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Hammoudeh, Shawkat ; McAleer, Michael | 2014-06Financial 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 Uncertai[...]texto impreso
Chang, Chia-Lin ; McAleer, Michael | 2011-06Tourism is a major source of service receipts for many countries, including Taiwan. The two leading tourism countries for Taiwan are Japan and USA, which are sources of short and long haul tourism, respectively. As a strong domestic currency can[...]texto impreso
Chang, Chia-Lin ; McAleer, Michael ; Wang, Chien-Hsun | Facultad de Ciencias Económicas. Instituto Complutense de Análisis Económico (ICAE) | 2016It is well known that that there is an intrinsic link between the financial and energy sectors, which can be analyzed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other’s subseq[...]texto impreso
Allen, David E. ; McAleer, Michael ; Singh, Abhay K. | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2017This paper features an analysis of the relationship between the DOW JONES Industrial Average Index (DJIA) and a sentiment news series using daily data obtained from the Thomson Reuters News Analytics (TRNA)1 provided by SIRCA (The Securities Ind[...]texto impreso
Chang, Chia-Lin ; Hsu, Shu-Han ; McAleer, Michael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2018The number of Chinese tourists visiting Taiwan has been closely related to the political relationship across the Taiwan Strait. The occurrence of political events and disasters or accidents have had, and will continue to have, a huge impact on t[...]texto impreso
It is common practice to evaluate fixed-event forecast revisions in macroeconomics by regressing current forecast revisions on one-period lagged forecast revisions. Under weak-form (forecast) efficiency, the correlation between the current and o[...]texto impreso
Franses, Philip Hans ; Chang, Chia-Lin ; McAleer, Michael | 2011-06It is common practice to evaluate fixed-event forecast revisions in macroeconomics by regressing current revisions on one-period lagged revisions. Under weak-form efficiency, the correlation between the current and one-period lagged revisions sh[...]texto impreso
Chang, Chia-Lin ; Franses, Philip Hans ; McAleer, Michael | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-03Many macro-economic forecasts and forecast updates, such as those from the IMF and OECD, typically involve both a model component, which is replicable, as well as intuition (namely, expert knowledge possessed by a forecaster), which is non-repli[...]texto impreso
Caporin, Massimiliano ; Chang, Chia-Lin ; McAleer, Michael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2016-02The energy sector is one of the most important in the world, so that time series fluctuations in leading energy sources have been analysed widely. As the leading energy commodities are traded on international stock exchanges, the analysis of the[...]texto impreso
Chang, Chia-Lin ; Chen, Li-Hsueh ; Hammoudeh, Shawkat ; McAleer, Michael | 2012-04This paper examines the long- and short-run asymmetric adjustments and pairs trades for nine pairs of spot and futures prices, itemized as three own pairs for three different bio-fuel ethanol types, three own pairs for three related agricultural[...]texto impreso
Allen, David E. ; McAleer, Michael ; Scharth, Marcel | 2014In 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 erro[...]texto impreso
Chang, Chia-Lin ; Hsu, Shu-Han ; McAleer, Michael | 2018-05Since 2008, when Taiwan’s President Ma Ying-Jeou relaxed the Cross-Strait policy, China has become Taiwan’s largest source of international tourism. In order to understand the risk persistence of Chinese tourists, the paper investigates the shor[...]texto impreso
Asai, Manabu ; McAleer, Michael ; Medeiros, Marcelo C. | 2011-08A wide variety of conditional and stochastic variance models has been used to estimate latent volatility (or risk). In this paper, we propose a new long memory asymmetric volatility model which captures more flexible asymmetric patterns as compa[...]texto impreso
Asai, Manabu ; McAleer, Michael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2016The paper considers various extended asymmetric multivariate conditional volatility models, and derives appropriate regularity conditions and associated asymptotic theory. This enables checking of internal consistency and allows valid statistica[...]texto impreso
Asai, Manabu ; McAleer, Michael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2018The paper develops a new realized matrix-exponential GARCH (MEGARCH) model, which uses the information of returns and realized measure of co-volatility matrix simultaneously. The paper also considers an alternative multivariate asymmetric functi[...]
