Documentos: 
1. (�)
Regression Quantiles for Unstable Autoregressive Models ∗
- Shiqing Ling; Michael Mcaleer; Shiqing Ling; Michael Mcaleer
This paper investigates regression quantiles (RQ) for unstable autoregres-sive models. The uniform B ... (application/pdf) - 31-ene-2015
2. (�)
Designing GHG Emissions Trading Institutions in the Kyoto Protocol: An Experimental Approach," Environmental Modelling and Software
- Yoichi Hizen; Tatsuyoshi Saijo; Yoichi Hizen; Thank Professors Peter Bohm; James C. Cox; Timothy N. Cason; R. Mark Isaac; Michael Mcaleer
Charles R. Plott and participants of the CREST workshop for helpful comments and discussions, and (application/pdf) - 30-ene-2015
3. (�)
Quality Weighted Citations Versus Total Citations in the Sciences and Social Sciences, with an Application to Finance and Accounting
- Chang, Chia-Lin; McAleer, Michael
The premise underlying the use of citations data is that higher quality journals generally have a hi ... - 24-ene-2015
4. (�)
Hedge Fund Portfolio Diversification Strategies Across the GFC
- Allen, David E; McAleer, Michael; Peiris, Shelton; Singh, Abhay K.
This paper features an analysis of the e_ectiveness of a range of portfolio diversification strategi ... - 24-ene-2015
5. (�)
Econometric Analysis of Financial Derivatives:: An Overview
- Chang, Chia-Lin; McAleer, Michael
One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed ... - 24-ene-2015
6. (�)
A One Line Derivation of DCC:: Application of a Vector Random Coefficient Moving Average Process
- Hafner, Christian M.; McAleer, Michael
One of the most widely-used multivariate conditional volatility models is the dynamic conditional co ... - 24-ene-2015
7. (�)
On the Invertibility of EGARCH
- Martinet, Guillaume Gaetan; McAleer, Michael
Of the two most widely estimated univariate asymmetric conditional volatility models, the exponentia ... - 24-ene-2015
8. (�)
European Market Portfolio Diversification Strategies across the GFC
- Allen, David E; McAleer, Michael; Powell, Robert J.; Singh, Abhay K.
This paper features an analysis of the effectiveness of a range of portfolio diversification strateg ... - 24-ene-2015
9. (�)
Volatility Spillovers from Australia's major trading partners across the GFC
- Allen, David E; McAleer, Michael; Singh, Abhay K.
This paper features an analysis of volatility spillover effects from Australia's major trading partn ... - 24-ene-2015
10. (�)
1 What Happened to Risk Management During the 2008-09 Financial Crisis?
- Michael Mcaleer; Juan-angel Jimenez-martin; Teodosio Pérez-amaral
When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital ... (application/pdf) - 23-ene-2015 | |
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