Documentos de Trabajo del ICAE

From Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
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1208: Risk Management and Financial Derivatives: An Overview

Shawkat Hammoudeh and Michael McAleer

1207: Currency Hedging Strategies Using Dynamic Multivariate GARCH

Chia-Lin Chang, Lydia González-Serrano and Juan Jimenez-Martin

1206: Robust Ranking of Multivariate GARCH Models by Problem Dimension

Massimiliano Caporin and Michael McAleer

1205: Robust Ranking of Journal Quality: An Application to Economics

Chia-Lin Chang, Esfandiar Maasoumi and Michael McAleer

1204: Minimally Conditioned Likelihood for a Nonstationary State Space Model

José Casals, Sonia Sotoca and Miguel Jerez

1203: Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models

Manabu Asai, Massimiliano Caporin and Michael McAleer

1202: Estimating Price Effects in an Almost Ideal Demand Model of Outbound Thai Tourism to East Asia

Chia-Lin Chang, Thanchanok Khamkaew and Michael McAleer

1201: What do Experts Know About Ranking Journal Quality? A Comparison with ISI Research Impact in Finance

Chia-Lin Chang and Michael McAleer

1139: How Should Journal Quality be Ranked? An Application to Agricultural, Energy, Environmental and Resource Economics

Chia-Lin Chang and Michael McAleer

1138: Volatility Spillovers from the Chinese Stock Market to Economic Neighbours

David Allen, Ron Amram and Michael McAleer

1137: Determinants of trading activity after rating actions in the Corporate Debt Market

Pilar Abad, Antonio Diaz and M. Dolores Robles-Fernandez

1136: Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence

Pilar Abad, Antonio Diaz and M. Dolores Robles-Fernandez

1135: The Rise and Fall of S&P500 Variance Futures

Chia-Lin Chang, Juan Jimenez-Martin, Michael McAleer and Teodosio Pérez-Amaral

1134: Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns

Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat

1133: Currency Hedging Strategies Using Dynamic Multivariate GARCH

Chia-Lin Chang, Lydia González-Serrano and Juan Jimenez-Martin

1132: Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures

Roberto Casarin, Chia-Lin Chang, Juan Jimenez-Martin, Michael McAleer and Teodosio Pérez-Amaral

1131: Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan

Chia-Lin Chang, Michael McAleer and Christine Lim

1130: Dynamic Conditional Correlations for Asymmetric Processes

Manabu Asai and Michael McAleer

1129: Asymmetry and Long Memory in Volatility Modelling

Manabu Asai, Michael McAleer and Marcelo Medeiros

1128: Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan

Chia-Lin Chang, Michael McAleer and Christine Lim

1127: GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies

Paulo Araújo Santos, Juan Jimenez-Martin, Michael McAleer and Teodosio Pérez-Amaral

1126: Citations and Impact of ISI Tourism and Hospitality Journals

Chia-Lin Chang and Michael McAleer

1125: How are Journal Impact, Prestige and Article Influence Related? An Application to Neuroscience

Chia-Lin Chang, Michael McAleer and Les Oxley

1124: Analyzing Fixed-event Forecast Revisions

Philip Hans Franses, Chia-Lin Chang and Michael McAleer

1123: Estimating the Impact of Whaling on Global Whale Watching

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

1122: Convergence and Cointegration

Alfredo Garcia-Hiernaux and David Guerrero

1121: How Volatile is ENSO?

LanFen Chu, Michael McAleer and Chi-Chung Chen

1120: Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation

Massimiliano Caporin and Michael McAleer

1119: Testing the Box-Cox Parameter for an Integrated Process

Jian Huang, Masahito Kobayashi and Michael McAleer

1118: The Dynamics of Energy-Grain Prices with Open Interest

Shawkat Hammoudeh, Soodabeh Sarafrazi, Chia-Lin Chang and Michael McAleer

1117: 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

1116: Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range

Cathy W. S. Chen, Richard Gerlach, Bruce B. K. Hwang and Michael McAleer

1115: Evaluating Individual and Mean Non-Replicable Forecasts

Chia-Lin Chang, Philip Hans Franses and Michael McAleer

1114: Great Expectatrics: Great Papers, Great Journals, Great Econometrics

Chia-Lin Chang, Michael McAleer and Les Oxley

1113: Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates

Chia-Lin Chang and Michael McAleer

1112: Risk Spillovers in Oil-Related CDS, Stock and Credit Markets

Shawkat Hammoudeh, Teng Dong Liu, Chia-Lin Chang and Michael McAleer

1111: Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments

Philip Hans Franses, Michael McAleer and Rianne Legerstee:

1110: Causality Between Market Liquidity and Depth for Energy and Grains

Ramazan Sarı, Shawkat Hammoudeh, Chia-Lin Chang and Michael McAleer

1109: Modelling and Forecasting Noisy Realized Volatility

Manabu Asai, Michael McAleer and Marcelo Medeiros

1108: Variance Swaps and Intertemporal Asset Pricing

Belén Nieto, Alfonso Novales and Gonzalo Rubio

1107: A statistical test for forecast evaluation under a discrete loss function

Francisco J. Eransus and Alfonso Novales

1106: Why do variance swaps exist?

Belén Nieto, Alfonso Novales and Gonzalo Rubio

1105: An impure public good model with lotteries in large grou

Antonio Cabrales and Haydée Lugo

1104: Risk Management of Precious Metals

Shawkat Hammoudeh, Farooq Malik and Michael McAleer

1103: Are Forecast Updates Progressive?

Chia-Lin Chang, Philip Hans Franses and Michael McAleer

1102: Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures

Chia-Lin Chang, Juan Jimenez-Martin, Michael McAleer and Teodosio Pérez-Amaral

1101: International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord

Michael McAleer, Juan Jimenez-Martin and Teodosio Pérez-Amaral

1004: Some results on stability concepts for matching models

Ester Camiña

1003: Housing investment in Spain: has it been the main engine of growth?

Carolina Cosculluela-Martínez and Rafael Flores de Frutos

1002: From general State-Space to VARMAX models

José Casals Carro, Alfredo Garcia-Hiernaux and Miguel Jerez