mean-variance portfolio methods for energy policy risk management, on robust properties of the SIML estimation of volatility under micro-market noise and random sampling, asymmetric large-scale (I)GARCH with hetero-tails, the economic fundamentals and economic policy uncertainty of Mainland China and their impacts on Taiwan and Hong Kong, prediction and simulation using simple models characterized by nonstationarity and seasonality, and volatility forecast of stock indexes by model averaging using high frequency data.

     
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    Weitere Identifier:
    hdl: 10419/107788
    Schriftenreihe: Array ; 2014-076
    Umfang: Online-Ressource (26 S.), graph. Darst.
  5. Econometric analysis of financial derivatives
    an overview
    Autor*in: Chang, Chia-Lin; McAleer, Michael
    Erschienen: 2014
    Verlag:  Dept. of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, N.Z

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    Sprache: Englisch
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    Format: Online
    Schriftenreihe: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; 2014,29
    Schlagworte: Derivat; Kapitalmarktrendite; Börsenkurs; Volatilität; Stochastischer Prozess; Risikoprämie; Statistische Verteilung; Terminbörse; Optionsgeschäft
    Umfang: Online-Ressource (20 S.)
  6. Quality weighted citations versus total citations in the sciences and social sciences
    Autor*in: Chang, Chia-Lin; McAleer, Michael
    Erschienen: 2014
    Verlag:  Tinbergen Inst., Rotterdam [u.a.]

    The paper analyses academic journal quality and research impact using quality weighted citations versus total citations, based on the widely-used Thomson Reuters ISI Web of Science citations database (ISI). A new Index of Citations Quality (ICQ) is... mehr

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    The paper analyses academic journal quality and research impact using quality weighted citations versus total citations, based on the widely-used Thomson Reuters ISI Web of Science citations database (ISI). A new Index of Citations Quality (ICQ) is presented, based on quality weighted citations. The new index is used to analyse the leading 500 journals in both the Sciences and Social Sciences using quantifiable Research Assessment Measures (RAMs) that are based on alternative transformations of citations. It is shown that ICQ is a useful additional measure to 2YIF and other well known RAMs for the purpose of evaluating the impact and quality, as well as ranking, of journals as it contains information that has very low correlations with the information contained in the well known RAMs for both the Sciences and Social Sciences.

     
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    Weitere Identifier:
    hdl: 10419/98899
    Schriftenreihe: Array ; 2014,023
    Schlagworte: Zitationsanalyse; Zeitschriftenranking; Methodologie; Naturwissenschaft; Sozialwissenschaft
    Umfang: Online-Ressource (54 S.)
  7. Ranking leading econometrics journals using citations data from ISI and RePEc
    Autor*in: Chang, Chia-Lin; McAleer, Michael
    Erschienen: 2014
    Verlag:  Dept. of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, N.Z

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    Format: Online
    Schriftenreihe: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; 2014,01
    Umfang: Online-Ressource (24 S.)
  8. The maximum number of parameters for the Hausman test when the estimators are from different sets of equations
    Autor*in: Nawata, Kazumitsu; McAleer, Michael
    Erschienen: 2014
    Verlag:  Dept. of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, N.Z

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    Format: Online
    Schriftenreihe: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; 2014,02
    Umfang: Online-Ressourc (14 S.)
  9. A tourism conditions index
    Autor*in: Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael
    Erschienen: 2014
    Verlag:  Dept. of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, N.Z

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    Format: Online
    Schriftenreihe: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; 2014,03
    Umfang: Online-Ressource (30 S.)
  10. Machine news and volatility
    the Dow Jones industrial average and the TRNA sentiment series
    Autor*in: Allen, David E.; McAleer, Michael; Singh, Abhay Kumar
    Erschienen: 2014
    Verlag:  Dept. of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, N.Z

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    Format: Online
    Schriftenreihe: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; 2014,04
    Umfang: Online-Ressource (20 S.)
  11. A Tourism Conditions Index
    Autor*in: Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael
    Erschienen: 2014
    Verlag:  Tinbergen Inst., Rotterdam [u.a.]

    This paper uses monthly data from April 2005 to August 2013 for Taiwan to propose a novel tourism indicator, namely the Tourism Conditions Index (TCI). TCI accounts for the spillover weights based on the Granger causality test and estimates of the... mehr

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    This paper uses monthly data from April 2005 to August 2013 for Taiwan to propose a novel tourism indicator, namely the Tourism Conditions Index (TCI). TCI accounts for the spillover weights based on the Granger causality test and estimates of the multivariate BEKK model for four TCI indicators to predict specific tourism and economic environmental indicators for Taiwan. The foundation of the TCI is the Financial Conditions Index (FCI), which is derived from the Monetary Conditions Index (MCI). The empirical findings show that TCI weighted by spillovers reveal greater significance in forecasting the Composite Index (CI), an economic environmental indicator, than the Tourism Industry Index (TII), which is an existing indicator for the tourism industry that is listed on the Taiwan Stock Exchange (TWSE). Moreover, previous values of the alternative TCI and TII are shown to contain useful information in predicting both tourism and economic environmental factors. Overall, the new Tourism Conditions Index is straightforward to use and also provides useful insights in predicting tourism arrivals and the current economic environment.

     
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    Weitere Identifier:
    hdl: 10419/89249
    Schriftenreihe: Array ; 2014,007
    Umfang: Online-Ressource (30 S.), graph. Darst.
  12. Machine news and volatility
    the Dow Jones Industrial Average and the TRNA sentiment series
    Autor*in: Allen, David E.; McAleer, Michael; Singh, Abhay Kumar
    Erschienen: 2014
    Verlag:  Tinbergen Inst., Rotterdam [u.a.]

    This paper features an analysis of the relationship between the volatility of the Dow Jones Industrial Average (DJIA) Index and a sentiment news series using daily data obtained from the Thomson Reuters News Analytics (TRNA) provided by SIRCA (The... mehr

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    This paper features an analysis of the relationship between the volatility of the Dow Jones Industrial Average (DJIA) Index and a sentiment news series using daily data obtained from the Thomson Reuters News Analytics (TRNA) provided by SIRCA (The Securities Industry Research Centre of the Asia Pacific). The expansion of on-line financial news sources, such as internet news and social media sources, provides instantaneous access to financial news. Commercial agencies have started developing their own filtered financial news feeds, which are used by investors and traders to support their algorithmic trading strategies. In this paper we use a sentiment series, developed by TRNA, to construct a series of daily sentiment scores for Dow Jones Industrial Average (DJIA) stock index component companies. A variety of forms of this measure, namely basic scores, absolute values of the series, squared values of the series, and the first differences of the series, are used to estimate three standard volatility models, namely GARCH, EGARCH and GJR. We use these alternative daily DJIA market sentiment scores to examine the relationship between financial news sentiment scores and the volatility of the DJIA return series. We demonstrate how this calibration of machine filtered news can improve volatility measures.

     
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    Weitere Identifier:
    hdl: 10419/98873
    Schriftenreihe: Array ; 2014,014
    Umfang: Online-Ressource (18 S.), graph. Darst.
  13. A tourism financial conditions index
    Autor*in: Chang, Chia-Lin; Hui-Kuang, Hsu; McAleer, Michael
    Erschienen: 2014
    Verlag:  Tinbergen Inst., Rotterdam [u.a.]

    The paper uses monthly data on financial stock index returns, tourism stock sub-index returns, effective exchange rate returns and interest rate differences from April 2005 – August 2013 for Taiwan that applies Chang’s (2014) novel approach for... mehr

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    The paper uses monthly data on financial stock index returns, tourism stock sub-index returns, effective exchange rate returns and interest rate differences from April 2005 – August 2013 for Taiwan that applies Chang’s (2014) novel approach for constructing a tourism financial indicator, namely the Tourism Financial Conditions Index (TFCI). The TFCI is an adaptation and extension of the widely-used Monetary Conditions Index (MCI) and Financial Conditions Index (FCI) to tourism stock data. However, the method of calculation of the TFCI is different from existing methods of constructing the MCI and FCI in that the weights are estimated empirically. The empirical findings show that TFCI is estimated quite accurately using the estimated conditional mean of the tourism stock index returns. The new TFCI is straightforward to use and interpret, and provides interesting insights in predicting the current economic and financial environment for tourism stock index returns that are based on publicly available information. In particular, the use of market returns on the tourism stock index as the sole indicator of the tourism sector, as compared with the general activity of economic variables on tourism stocks, is shown to provide an exaggerated and excessively volatile explanation of tourism financial conditions.

     
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    Weitere Identifier:
    hdl: 10419/98881
    Auflage/Ausgabe: Revised: May 2014
    Schriftenreihe: Array ; 2014-060
    Umfang: Online-Ressource (26 S.), graph. Darst.
  14. Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
    Autor*in: Asai, Manabu; McAleer, Michael
    Erschienen: 2014
    Verlag:  Dept. of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, N.Z

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    Schriftenreihe: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; 2014,10
    Umfang: Online-Ressource (38 S.)
  15. Risk measurement and risk modelling using applications of vine copulas
    Autor*in: Allen, David E.; McAleer, Michael; Singh, Abhay K.
    Erschienen: 2014
    Verlag:  Tinbergen Inst., Rotterdam [u.a.]

    This paper features an application of Regular Vine copulas which are a novel and recently developed statistical and mathematical tool which can be applied in the assessment of composite financial risk. Copula-based dependence modelling is a popular... mehr

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    This paper features an application of Regular Vine copulas which are a novel and recently developed statistical and mathematical tool which can be applied in the assessment of composite financial risk. Copula-based dependence modelling is a popular tool in financial applications, but is usually applied to pairs of securities. By contrast, Vine copulas provide greater exibility and permit the modelling of complex dependency patterns using the rich variety of bivariate copulas which may be arranged and analysed in a tree structure to explore multiple dependencies. The paper features the use of Regular Vine copulas in an analysis of the co-dependencies of 10 major European Stock Markets, as represented by individual market indices and the composite STOXX 50 index. The sample runs from 2005 to the end of 2011 to permit an exploration of how correlations change indifferent economic circumstances using three different sample periods: pre-GFC pre-GFC (Jan 2005- July 2007), GFC (July 2007-Sep 2009), and post-GFC periods (Sep 2009 - Dec 2011). The empirical results suggest that the dependencies change in a complex manner, and are subject to change in different economic circumstances. One of the attractions of this approach to risk modelling is the exibility in the choice of distributions used to model co-dependencies. The practical application of Regular Vine metrics is demonstrated via an example of the calculation of the VaR of a portfolio made up of the indices.

     
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    hdl: 10419/98895
    Schriftenreihe: Array ; 2014-054
    Umfang: Online-Ressource (29 S.), graph. Darst.
  16. Ranking economics and econometrics ISI journals by quality weighted citations
    Autor*in: Chang, Chia-Lin; McAleer, Michael
    Erschienen: 2014
    Verlag:  Dept. of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, N.Z

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    Schriftenreihe: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; 2014,07
    Umfang: Online-Ressource (26 S.)
  17. Quality weighted citations versus total citations in the sciences and social sciences
    Autor*in: Chang, Chia-Lin; McAleer, Michael
    Erschienen: 2014
    Verlag:  Dept. of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, N.Z

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    Schriftenreihe: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; 2014,08
    Schlagworte: Zitationsanalyse; Zeitschriftenranking; Methodologie; Naturwissenschaft; Sozialwissenschaft
    Umfang: Online-Ressource (54 S.)
  18. Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay
    Autor*in: McAleer, Michael
    Erschienen: 2014
    Verlag:  Dept. of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, N.Z

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    Schriftenreihe: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; 2014,09
    Umfang: Online-Ressource (7 S.)
  19. Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay
    Autor*in: McAleer, Michael
    Erschienen: 2014
    Verlag:  Tinbergen Inst., Rotterdam [u.a.]

    This note discusses some aspects of the paper by Hu and Tsay (2014), "Principal Volatility Component Analysis". The key issues are considered, and are also related to existing conditional covariance and correlation models. Some caveats are given... mehr

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    This note discusses some aspects of the paper by Hu and Tsay (2014), "Principal Volatility Component Analysis". The key issues are considered, and are also related to existing conditional covariance and correlation models. Some caveats are given about multivariate models of time-varying conditional covariance and correlation models.

     
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    Schriftenreihe: Array ; 2014-025
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  20. Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
    Autor*in: Asai, Manabu; McAleer, Michael
    Erschienen: 2014
    Verlag:  Tinbergen Inst., Rotterdam [u.a.]

    Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures... mehr

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    Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures that accommodates asymmetry and long memory. Using the basic structure of the fMSV model, the authors extend the dynamic correlation MSV model, the conditional/stochastic Wishart autoregressive models, the matrix-exponential MSV model, and the Cholesky MSV model. Empirical results for 7 financial asset returns for US stock returns indicate that the new fMSV models outperform existing dynamic conditional correlation models for forecasting future covariances. Among the new fMSV models, the Cholesky MSV model with long memory and asymmetry shows stable and better forecasting performance for one-day, five-day and ten-day horizons in the periods before, during and after the global financial crisis.

     
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    Schriftenreihe: Array ; 2014-037
    Umfang: Online-Ressource (38 S.), graph. Darst.
  21. A tourism condition index
    Autor*in: Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael
    Erschienen: 2014
    Verlag:  Econometric Institute, Rotterdam

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    Schriftenreihe: Econometric Institute report EI ; 2014-04
    Umfang: Online-Ressource (30 S.), graph. Darst.
  22. Quality weighted citations versus total citations in the sciences and social sciences
    Autor*in: Chang, Chia-Lin; McAleer, Michael
    Erschienen: 2014
    Verlag:  Econometric Institute, Rotterdam

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    hdl: 1765/50641
    Schriftenreihe: Econometric Institute report EI ; 2014-05
    Schlagworte: Zitationsanalyse; Zeitschriftenranking; Methodologie; Naturwissenschaft; Sozialwissenschaft
    Umfang: Online-Ressource (54 S.)
  23. Discussion of "principal volatility component analysis" by Yu-Pin Hu and Ruey Tsay
    Autor*in: McAleer, Michael
    Erschienen: 2014
    Verlag:  Econometric Institute, Rotterdam

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    Schriftenreihe: Econometric Institute report EI ; 2014-06
    Umfang: Online-Ressource (7 S.)
  24. Ranking economics and econometrics ISI journals by quality weighted citations
    Autor*in: Chang, Chia-Lin; McAleer, Michael
    Erschienen: 2014
    Verlag:  Econometric Institute, Rotterdam

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    hdl: 1765/50643
    Schriftenreihe: Econometric Institute report EI ; 2014-07
    Umfang: Online-Ressource (26 S.)
  25. A tourism financial conditions index
    Autor*in: Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael
    Erschienen: 2014
    Verlag:  Econometric Institute, Rotterdam

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    Weitere Identifier:
    hdl: 1765/51314
    Schriftenreihe: Econometric Institute report EI ; 2014-11
    Umfang: Online-Ressource (26 S.), graph. Darst.