Discussion Papers

16-105/III - The Dynamic Factor Network Model with an Application to Global Credit-Risk

Authors: Falk Bräuning, Federal Reserve Bank of Boston, United States; Siem Jan Koopman, VU University Amsterdam, The Netherlands

Date: November 28, 2016

16-104/III - Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors

Authors: Anastasios Zopiatis, Cyprus University of Technology, Cyprus; Christos S. Savva, Cyprus University of Technology, Cyprus; Neophytos Lambertides, Cyprus University of Technology, Cyprus; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands; Complutense University of Madrid, Spain; Yokohama National University, Japan

Date: November 25, 2016

16-099/III - Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies

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, Erasmus University Rotterdam, The Netherlands

Date: November 17, 2016

16-094/III - A Simple Test for Causality in Volatility

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, Yokohama National University, Japan

Date: November 07, 2016

16-084/III - Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events

Authors: David E. Allen, University of Sidney, University of South Australia, Australia; Michael McAleer, National Tsing Hua University Taiwan; Erasmus School of Economics Erasmus University Rotterdam, The Netherlands; Yokohama National University, Japan; Robert Powell, Edith Cowan University, Perth, Australia; Abhay K. Singh, Edith Cowan University, Perth, Australia

Date: October 14, 2016

16-083/III - US Antidumping Petitions and Revealed Comparative Advantage of Shrimp Exporting Countries

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; Yokohama National University, Japan; Dang-Khoa Nguyen, National Chung Hsing University Taichung, Taiwan

Date: October 14, 2016

16-082/III - Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models

Authors: Francisco Blasques, VU University Amsterdam, the Netherlands; Paolo Gorgi, VU University Amsterdam, the Netherlands; University of Padua, Italy; Siem Jan Koopman, VU University Amsterdam, the Netherlands; Aarhus University, Denmark; Olivier Wintenberger, University of Copenhagen, Denmark; Sorbonne Universités, UPMC University Paris 06, France

Date: October 06, 2016

16-076/III - Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers

Authors: Manabu Asai, Soka University, Japan; Chia-Lin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus School of Economics, Erasmus University Rotterdam; Complutense University of Madrid, Spain; Yokohama National University, Japan

Date: September 12, 2016

16-075/III - Flexible Mixture-Amount Models for Business and Industry using Gaussian Processes

Authors: Aiste Ruseckaite, Erasmus University Rotterdam, the Netherlands; Dennis Fok, Erasmus University Rotterdam, the Netherlands; Peter Goos, KU Leuven, Belgium

Date: September 12, 2016

16-073/III - Forecasting Using Random Subspace Methods

Authors: Tom Boot, Erasmus University Rotterdam, the Netherlands; Didier Nibbering, Erasmus University Rotterdam, the Netherlands

Date: September 06, 2016

16-071/III - Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes

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

Date: September 05, 2016

16-065/III - A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics

Authors: Manabu Asai, Soka University, Japan; Michael McAleer, National Tsing Hua University Taiwan; Erasmus School of Economics Erasmus University Rotterdam, The Netherlands; Yokohama National University, Japan

Date: August 29, 2016

16-061/III - Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model

Authors: Peter Reinhard Hansen, University of North Carolina at Chapel Hill, United States; Pawel Janus, UBS Global Asset Management, Zürich, Switzerland; Siem Jan Koopman, VU University Amsterdam, the Netherlands

Date: August 11, 2016

16-053/III - Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China

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; Jiarong Tian, National Tsing Hua University, Taiwan

Date: July 18, 2016

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

Fields

Year

378 Discussion Papers