Recent Submissions

  • Is the tracking error time varying? Evidence from agricultural ETCs 

    Bialkowski JP; Perera D; Bohl MT (2018)
    This study argues that the high volatility of agricultural commodity prices creates a challenge for exchange-traded commodity (ETC) managers to track the underlying index. Furthermore, previous studies find exchange-traded ...
  • ecostore – the Carbon CaptureTM Pak decision 

    Balzarova M; Castka P (Oikos Case Study Collection, 2018)
    ecostore – manufacturer of household and personal cleaning products is a New Zealand based company with a strong drive towards innovation and improvements into effectiveness of its products. This case captures ecostore’s ...
  • The Real Exchange Rate in Taylor Rules: A Re-Assessment 

    Guender A; Froyen RT (2016)
    Examining three flexible inflation targeting strategies, we find that a small concern for real exchange rate stability as a policy goal matters. First, it warrants the inclusion of the real exchange rate in Taylor rules and, ...
  • Credit Prices vs Credit Quantities as Predictors of Economic Activity in Europe: Which Tell a Better Story? 

    Guender A (Bank of Estonia, 2017)
    This paper examines the role of credit providers in the EMU and assesses the effects of credit spreads and credit quantities on economic activity. Movements in credit spreads are far more successful than movements in the ...
  • Determinants of Chinese Government Size: An Extreme Bounds Analysis 

    Gunby PP; Jin Y (Department of Economics and Finance, University of Canterbury, 2016)
    This paper studies the factors associated with the size of the public sector as measured by government spending at the level of Chinese provinces using the method of extreme bounds analysis to identify robust correlates ...
  • A Replication of “Are Competitive Banking Systems More Stable?” (Journal of Money, Credit, and Banking, 2009) 

    Das KK; Bandarnayake S; Reed WR (2017)
    This study replicates Schaeck, Čihák, and Wolfe (2009), henceforth SCW, and performs a variety of robustness checks. Using a cross-country, time series sample of 45 countries from 1980-2005, SCW investigate the relationship ...
  • Optimal Pacing of 400m and 800m Races: A Standard Microeconomics Approach 

    Gunby PP; Watt R (DEPARTMENT OF ECONOMICS AND FINANCE, UNIVERSITY OF CANTERBURY, 2016)
    The optimal way for an athlete to run 400m and 800m races has long been debated by athletes, coaches, and more recently by physicists and applied mathematicians. These two particular running events are different from ...
  • Middle managers play an essential role in executing change 

    Arnaud, N.; Mills, C.E. (University of Canterbury. Management, Marketing, and Entrepreneurship, 2016)
    There is much talk about change and how managers must communicate during change to ensure it occurs smoothly. However, seldom does advice for managing change go beyond the language of change; the ways to explain a proposed ...
  • 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 ...
  • 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, ...

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