Recent Submissions

  • Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility 

    Chen, P-Y.; Chang, C-L.; Chen, C-C.; McAleer, M. (University of Canterbury. Department of Economics and Finance, 2013)
    The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative ...
  • Machine news and volatility: The Dow Jones IndustrialAverage and the TRNA sentiment series 

    McAleer, M.; Allen, D. E.; Singh, A. K. (University of Canterbury. Department of Economics and Finance, 2014)
    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 ...
  • Ten Things You Should Know About the Dynamic Conditional Correlation Representation 

    Caporin, M.; McAleer, M. (University of Canterbury. Department of Economics and Finance, 2013)
    The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and fore-casting time-varying conditional correlations. ...
  • The Maximum Number of Parameters for the Hausman Test 

    McAleer, M.; Nawata, K. (University of Canterbury. Department of Economics and Finance, 2014)
    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, ...
  • REPLICATION STUDY: Toya and Skidmore (Economics Letters, 2007) 

    Reed, W. R.; Mercer, R. (University of Canterbury. Department of Economics and Finance, 2013)
    This study replicates the empirical findings of Toya and Skidmore (2007), hereinafter "TS", and performs a variety of robustness checks. We are able to exactly replicate the findings reported by TS. Our robustness checks ...
  • The Center Matters for the Periphery: On the Predictive Ability of a GZ-Type Spread for Economic Activity 

    Guender, A.V.; Tolan, B. (University of Canterbury. Department of Economics and Finance, 2013)
  • Herding, Information Cascades and Volatility Spillovers in Futures Markets 

    McAleer, M.; Radalj, K. (University of CanterburyUniversity of Canterbury. Department of Economics and Finance, 2013)
    Economists and financial analysts have begun to recognise the importance of the actions of other agents in the decision-making process. Herding is the deliberate mimicking of the decisions of other agents. Examples of ...
  • Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism 

    Chang, C-L.; Hsu, H-K.; McAleer, M. (University of CanterburyUniversity of Canterbury. Department of Economics and Finance, 2013)
    This paper examines the size effects of volatility spillovers for firm performance and exchange rates with asymmetry in the Taiwan tourism industry. The analysis is based on two conditional multivariate models, BEKK-AGARCH ...
  • REPLICATION STUDY: Hoover and Pecorino (Public Choice, 2005) 

    Douglas, S.; Reed, W.R. (University of CanterburyUniversity of Canterbury. Department of Economics and Finance, 2013)
    This paper replicates and analyses a study by Hoover and Pecorino on Federal spending in US states (Hoover and Pecorino, 2005; henceforth H&P). H&P followed on path-breaking research by Atlas et al. (1995) in which evidence ...
  • Transaction Costs, the Opportunity Cost of Time and Inertia in Charitable Giving 

    Knowles, S.; Servátka, M. (University of Canterbury. Department of Economics and Finance, 2014)
    We conduct a laboratory experiment to analyze the effect transactions costs and inertia have on charitable giving. We conjecture that transaction costs will have a greater effect on donations if the solicitation is ...
  • An Application of Correlation Clustering to Portfolio Diversification 

    Zhan, H.C.J.; Rea, W.; Rea, A. (University of Canterbury. Department of Economics and FinanceUniversity of Canterbury. Mathematics and Statistics, 2014)
    This paper presents a novel application of software developed for constructing a phylogenetic network to the correlation matrix for 126 stocks listed on the Shanghai A Stock Market. We show that by visualizing the ...
  • On the Invertibility of EGARCH 

    Martinet, G.G.; McAleer, M. (University of CanterburyUniversity of Canterbury. Department of Economics and Finance, 2014)
    Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility ...
  • A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process 

    Hafner, C.M.; McAleer, M. (University of Canterbury. Department of Economics and Finance, 2014)
    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, ...
  • Buybacks versus Ordinary Dividends: Marginal Investor Reactions to Cash-return Announcements 

    Anderson, W.; McLaughlin, S. (University of CanterburyUniversity of Canterbury. Department of Economics and Finance, 2013)
    This paper examines the stock price effect in New Zealand of announcements of increases in dividends and of share repurchases from 1993 to 2009. The results are related to the soft substitution hypothesis on Australian ...
  • What Do Experts Know About Forecasting Journal Quality? A Comparison with ISI Research Impact in Finance 

    Chang, C-L.; McAleer, M. (University of CanterburyUniversity of Canterbury. Department of Economics and Finance, 2013)
    Experts possess knowledge and information that are not publicly available. The paper is concerned with forecasting academic journal quality and research impact using a survey of international experts from a national project ...
  • A Monte Carlo Analysis ofAlternative Meta-Analysis Estimators in the Presence of Publication Bias 

    Reed, W. R.; Florax, R. J. G. M.; Poot, J. (University of Canterbury. Department of Economics and Finance, 2014)
    This study uses Monte Carlo analysis to investigate the performances of five different meta-analysis (MA) estimators: the Fixed Effects (FE) estimator, the Weighted Least Squares (WLS) estimator, the Random Effects (RE) ...
  • Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc 

    McAleer, M.; Chang, C-L. (University of Canterbury. Department of Economics and Finance, 2014)
    The paper focuses on the robustness of rankings of academic journal quality and research impact of 10 leading econometrics journals taken from the Thomson Reuters ISI Web of Science (ISI) Category of Economics, using ...
  • Ranking Economics and Econometrics ISI Journals by Quality Weighted Citations 

    McAleer, M.; Chang, C-L. (University of Canterbury. Department of Economics and Finance, 2014)
    The paper analyses academic journal quality and impact using quality weighted citations that are based on the widely-used Thomson Reuters ISI Web of Science citations database (ISI). A recently developed Index of Citations ...
  • Quality Weighted Citations Versus Total Citations in the Sciences and Social Sciences. 

    Chang, C-L.; McAleer, M. (University of Canterbury. Department of Economics and Finance, 2014)
    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 ...
  • Just How Good are the Top Three Journals in Finance?An Assessment Based on Quantity and Quality Citations 

    Chang, C-L.; McAleer, M. (University of Canterbury. Department of Economics and Finance, 2014)
    The paper is concerned with ranking academic journal quality and research impact in Finance, based on the widely-used Thomson Reuters ISI Web of Science citations database. The paper analyses the 89 leading international ...

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