Now showing items 1-3 of 3

    • Asymmetric Realized Volatility Risk 

      Allen, D. E.; McAleer, M.; Scharth, M. (University of Canterbury. Department of Economics and Finance, 2014)
      In this paper we document that realized variation measures constructed from highfrequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent ...
    • 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 ...
    • Risk Measurement and Risk Modelling Using Applications of Vine Copulas" 

      Allen, D. E.; McAleer, M.; Singh, A. K. (University of Canterbury. Department of Economics and FinanceUniversity of Canterbury. Mathematics and Statistics, 2014)
      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 ...