Now showing items 1-20 of 58

    • Advances in Financial Risk Management andEconomic Policy Uncertainty: An Overview 

      Hammoudeh, S.; McAleer, M. (University of Canterbury. Department of Economics and Finance, 2014)
      Financial risk management is difficult at the best of times, but especially so in the presence of economic policy uncertainty. The purpose of this special issue on "Advances in Financial Risk Management and Economic Policy ...
    • Analyzing Fixed-event Forecast Revisions 

      Franses, P.H.; Chang, C.L.; McAleer, M. (College of Business and EconomicsUniversity of Canterbury. Department of Economics and Finance, 2011)
      It 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 ...
    • Article Influence Score = 5YIF divided by 2 

      Chang, C.-L.; McAleer, M.; Oxley, L. (College of Business and EconomicsUniversity of Canterbury. Department of Economics and Finance, 2010)
      This paper examines the novelty and usefulness of two new journal performance metrics, namely the Eigenfactor Score and Article Influence Score, using ISI data for 2009 for the 200 most highly cited journals in each of the ...
    • 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 ...
    • Citations and Impact of ISI Tourism and Hospitality Journals 

      Chang, C-L.; McAleer, M. (College of Business and EconomicsUniversity of Canterbury. Department of Economics and Finance, 2011)
      The paper analyses the leading international journals in Tourism and Hospitality Research using quantifiable Research Assessment Measures (RAMs), highlights the similarities and differences in alternative RAMs, shows that ...
    • Coercive Journal Self-citations, Impact Factor, Journal Influence and Article Influence 

      Chang, C-L.; McAleer, M.; Oxley, L. (University of CanterburyUniversity of Canterbury. Department of Economics and Finance, 2013)
      This paper examines the issue of coercive journal self-citations and the practical usefulness of two recent journal performance metrics, namely the Eigenfactor score, which may be interpreted as measuring Journal Influence, ...
    • Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay 

      McAleer, M. (University of Canterbury. Department of Economics and Finance, 2014)
      This note discusses some aspects of the paper by Hu and Tsay (2014), “Principal Volatility Component Analysis”. The key issues are considered, and are also related to existing conditional covariance and correlation models. ...
    • The Dynamics of Energy-Grain Prices with Open Interest 

      Hammoudeh, S.; Sarafrazi, S.; Chang, C-L.; McAleer, M. (College of Business and EconomicsUniversity of Canterbury. Department of Economics and Finance, 2011)
      This paper examines the short- and long-run daily relationships for a grain-energy nexus that includes the prices of corn, crude oil, ethanol, gasoline, soybeans, and sugar, and their open interest. The empirical results ...
    • Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments 

      Franses, P. H.; McAleer, M.; Legerstee, R. (University of CanterburyUniversity of Canterbury. Department of Economics and Finance, 2012)
      Macroeconomic forecasts are frequently produced, widely published, intensively discussed and comprehensively used. The formal evaluation of such forecasts has a long research history. Recently, a new angle to the evaluation ...
    • Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 

      Asai, M.; McAleer, M. (University of Canterbury. Department of Economics and Finance, 2014)
      Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for ...
    • Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 

      Asai, M.; Caporin, M.; McAleer, M. (College of Business and EconomicsUniversity of Canterbury. Department of Economics and Finance, 2012)
      Most multivariate variance or volatility models suffer from a common problem, the "curse of dimensionality". For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility ...
    • Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 

      Chen, C.W.S.; Gerlach, R.; Hwang, B.B.K.; McAleer, M. (College of Business and EconomicsUniversity of Canterbury. Department of Economics and Finance, 2011)
      Value-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even more important, especially during the 2008-09 global financial crisis. We propose some novel nonlinear threshold conditional ...
    • Great Expectatrics: Great Papers, Great Journals, Great Econometrics 

      Chang, C-L.; McAleer, M.; Oxley, L. (College of Business and EconomicsUniversity of Canterbury. Department of Economics and Finance, 2010)
      The paper discusses alternative Research Assessment Measures (RAM), with an emphasis on the Thomson Reuters ISI Web of Science database (hereafter ISI). The various ISI RAM that are calculated annually or updated daily are ...
    • Has the Basel Accord Improved Risk Management During the Global Financial Crisis? 

      McAleer, M.; Jimenez-Martin, J-A.; Perez-Amaral, T. (University of CanterburyUniversity of Canterbury. Department of Economics and Finance, 2013)
      The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one ...
    • 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 ...
    • How are Journal Impact, Prestige and Article Influence Related? An Application to Neuroscience 

      Chan, C.; McAleer, M.; Oxley, L. (College of Business and EconomicsUniversity of Canterbury. Department of Economics and Finance, 2011)
      The paper analyses the leading journals in Neurosciences using quantifiable Research Assessment Measures (RAM), highlights the similarities and differences in alternative RAM, shows that several RAM capture similar performance ...
    • How does Zinfluence Affect Article Influence? 

      Chan, C.; McAleer, M.; Oxley, L. (College of Business and EconomicsUniversity of Canterbury. Department of Economics and Finance, 2010)
      The paper analyses the leading journals in Neuroscience using quantifiable Research Assessment Measures (RAM). Alternative RAM criteria are discussed for the Thomson Reuters ISI Web of Science database (hereafter ISI). The ...
    • How Should Journal Quality be Ranked? An Application to Agricultural, Energy, Environmental and Resource Economics 

      Chang, C-L.; McAleer, M. (College of Business and EconomicsUniversity of Canterbury. Department of Economics and Finance, 2011)
      The Thomson Reuters ISI Web of Science citations database (hereafter ISI) category of Economics has one of the largest numbers of journals, at 304, of any ISI discipline, and hence has wide coverage. The paper analyses the ...
    • How Volatile is ENSO for Global Greenhouse Gas Emissions And the Global Economy? 

      Chu, L-F.; McAleer, M.; Chen, C-C. (University of Canterbury. Department of Economics and Finance, 2012)
      This paper analyzes two indexes in order to capture the volatility inherent in El Ninos Southern Oscillations (ENSO), develops the relationship between the strength of ENSO and greenhouse gas emissions, which increase as ...
    • The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry 

      McAleer, M.; Hui-Kuang, H.; Chang, C. (University of CanterburyUniversity of Canterbury. Department of Economics and Finance, 2013)
      This paper investigates the stock returns and volatility size effects for firm performance in the Taiwan tourism industry, especially the impacts arising from the tourism policy reform that allowed mainland Chinese ...