Now showing items 1-2 of 2

    • Recent Developments in Financial Economics and Econometrics: An Overview 

      Chang, C-L.; Allen, D.; McAleer, M. (University of CanterburyUniversity of Canterbury. Department of Economics and Finance, 2013)
      This special issue of the in North American Journal of Economics and Finance presents 24 papers by leading scholars in the field on "Recent Developments in Financial Economics and Econometrics". The breadth of coverage is ...
    • Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures 

      Casarin, R.; Chang, C.L.; Jiménez-Martín, J.; McAleer, M.; Pérez-Amara, T. (College of Business and EconomicsUniversity of Canterbury. Department of Economics and Finance, 2011)
      It is well known that the Basel II Accord requires banks and other Authorized Deposit-taking Institutions (ADIs) to communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each ...