CIRJE F-Series

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CIRJE-F-691: Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan

Chia-Lin Chang and Michael McAleer

CIRJE-F-690: Multivariate Stochastic Volatility with Cross Leverage

Tsunehiro Ishihara, Yasuhiro Omori and Siddhartha Chib

CIRJE-F-689: Generalized extreme value distribution with time-dependence using the AR and MA models in state space form

Jouchi Nakajima, Tsuyoshi Kunihama, Yasuhiro Omori and Sylvia Fruhwirth-Schnatter

CIRJE-F-688: Conditional and Unconditional Methods for Selecting Variables in Linear Mixed Models

Tatsuya Kubokawa

CIRJE-F-687: Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations

Chia-Ling Chang, Thanchanok Khamkaew, Michael McAleer and Roengchai Tansuchat

CIRJE-F-686: Forecasting Realized Volatility with Linear and Nonlinear Models

Michael McAleer and Marcelo C. Medeiros

CIRJE-F-685: A Panel Threshold Model of Tourism Specialization and Economic Development

Chia-Lin Chang, Thanchanok Khamkaew and Michael McAleer

CIRJE-F-684: Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies

Shawkat Hammoudeh, Yuan Yuan, Michael McAleer and Mark A. Thompson

CIRJE-F-683: It Pays to Violate: How Effective are the Basel Accord Penalties?

Bernardo da Veiga, Felix Chan and Michael McAleer

CIRJE-F-682: Pricing Barrier and Average Options under Stochastic Volatility Environment

Kenichiro Shiraya, Akihiko Takahashi and Masashi Toda

CIRJE-F-681: Pricing Average Options on Commodities

Kenichiro Shiraya and Akihiko Takahashi

CIRJE-F-680: Modelling Long Memory Volatility in Agricultural Commodity Futures Returns

Roengchai Tansuchat, Chia-Lin Chang and Michael McAleer

CIRJE-F-679: Optimal monetary policy when asset markets are incomplete

Richard Anton Braun and Tomoyuki Nakajima

CIRJE-F-678: Computing Densities: A Conditional Monte Carlo Estimator

Richard Anton Braun, Huiyu Li and John Stachurski

CIRJE-F-677: Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence

Abdul Hakim and Michael McAleer

CIRJE-F-676: VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds

Abdul Hakim and Michael McAleer

CIRJE-F-675: Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns

Tanchanok Khamkaew, Michael McAleer and Roengchai Tansuchat

CIRJE-F-674: Hotelling's Spatial Competition Reconsidered

Takatoshi Tabuchi

CIRJE-F-673: Implementation and Mind Control

Hitoshi Matsushima

CIRJE-F-672: A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options

Chatayan Wiphatthanananthakul and Michael McAleer

CIRJE-F-671: Moment-Based Estimation of Smooth Transition Regression Models with Endogenous Variables

Waldyr Dutra Areosa, Michael McAleer and Marcelo C. Medeiros

CIRJE-F-670: A General Asymptotic Theory for Time Series Models

Shiqing Ling and Michael McAleer

CIRJE-F-669: Modelling and Forecasting Noisy Realized Volatility

Manabu Asai, Michael McAleer and Marcelo C. Medeiros

CIRJE-F-668: Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies

Shawkat M. Hammoudeh, Yuan Yuan and Michael McAleer

CIRJE-F-667: Optimal Risk Management Before, During and After the 2008-09 Financial Crisis

Michael McAleer, Juan-Angel Jimenez-Martin and Teodosio Perez-Amaral

CIRJE-F-666: Higher Order Corrections in MSE Estimation and Confidence Intervals in Linear Mixed Models

Tatsuya Kubokawa

CIRJE-F-665: Risk Management for International Tourist Arrivals: An Application to the Balearic Islands, Spain

Ana Bartolome, Michael McAleer, Vicente Ramos and Javier Rey-Maquieira

CIRJE-F-664: Cruising is Risky Business

Ana Bartolome, Michael McAleer, Vicente Ramos and Javier Rey-Maquieira

CIRJE-F-663: Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets

Abdul Hakim and Michael McAleer

CIRJE-F-662: A Trinomial Test for Paired Data When There are Many Ties

Guorui Bian, Michael McAleer and Wing-Keung Wong

CIRJE-F-661: Testing the Box-Cox Parameter in an Integrated Process

Jian Huang, Masahito Kobayashi and Michael McAleer

CIRJE-F-660: On the Robustness of Alternative Rankings Methodologies For Australian and New Zealand Economics Departments

Joseph Macri, Michael McAleer and Dipendra Sinha

CIRJE-F-659: Value-at-Risk for Country Risk Ratings

Michael McAleer, Bernardo da Veiga and Suhejla Hoti

CIRJE-F-658: Non-Classical Measurement Error in Long-Term Retrospective Recall Surveys

John Gibson and Bonggeun Kim

CIRJE-F-657: Dynamic Conditional Correlations for Asymmetric Processes

Manabu Asai and Michael McAleer

CIRJE-F-656: Asymmetry and Leverage in Realized Volatility

Manabu Asai, Michael McAleer and Marcelo C. Medeiros

CIRJE-F-655: Alternative Asymmetric Stochastic Volatility Models

Manabu Asai and Michael McAleer

CIRJE-F-654: Asymptotic Expansion Approaches in Finance: Applications to Currency Options

Akihiko Takahashi and Kohta Takehara

CIRJE-F-653: Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments

Akihiko Takahashi, Yukihiro Tsuzuki and Akira Yamazaki

CIRJE-F-652: The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges

Michael McAleer

CIRJE-F-651: Modelling and Forecasting Daily International Mass Tourism to Peru

Jose Angelo Divino and Michael McAleer

CIRJE-F-650: Modelling Sustainable International Tourism Demand to the Brazilian Amazon

Jose Angelo Divino and Michael McAleer

CIRJE-F-649: An Econometric Analysis of SARS and Avian Flu on International Tourist Arrivals to Asia

Michael McAleer, Bing-Wen Huang, Hsiao-I Kuo, Chi-Chung Chen and Chia-Lin Chang

CIRJE-F-648: Does the FOMC Have Expertise, and Can It Forecast?

Philip Hans Franses, Michael McAleer and Rianne Legerstee

CIRJE-F-647: Modelling Short and Long Haul Volatility in Japanese Tourist Arrivals to New Zealand and Taiwan

Chia-Lin Chang, Michael McAleer and Christine Lim

CIRJE-F-646: The Second End of Laissez-Faire: The Bootstrapping Nature of Money and the Inherent Instability of Capitalism

Katsuhito Iwai

CIRJE-F-645: Disability and Returns to Education in a Developing Country

Kamal Lamichhane and Yasuyuki Sawada

CIRJE-F-644: A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk

Michael McAleer, Juan Angel Jimenez Martin and Teodosio Perez-Amaral

CIRJE-F-643: Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?

Michael McAleer, Juan Angel Jimenez Martin and Teodosio Perez-Amaral

CIRJE-F-642: Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO

Chia-Lin Chang, Biing-Wen Huang, Meng-Gu Chen and Michael McAleer