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  1. Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA
    Autor*in: Chang, Chia-Lin; McAleer, Michael; Zuo, Guangdong
    Erschienen: [2017]
    Verlag:  [Econometric Institute, Erasmus School of Economics], [Rotterdam]

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    Weitere Identifier:
    hdl: 1765/100331
    Auflage/Ausgabe: Revised: May 2017
    Schriftenreihe: [Econometric Institute research papers] ; EI2017, 14
    Schlagworte: Treibhausgas-Emissionen; Ölpreis; Rohstoffpreis; Kohle; Spotmarkt; Futures; Volatilität; Spillover-Effekt; Hedging; Kausalanalyse; ARCH-Modell; EU-Staaten; USA
    Umfang: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  2. Realized stochastic volatility models with generalized Gegenbauer long memory
    Autor*in: Asai, Manabu; McAleer, Michael; Peiris, Shelton
    Erschienen: November 2017
    Verlag:  [Econometric Institute, Erasmus School of Economics], [Rotterdam]

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    Weitere Identifier:
    hdl: 1765/102576
    Schriftenreihe: [Econometric Institute research papers] ; EI2017, 29
    Schlagworte: Stochastische Volatilität; Saisonkomponente; Monte-Carlo-Simulation
    Umfang: 1 Online-Ressource (circa 25 Seiten), Illustrationen
  3. Specification testing of production in a stochastic frontier model
    Autor*in: Guo, Xu; Li, Gao-Rong; McAleer, Michael; Wong, Wing Keung
    Erschienen: [2017]
    Verlag:  [Econometric Institute, Erasmus School of Economics], [Rotterdam]

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    Weitere Identifier:
    hdl: 1765/102298
    Schriftenreihe: [Econometric Institute research papers] ; EI2017, 27
    Schlagworte: Technische Effizienz; Bootstrap-Verfahren; Glättungsverfahren; Statistischer Test; Simulation
    Umfang: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  4. A generalized email classification system for workflow analysis
    Autor*in: Chaipornkaew, Piyanuch; Prexawanprasut, Takorn; Chang, Chia-Lin; McAleer, Michael
    Erschienen: [2017]
    Verlag:  [Econometric Institute, Erasmus School of Economics], [Rotterdam]

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    Weitere Identifier:
    hdl: 1765/101762
    Auflage/Ausgabe: Revised: July 2017
    Schriftenreihe: [Econometric Institute research papers] ; EI2017, 21
    Schlagworte: E-Mail; Wirtschaftsdaten; Workflow-Management-System
    Umfang: 1 Online-Ressource (circa 20 Seiten), Illustrationen
  5. Theoretical and empirical differences between diagonal and full BEKK for risk management
    Autor*in: Allen, David E.; McAleer, Michael
    Erschienen: [2017]
    Verlag:  [Econometric Institute, Erasmus School of Economics], [Rotterdam]

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    Weitere Identifier:
    hdl: 1765/101765
    Schriftenreihe: [Econometric Institute research papers] ; EI2017, 22
    Schlagworte: ARCH-Modell; Kapitalmarktrendite; Zeitreihenanalyse
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  6. A tourism financial conditions index for tourism finance
    Autor*in: Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael
    Erschienen: [2017]
    Verlag:  [Econometric Institute, Erasmus School of Economics], [Rotterdam]

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    Weitere Identifier:
    hdl: 1765/101763
    Auflage/Ausgabe: Revised: August 2017
    Schriftenreihe: [Econometric Institute research papers] ; EI2017, 24
    Schlagworte: Tourismus; Wirtschaftsindikator; Index; Kapitalmarktrendite; Faktorenanalyse; Taiwan
    Umfang: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  7. Stationarity and invertibility of a dynamic correlation matrix
    Autor*in: McAleer, Michael
    Erschienen: [2017]
    Verlag:  [Econometric Institute, Erasmus School of Economics], [Rotterdam]

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    Weitere Identifier:
    hdl: 1765/101761
    Auflage/Ausgabe: Revised: September 2017
    Schriftenreihe: [Econometric Institute research papers] ; EI2017, 20
    Schlagworte: Korrelation; Stationarität; ARCH-Modell
    Umfang: 1 Online-Ressource (circa 19 Seiten)
  8. A new inequality measure that is sensitive to extreme values and asymmetries
    Autor*in: McAleer, Michael; Ryu, Hang-keun; Slottje, Daniel Jonathan
    Erschienen: [2017]
    Verlag:  [Econometric Institute, Erasmus School of Economics], [Rotterdam]

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    Weitere Identifier:
    hdl: 1765/102548
    Schriftenreihe: [Econometric Institute research papers] ; EI2017, 28
    Schlagworte: Einkommensverteilung; Index; Messung; Gini-Koeffizient; Lorenz-Kurve; USA
    Umfang: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  9. Specification testing of production in a stochastic frontier model
    Autor*in: Guo, Xu; Li, Gao-Rong; McAleer, Michael; Wong, Wing Keung
    Erschienen: 2017
    Verlag:  Tinbergen Institute, Amsterdam

    Parametric production frontier functions are frequently used in stochastic frontier models, but there do not seem to be any empirical test statistics for its plausibility. To bridge the gap in the literature, we develop two test statistics based on... mehr

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    Parametric production frontier functions are frequently used in stochastic frontier models, but there do not seem to be any empirical test statistics for its plausibility. To bridge the gap in the literature, we develop two test statistics based on local smoothing and an empirical process, respectively. Residual-based wild bootstrap versions of these two test statistics are also suggested. The distributions of technical inefficiency and the noise term are not specified, which allows specification testing of the production frontier function even under heteroscedasticity. Simulation studies and a real data example are presented to examine the finite sample sizes and powers of the test statistics. The theory developed in this paper is useful for production mangers in their decisions on production.

     
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    Weitere Identifier:
    hdl: 10419/177665
    Schriftenreihe: Array ; TI 2017, 097
    Schlagworte: Technische Effizienz; Bootstrap-Verfahren; Glättungsverfahren; Statistischer Test; Simulation
    Umfang: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  10. Recent topical research on global, energy, health & medical, and tourism economics, and global software
    Autor*in: Chang, Chia-Lin; McAleer, Michael
    Erschienen: May 2017
    Verlag:  [Econometric Institute, Erasmus School of Economics], [Rotterdam]

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    Weitere Identifier:
    hdl: 1765/100164
    Auflage/Ausgabe: Revised: May 2017
    Schriftenreihe: [Econometric Institute research papers] ; EI2017, 13
    Schlagworte: Außenwirtschaftstheorie; Energieökonomik; Gesundheitsökonomik; Tourismusökonomie; Softwareentwicklung
    Umfang: 1 Online-Ressource (circa 14 Seiten)
  11. Connecting VIX and stock index ETF
    Autor*in: Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael
    Erschienen: January 2017
    Verlag:  [Econometric Institute, Erasmus School of Economics], [Rotterdam]

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    Weitere Identifier:
    hdl: 1765/99516$4LF
    Auflage/Ausgabe: Revised: January 2017
    Schriftenreihe: [Econometric Institute research papers] ; EI2017, 07
    Schlagworte: Aktienindex; Volatilität; Index; Indexderivat; Kapitalmarktrendite; VAR-Modell; Europa; USA
    Umfang: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  12. The fiction of full BEKK
    Autor*in: Chang, Chia-Lin; McAleer, Michael
    Erschienen: January 2017
    Verlag:  [Econometric Institute, Erasmus School of Economics], [Rotterdam]

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    Weitere Identifier:
    hdl: 1765/99514
    Schriftenreihe: [Econometric Institute research papers] ; EI2017, 05
    Schlagworte: ARCH-Modell; Stochastischer Prozess
    Umfang: 1 Online-Ressource (circa 10 Seiten)
  13. Forecasting the volatility of Nikkei 225 futures
    Autor*in: Asai, Manabu; McAleer, Michael
    Erschienen: January 2017
    Verlag:  [Econometric Institute, Erasmus School of Economics], [Rotterdam]

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    hdl: 1765/99517
    Auflage/Ausgabe: Revised: January 2017
    Schriftenreihe: [Econometric Institute research papers] ; EI2017, 06
    Schlagworte: Futures; Kapitalmarktrendite; Volatilität; Prognoseverfahren; Japan
    Umfang: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  14. Realized stochastic volatility models with generalized Gegenbauer long memory
    Autor*in: Asai, Manabu; McAleer, Michael; Peiris, Shelton
    Erschienen: [2017]
    Verlag:  Tinbergen Institute, Amsterdam

    In recent years fractionally differenced processes have received a great deal of attention due to their flexibility in financial applications with long memory. In this paper, we develop a new realized stochastic volatility (RSV) model with general... mehr

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    In recent years fractionally differenced processes have received a great deal of attention due to their flexibility in financial applications with long memory. In this paper, we develop a new realized stochastic volatility (RSV) model with general Gegenbauer long memory (GGLM), which encompasses a new RSV model with seasonal long memory (SLM). The RSV model uses the information from returns and realized volatility measures simultaneously. The long memory structure of both models can describe unbounded peaks apart from the origin in the power spectrum. For estimating the RSV-GGLM model, we suggest estimating the location parameters for the peaks of the power spectrum in the first step, and the remaining parameters based on the Whittle likelihood in the second step. We conduct Monte Carlo experiments for investigating the finite sample properties of the estimators, with a quasi-likelihood ratio test of RSV-SLM model against the RSV-GGLM model. We apply the RSV-GGLM and RSV-SLM model to three stock market indices. The estimation and forecasting results indicate the adequacy of considering general long memory.

     
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    Weitere Identifier:
    hdl: 10419/177673
    Schriftenreihe: Array ; TI 2017, 105
    Schlagworte: Stochastische Volatilität; Saisonkomponente; Monte-Carlo-Simulation
    Umfang: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  15. A new inequality measure that is sensitive to extreme values and asymmetries
    Autor*in: McAleer, Michael; Ryu, Hang-keun; Slottje, Daniel Jonathan
    Erschienen: [2017]
    Verlag:  Tinbergen Institute, Amsterdam

    There is a vast literature on the selection of an appropriate index of income inequality and on what desirable properties such a measure (or index) should contain. The Gini index is, of course, the most popular. There is a concurrent literature on... mehr

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    There is a vast literature on the selection of an appropriate index of income inequality and on what desirable properties such a measure (or index) should contain. The Gini index is, of course, the most popular. There is a concurrent literature on the use of hypothetical statistical distributions to approximate and describe an observed distribution of incomes. Pareto and others observed early on that incomes tend to be heavily right-tailed in their distribution. These asymmetries led to approximating the observed income distributions with extreme value hypothetical statistical distributions, such as the Pareto distribution. But these income distribution functions (IDFs) continue to be described with a single index (such as the Gini) that poorly detect the extreme values present in the underlying empirical IDF. This paper introduces a new inequality measure to supplement, but not to replace, the Gini that measures more accurately the inherent asymmetries and extreme values that are present in observed income distributions. The new measure is based on a third-order term of a Legendre polynomial from the logarithm of a share function (or Lorenz curve). We advocate using the two measures together to provide a better description of inequality inherent in empirical income distributions with extreme values.

     
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    Weitere Identifier:
    hdl: 10419/177670
    Schriftenreihe: Array ; TI 2017, 102
    Schlagworte: Einkommensverteilung; Index; Messung; Gini-Koeffizient; Lorenz-Kurve; USA
    Umfang: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  16. A multi-criteria portfolio analysis of hedge fund strategies
    Autor*in: Allen, David E.; McAleer, Michael; Singh, Abhay Kumar
    Erschienen: [2017]
    Verlag:  Tinbergen Institute, Amsterdam

    This paper features a tri-criteria analysis of Eurekahedge fund data strategy index data. We use nine Eurekahedge equally weighted main strategy indices for the portfolio analysis. The tri-criteria analysis features three objectives: return, risk and... mehr

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    This paper features a tri-criteria analysis of Eurekahedge fund data strategy index data. We use nine Eurekahedge equally weighted main strategy indices for the portfolio analysis. The tri-criteria analysis features three objectives: return, risk and dispersion of risk objectives in a Multi-Criteria Optimisation (MCO) portfolio analysis. We vary the MCO return and risk targets and contrast the results with four more standard portfolio optimisation criteria, namely the tangency portfolio(MSR), the most diversified portfolio (MDP), the global minimum variance portfolio (GMW), and portfolios based on minimising expected shortfall (ERC). Backtests of the chosen portfolios for this hedge fund data set indicate that the use of MCO is accompanied by uncertainty about the a priori choice of optimal parameter settings for the decision criteria. The empirical results do not appear to outperform more standard bi-criteria portfolio analyses in the backtests undertaken on our hedge fund index data.

     
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    hdl: 10419/162279
    Schriftenreihe: Array ; TI 2017, 013
    Schlagworte: Portfolio-Management; Multikriterielle Entscheidungsanalyse; Hedgefonds; Evolutionärer Algorithmus
    Umfang: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  17. The fiction of Full BEKK
    Autor*in: Chang, Chia-Lin; McAleer, Michael
    Erschienen: January 2017
    Verlag:  Tinbergen Institute, Amsterdam

    The purpose of the paper is to show that univariate GARCH is not a special case of multivariate GARCH, specifically the Full BEKK model, except under parametric restrictions on the off-diagonal elements of the random coefficient autoregressive... mehr

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    The purpose of the paper is to show that univariate GARCH is not a special case of multivariate GARCH, specifically the Full BEKK model, except under parametric restrictions on the off-diagonal elements of the random coefficient autoregressive coefficient matrix, provides the regularity conditions that arise from the underlying random coefficient autoregressive process, and for which the (quasi-) maximum likelihood estimates have valid asymptotic properties under the appropriate parametric restrictions. The paper provides a discussion of the stochastic processes, regularity conditions, and asymptotic properties of univariate and multivariate GARCH models. It is shown that the Full BEKK model, which in practice is estimated almost exclusively, has no underlying stochastic process, regularity conditions, or asymptotic properties.

     
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    Weitere Identifier:
    hdl: 10419/162281
    Schriftenreihe: Array ; TI 2017, 015
    Schlagworte: ARCH-Modell; Stochastischer Prozess
    Umfang: 1 Online-Ressource (circa 12 Seiten)
  18. Forecasting the volatility of Nikkei 225 futures
    Autor*in: Asai, Manabu; McAleer, Michael
    Erschienen: January 2017
    Verlag:  Tinbergen Institute, Amsterdam

    For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers the... mehr

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    For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers the stochastic volatility model with asymmetry and long memory, using high frequency data for the underlying asset. Empirical results for Nikkei 225 futures indicate that the adjusted R2 supports the appropriateness of the indirect method, and that the new method based on stochastic volatility models with the asymmetry and long memory outperforms the forecasting model based on the direct method using the pseudo long time series.

     
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    Weitere Identifier:
    hdl: 10419/162283
    Auflage/Ausgabe: Revised: January 2017
    Schriftenreihe: Array ; TI 2017, 017
    Schlagworte: Futures; Kapitalmarktrendite; Volatilität; Prognoseverfahren; Japan
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  19. Testing for volatility co-movement in bivariate stochastic volatility models
    Autor*in: Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael
    Erschienen: 2017
    Verlag:  Tinbergen Institute, Amsterdam

    The paper considers the problem of volatility co-movement, namely as to whether two financial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which checks... mehr

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    The paper considers the problem of volatility co-movement, namely as to whether two financial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which checks the volatility co-movement. The proposed test is a stochastic volatility version of the co-movement test proposed by Engle and Susmel (1993), who investigated whether international equity markets have volatility co-movement using the framework of the ARCH model. In empirical analysis we found that volatility co-movement exists among closelylinked stock markets and that volatility co-movement of the exchange rate markets tends to be found when the overall volatility level is low, which is contrasting to the often-cited finding in the financial contagion literature that financial returns have co-movement in the level during the financial crisis.

     
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    hdl: 10419/162288
    Auflage/Ausgabe: Revised: February 2017
    Schriftenreihe: Array ; TI 2017, 022
    Schlagworte: Stochastische Volatilität; Monte-Carlo-Simulation; Aktienmarkt; Devisenmarkt; Finanzkrise; Ansteckungseffekt; Welt
    Umfang: 1 Online-Ressource (circa 32 Seiten)
  20. Realized stochastic volatility with general asymmetry and long memory
    Autor*in: Asai, Manabu; Chang, Chia-Lin; McAleer, Michael
    Erschienen: 2017
    Verlag:  Tinbergen Institute, Amsterdam

    The paper develops a novel realized stochastic volatility model of asset returns and realized volatility that incorporates general asymmetry and long memory (hereafter the RSV-GALM model). The contribution of the paper ties in with Robert Basmann's... mehr

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    DS 432 (2017,38)
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    The paper develops a novel realized stochastic volatility model of asset returns and realized volatility that incorporates general asymmetry and long memory (hereafter the RSV-GALM model). The contribution of the paper ties in with Robert Basmann's seminal work in terms of the estimation of highly non-linear model specifications ("Causality tests and observationally equivalent representations of econometric models", Journal of Econometrics, 1988), especially for specifying causal effects from returns to future volatility. This paper discusses asymptotic results of a Whittle likelihood estimator for the RSV-GALM model and a test for general asymmetry, and analyses the finite sample properties. The paper also develops an approach to obtain volatility estimates and out-of-sample forecasts. Using high frequency data for three US financial assets, the new model is estimated and evaluated. The paper compares the forecasting performance of the new model with a realized conditional volatility model.

     
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/162304
    Auflage/Ausgabe: Revised: April 2017
    Schriftenreihe: Array ; TI 2017, 038
    Schlagworte: Stochastische Volatilität; Monte-Carlo-Simulation; ARCH-Modell; Kapitalmarktrendite; USA
    Umfang: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  21. Theory and application of an economic performance measure of risk
    Autor*in: Niu, Cuizhen; Guo, Xu; McAleer, Michael; Wong, Wing Keung
    Erschienen: June 15, 2017
    Verlag:  Tinbergen Institute, Amsterdam

    Homm and Pigorsch (2012a) use the Aumann and Serrano index to develop a new economic performance measure (EPM), which is well known to have advantages over other measures. In this paper, we extend the theory by constructing a one-sample confidence... mehr

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    Homm and Pigorsch (2012a) use the Aumann and Serrano index to develop a new economic performance measure (EPM), which is well known to have advantages over other measures. In this paper, we extend the theory by constructing a one-sample confidence interval of EPM, and construct confidence intervals for the dfference of EPMs for two independent samples. We also derive the asymptotic distribution for EPM and for the dfference of two EPMs when the samples are independent. We conduct simulations to show the proposed theory performs well for one and two independent samples. The simulations show that the proposed approach is robust in the dependent case. The theory developed is used to construct both one-sample and two-sample confidence intervals of EPMs for Singapore and USA stock indices.

     
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    Format: Online
    Weitere Identifier:
    hdl: 10419/177623
    Schriftenreihe: Array ; TI 2017, 055
    Umfang: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  22. The correct regularity condition and interpretation of asymmetry in EGARCH
    Autor*in: Chang, Chia-Lin; McAleer, Michael
    Erschienen: June 2017
    Verlag:  Tinbergen Institute, Amsterdam

    In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten,... mehr

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    In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or EGARCH) model of Nelson (1990, 1991). For purposes of deriving the mathematical regularity properties, including invertibility, to determine the likelihood function for estimation, and the statistical conditions to establish asymptotic properties, it is convenient to understand the stochastic properties underlying the three univariate models. The random coefficient autoregressive process was used to obtain GARCH by Tsay (1987), an extension of which was used by McAleer (2004) to obtain GJR. A random coefficient complex nonlinear moving average process was used by McAleer and Hafner (2014) to obtain EGARCH. These models can be used to capture asymmetry, which denotes the different effects on conditional volatility of positive and negative effects of equal magnitude, and possibly also leverage, which is the negative correlation between returns shocks and subsequent shocks to volatility (see Black 1979). McAleer (2014) showed that asymmetry was possible for GJR, but not leverage. McAleer and Hafner showed that leverage was not possible for EGARCH. Surprisingly, the conditions for asymmetry in EGARCH seem to have been ignored in the literature, or have concentrated on the incorrect conditions, with no clear explanation, and hence with associated misleading interpretations. The purpose of the paper is to derive the regularity condition for asymmetry in EGARCH to provide the correct interpretation. It is shown that, in practice, EGARCH always displays asymmetry, though not leverage.

     
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    Weitere Identifier:
    hdl: 10419/177624
    Schriftenreihe: Array ; TI 2017, 056
    Umfang: 1 Online-Ressource (circa 11 Seiten)
  23. Impact of psychological needs on luxury consumption
    Autor*in: Mao, Ning; McAleer, Michael; Bai, Shuyu
    Erschienen: July 2017
    Verlag:  Tinbergen Institute, Amsterdam

    This paper examines the impact of psychological needs on luxury consumption. Veblen's Theory of the Leisure Class (1899) invented the term "conspicuous consumption" to describe luxury goods and services, in which Veblen indicated the purpose of... mehr

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    This paper examines the impact of psychological needs on luxury consumption. Veblen's Theory of the Leisure Class (1899) invented the term "conspicuous consumption" to describe luxury goods and services, in which Veblen indicated the purpose of luxury consumption was to display wealth and social status. This paper integrates the following two papers: (1) Han and Zhou (2002), who proposed an integrative model, and argued that three variables, namely Country-of-Origin, Brand Name, and Price, were major predictors for overall product evaluation and purchase intentions; and (2) Han, Nunes and Dreze (2010), who proposed a taxonomy called The Luxury 4Ps, to explain the inductive and deductive psychological needs of luxury consumption.

     
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    Weitere Identifier:
    hdl: 10419/177631
    Schriftenreihe: Array ; TI 2017, 063
    Schlagworte: Konsumentenverhalten; Psychologie; Luxusgüter
    Umfang: 1 Online-Ressource (circa 13 Seiten)
  24. A generalized Email classification system for workflow analysis
    Autor*in: Chaipornkaew, Piyanuch; Prexawanprasut, Takorn; Chang, Chia-Lin; McAleer, Michael
    Erschienen: 2017
    Verlag:  Tinbergen Institute, Amsterdam

    One of the most powerful internet communication channels is email. As employees and their clients communicate primarily via email, much crucial business data is conveyed via email content. Where businesses are understandably concerned, they need a... mehr

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    One of the most powerful internet communication channels is email. As employees and their clients communicate primarily via email, much crucial business data is conveyed via email content. Where businesses are understandably concerned, they need a sophisticated workflow management system to manage their transactions. A workflow management system should also be able to classify any incoming emails into suitable categories. Previous research has implemented a system to categorize emails based on the words found in email messages. Two parameters affected the accuracy of the program, namely the number of words in a database compared with sample emails, and an acceptable percentage for classifying emails. As the volume of email has become larger and more sophisticated, this research classifies email messages into a larger number of categories and changes a parameter that affects the accuracy of the program. The first parameter, namely the number of words in a database compared with sample emails, remains unchanged, while the second parameter is changed from an acceptable percentage to the number of matching words. The empirical results suggest that the number of words in a database compared with sample emails is 11, and the number of matching words to categorize emails is 7. When these settings are applied to categorize 12,465 emails, the accuracy of this experiment is approximately 65.3%. The optimal number of words that yields high accuracy levels lies between 11 and 13, while the number of matching words lies between 6 and 8.

     
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    Weitere Identifier:
    hdl: 10419/177634
    Auflage/Ausgabe: This version: revised July 2017
    Schriftenreihe: Array ; TI 2017, 066
    Schlagworte: E-Mail; Wirtschaftsdaten; Workflow-Management-System
    Umfang: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  25. Theoretical and empirical differences between diagonal and full Bekk for risk management
    Autor*in: Allen, David E.; McAleer, Michael
    Erschienen: 2017
    Verlag:  Tinbergen Institute, Amsterdam

    The purpose of the paper is to explore the relative biases in the estimation of the Full BEKK model as compared with the Diagonal BEKK model, which is used as a theoretical and empirical benchmark. Chang and McAleer [4] show that univariate GARCH is... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 432 (2017,69)
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    The purpose of the paper is to explore the relative biases in the estimation of the Full BEKK model as compared with the Diagonal BEKK model, which is used as a theoretical and empirical benchmark. Chang and McAleer [4] show that univariate GARCH is not a special case of multivariate ARCH, specifically, the Full BEKK model, and demonstrate that Full BEKK which, in practice, is estimated almost exclusively, has no underlying stochastic process, regularity conditions, or asymptotic properties. Diagonal BEKK (DBEKK) does not suffer from these limitations, and hence provides a suitable benchmark. We use simulated financial returns series to contrast estimates of the conditional variances and covariances from DBEKK and BEKK. The results of non-parametric tests suggest evidence of considerable bias in the Full BEKK estimates. The results of quantile regression analysis show there is a systematic relationship between the two sets of estimates as we move across the quantiles. Estimates of conditional variances from Full BEKK, relative to those from DBEKK, are lower in the left tail and higher in the right tail.

     
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    Weitere Identifier:
    hdl: 10419/177637
    Schriftenreihe: Array ; TI 2017, 069
    Schlagworte: ARCH-Modell; Kapitalmarktrendite; Zeitreihenanalyse
    Umfang: 1 Online-Ressource (circa 30 Seiten), Illustrationen