KIER Working Papers

From Kyoto University, Institute of Economic Research
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762: Are Forecast Updates Progressive?

Chia-Lin Chang, Philip Hans Franses and Michael McAleer

761: Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures

Chia-Lin Chang, Juan-à ngel Jiménez-Martín, Michael McAleer and Teodosio Pérez-Amaral

760: Offshore outsourcing and non-production workers: Firm-level relationships disaggregated by skills and suppliers

Eiichi Tomiura, Banri Ito and Ryuhei Wakasugi

759: Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX

Isao Ishida, Michael McAleer and Kosuke Oya

758: Modelling and Forecasting Noisy Realized Volatility

Manabu Asai, Michael McAleer and Marcelo Medeiros

757: International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord

Michael McAleer, Juan-à ngel Jiménez-Martín and Teodosio Pérez-Amaral

756: How are Journal Impact, Prestige and Article Influence Related? An Application to Neuroscience

Chia-Lin Chang, Michael McAleer and Les Oxley

755: Investor Preferences for Oil Spot and Futures based on Mean-Variance and Stochastic Dominance

Hooi Hooi Lean, Michael McAleer and Wing-Keung Wong

754: Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors

Felix Chan, Michael McAleer and Marcelo C. Medeiros

753: REALIZED VOLATILITY RISK

David Allen, Michael McAleer and Marcel Scharth

752: Asymmetric Adjustments in the Ethanol and Grains Markets

Chia-Lin Chang, Li-Hsueh Chen, Shawkat Hammoudeh and Michael McAleer

751: Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies

Shawkat Hammoudeh, Yuan Yuan and Michael McAleer

750: Testing the Box-Cox Parameter for an Integrated Process

Jian Huang, Masahito Kobayashi and Michael McAleer

749: Decentralized Market Processes to Stable Job Matchings with Competitive Salaries

Bo Chen, Satoru Fujishige and Zaifu Yang

748: Pareto Improvement and Agenda Control of Sequential Financial Innovations

Chiaki Hara

747: Dynamic Conditional Correlations for Asymmetric Processes

Manabu Asai and Michael McAleer

746: What Makes a Great Journal Great in the Sciences? Which Came First, the Chicken or the Egg?

Chia-Lin Chang, Michael McAleer and Les Oxley

745: Optimal taxation and constrained inefficiency in an infinite-horizon economy with incomplete markets

Piero Gottardi, Atsushi Kajii and Tomoyuki Nakajima

744: Evaluating Combined Non-Replicable Forecasts

Chia-Lin Chang, Philip Hans Franses and Michael McAleer

743: Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat

742: Price-Based Combinatorial Auction Design: Representative Valuations

Hitoshi Matsushima

741: Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH

Massimiliano Caporin and Michael McAleer

740: The Impact of the European Union Emissions Trading Scheme on the Finnish Economy

Seiji Ikkatai, Ikuma Kurita and Katsuhiko Hori

739: Alternative Asymmetric Stochastic Volatility Models

Manabu Asai and Michael McAleer

738: Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models

Massimiliano Caporin and Michael McAleer

737: Journal Impact Factor Versus Eigenfactor and Article Influence

Chia-Lin Chang, Michael McAleer and Les Oxley

736: A Trinomial Test for Paired Data When There are Many Ties

Guorui Bian, Michael McAleer and Wing-Keung Wong

735: Robust Estimation and Forecasting of the Capital Asset Pricing Model

Guorui Bian, Michael McAleer and Wing-Keung Wong

734: Moment Restriction-based Econometric Methods: An Overview

Naoto Kunitomo, Michael McAleer and Yoshihiko Nishiyama

733: A DynamicModel of Conflict and Appropriation

Wolfgang Eggert, Jun-ichi Itaya and Kazuo Mino

732: Sustainable Public Debt, Credit Constraints, and Social Welfare

Real Arai and Takuma Kunieda

731: Imperfect Interbank Markets and the Lender of Last Resort

Tarishi Matsuoka

730: Habits and Endogenous Investment Fluctuations

Been-Lon Chen, Yu-Shan Hsu and Kazuo Mino

729: How Volatile is ENSO?

LanFen Chu, Michael McAleer and Chi-Chung Chen

728: Estimating the Impact of Whaling on Global Whale Watching

Hsiao-I Kuo, Chi-Chung Chen and Michael McAleer

727: GFC-Robust Risk Management Strategies under the Basel Accord

Michael McAleer, Juan-à ngel Jiménez-Martín and Teodosio Pérez-Amaral

726: Asymmetry and Long Memory in Volatility Modelling

Manabu Asai, Michael McAleer and Marcelo Medeiros

725: Estimating Price Effects in an Almost Ideal Demand Model of Outbound Thai Tourism to East Asia

Chia-Lin Chang, Thanchanok Khamkaew and Michael McAleer

724: Model Selection and Testing of Conditional and Stochastic Volatility Models

Massimiliano Caporin and Michael McAleer

723: Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns

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

722: Modeling the Effect of Oil Price on Global Fertilizer Prices

Ping-Yu Chen, Chia-Lin Chang, Chi-Chung Chen and Michael McAleer

721: Globalization and Knowledge Spillover: International Direct Investment, Exports and Patents

Chia-Lin Chang, Sung-Po Chen and Michael McAleer

720: How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan

Chia-Lin Chang, Philip Hans Franses and Michael McAleer

719: Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations

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

718: Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach

Hooi Hooi Lean, Michael McAleer and Wing-Keung Wong

717: Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets

Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat

716: Endogenous Voter Turnout and Income Redistribution

Go Kotera

715: Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns

Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat

714: Great Expectatrics: Great Papers, Great Journals, Great Econometrics

Chia-Lin Chang, Michael McAleer and Les Oxley

713: Inequality and Economic Development:The Role of Corruption

Nobuhiro Mizuno, Katsuyuki Naito and Ryosuke Okazawa