Discussion Papers

16-052/III - An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors

Authors: Chia-Lin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands; Complutense University of Madrid, Spain; Chien-Hsun Wang, National Tsing Hua University, Taiwan

Date: July 18, 2016

16-047/III - Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances

Authors: Chia-Lin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain; Yanghuiting Wang, National Tsing Hua University, Taiwan

Date: June 27, 2016

16-046/III - Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture

Authors: Chia-Lin Chang, National Chung Hsing University, Taiwan; Chia-Ping Liu, National Tsing Hua University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain

Date: June 27, 2016

16-044/III - Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models

Authors: Shelton Peiris, University of Sydney, Australia; Manabu Asai, Soka University, Japan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain

Date: June 06, 2016

16-040/III - Management Science, Economics and Finance: A Connection

Authors: Chia-Lin Chang, National Chung Hsing University Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain; Wing-Keung Wong, Hong Kong Baptist University, Hong Kong, PR China; Asia University, Taiwan

Date: May 23, 2016

16-038/III - A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices

Authors: David E. Allen, University of Sydney, and University of South Australia, Australia; Chialin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain; Abhay K. Singh, Edith Cowan University, Australia

Date: May 17, 2016

16-031/III - A Statistical Analysis of Industrial Penetration and Internet Intensity in Taiwan

Authors: Chia-Lin Chang, National Chung Hsing University, Taichung, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands, and Complutense University of Madrid, Spain; Yu-Chieh Wu, National Chung Hsing University, Taichung, Taiwan

Date: April 25, 2016

16-029/III - Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area

Authors: Gabriele Galati, De Nederlandsche Bank DNB, the Netherlands; Irma Hindrayanto, De Nederlandsche Bank DNB, the Netherlands; Siem Jan Koopman, VU University Amsterdam, the Netherlands; Marente Vlekke, Centraal Planbureau CPB, The Hague, the Netherlands

Date: April 22, 2016

16-028/III - Bayesian Dynamic Modeling of High-Frequency Integer Price Changes

Authors: Istvan Barra, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit, the Netherlands; Agnieszka Borowska, Vrije Universiteit, the Netherlands

Date: April 22, 2016

16-027/III - Prediction of Gas Concentration based on the Opposite Degree Algorithm

Authors: Xiao-Guang Yue, Wuhan University, China; Rui Gao, Wuhan University, China; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain

Date: April 19, 2016

16-026/III - An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series

Authors: David E. Allen, Centre for Applied Financial Studies, UniSA, South Africa, and Visiting Professor University of Sydney, Australia; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus School of Economics, Erasmus University Rotterdam, and Tinbergen Institute, the Netherlands; Complutense University of Madrid, Spain; Abhay K. Singh, Edith Cowan University, Perth, Australia

Date: April 19, 2016

16-025/III - Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization

Authors: Zhidong Bai, Northeast Normal University, China; Hua Li, Chang Chun University, China; Michael McAleer, National Tsing Hua University, Hsinchu, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain; Wing-Keung Wong, Hong Kong Baptist University, China, and Research Grants Council of Hong Kong, Hong Kong

Date: April 11, 2016

16-015/III - Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models

Authors: Jinghui Chen, Yokohama University, Japan; Masahito Kobayashi, Yokohama University, Japan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain

Date: March 08, 2016

16-014/III - Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices

Authors: Chia-Lin Chang, National Chung Hsing University, Taichung, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain; Yu-Ann Wang, National Chung Hsing University, Taichung, Taiwan

Date: March 07, 2016

16-010/III - Connecting VIX and Stock Index ETF

Authors: Chia-Lin Chang, National Chung Hsing University, Taichung, Taiwan; Tai-Lin Hsieh, National Chung Hsing University, Taichung, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands; Complutense University of Madrid, Spain.

Date: February 15, 2016

16-006/III - Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?

Authors: Massimiliano Caporin, University of Padova, Italy; Chia-Lin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain.

Date: February 01, 2016

16-005/III - Parallelization Experience with Four Canonical Econometric Models using ParMitISEM

Authors: Nalan Basturk, Maastricht University, the Netherlands; Stefano Grassi, University of Kent, United Kingdom; Lennart Hoogerheide, VU University Amsterdam, the Netherlands; Herman K. van Dijk, VU University Amsterdam, Erasmus University Rotterdam, the Netherlands

Date: January 22, 2016

16-003/III - A Bayesian Approach to Excess Volatility, Short-term Underreaction and Long-term Overreaction During Financial Crises

Authors: Xu Guo, Nanjing University of Aeronautics and Astronautics; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain; Wing-Keung Wong, Hong Kong Baptist University, Hong Kong, PR China; Lixing Zhu, Hong Kong Baptist University, Hong Kong, PR China

Date: January 15, 2016

15-140/III - Forecasting Value-at-Risk under Temporal and Portfolio Aggregation

Authors: Erik Kole, Erasmus University Rotterdam, the Netherlands; Thijs Markwat, Robeco Asset Management, the Netherlands; Anne Opschoor, VU University Amsterdam, the Netherlands; Dick van Dijk, Erasmus University Rotterdam, the Netherlands

Date: January 04, 2015

15-138/III - Generalized Autoregressive Method of Moments

Authors: Drew Creal, The University of Chicago Booth School of Business, United States; Siem Jan Koopman, VU University Amsterdam, the Netherlands; ; Marcin Zamojski, VU University Amsterdam, the Netherlands

Date: December 24, 2015

Fields

Year

384 Discussion Papers