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Displaying results 1 to 25 of 45.

  1. Machine news and volatility
    the Dow Jones Industrial Average and the TRNA sentiment series
    Author: Allen, David E.; McAleer, Michael; Singh, Abhay Kumar
    Published: 2014
    Publisher:  Tinbergen Inst., Rotterdam [u.a.]

    This paper features an analysis of the relationship between the volatility of the Dow Jones Industrial Average (DJIA) Index and a sentiment news series using daily data obtained from the Thomson Reuters News Analytics (TRNA) provided by SIRCA (The... more

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    This paper features an analysis of the relationship between the volatility of the Dow Jones Industrial Average (DJIA) Index and a sentiment news series using daily data obtained from the Thomson Reuters News Analytics (TRNA) provided by SIRCA (The Securities Industry Research Centre of the Asia Pacific). The expansion of on-line financial news sources, such as internet news and social media sources, provides instantaneous access to financial news. Commercial agencies have started developing their own filtered financial news feeds, which are used by investors and traders to support their algorithmic trading strategies. In this paper we use a sentiment series, developed by TRNA, to construct a series of daily sentiment scores for Dow Jones Industrial Average (DJIA) stock index component companies. A variety of forms of this measure, namely basic scores, absolute values of the series, squared values of the series, and the first differences of the series, are used to estimate three standard volatility models, namely GARCH, EGARCH and GJR. We use these alternative daily DJIA market sentiment scores to examine the relationship between financial news sentiment scores and the volatility of the DJIA return series. We demonstrate how this calibration of machine filtered news can improve volatility measures.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/98873
    Series: Array ; 2014,014
    Scope: Online-Ressource (18 S.), graph. Darst.
  2. Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay
    Author: McAleer, Michael
    Published: 2014
    Publisher:  Tinbergen Inst., Rotterdam [u.a.]

    This note discusses some aspects of the paper by Hu and Tsay (2014), "Principal Volatility Component Analysis". The key issues are considered, and are also related to existing conditional covariance and correlation models. Some caveats are given... more

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    This note discusses some aspects of the paper by Hu and Tsay (2014), "Principal Volatility Component Analysis". The key issues are considered, and are also related to existing conditional covariance and correlation models. Some caveats are given about multivariate models of time-varying conditional covariance and correlation models.

     
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    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/98902
    Series: Array ; 2014-025
    Scope: Online-Ressource (7 S.)
  3. Ranking economics and econometrics ISI journals by quality weighted citations
    Author: Chang, Chia-Lin; McAleer, Michael
    Published: 2014
    Publisher:  Tinbergen Inst., Rotterdam [u.a.]

    The paper analyses academic journal quality and impact using quality weighted citations that are based on the widely-used Thomson Reuters ISI Web of Science citations database (ISI). A recently developed Index of Citations Quality (ICQ), based on... more

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    The paper analyses academic journal quality and impact using quality weighted citations that are based on the widely-used Thomson Reuters ISI Web of Science citations database (ISI). A recently developed Index of Citations Quality (ICQ), based on quality weighted citations, is used to analyse the top 276 Economics and top 10 Econometrics journals in the ISI Economics category using alternative quantifiable Research Assessment Measures (RAMs). It is shown that ICQ is a useful additional measure to the 2-Year Impact Factor (2YIF) and other well known RAMs available in ISI for the purpose of evaluating journal impact and quality, as well as ranking, of Economics and Econometrics journals as it contains information that has very low correlations with the information contained in alternative well-known RAMs. Among other findings, the top Econometrics journals have some of the highest ICQ scores in the ISI category of Economics.

     
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    Other identifier:
    hdl: 10419/98905
    Series: Array ; 2014-026
    Scope: Online-Ressource (26 S.)
  4. Ranking leading econometrics journals using citations data from ISI and RePEc
    Author: Chang, Chia-Lin; McAleer, Michael
    Published: 2014
    Publisher:  Dept. of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, N.Z

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Series: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; 2014,01
    Scope: Online-Ressource (24 S.)
  5. The maximum number of parameters for the Hausman test when the estimators are from different sets of equations
    Author: Nawata, Kazumitsu; McAleer, Michael
    Published: 2014
    Publisher:  Dept. of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, N.Z

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    Series: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; 2014,02
    Scope: Online-Ressourc (14 S.)
  6. A tourism conditions index
    Author: Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael
    Published: 2014
    Publisher:  Dept. of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, N.Z

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    Format: Online
    Series: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; 2014,03
    Scope: Online-Ressource (30 S.)
  7. Machine news and volatility
    the Dow Jones industrial average and the TRNA sentiment series
    Author: Allen, David E.; McAleer, Michael; Singh, Abhay Kumar
    Published: 2014
    Publisher:  Dept. of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, N.Z

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Series: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; 2014,04
    Scope: Online-Ressource (20 S.)
  8. Quality weighted citations versus total citations in the sciences and social sciences
    Author: Chang, Chia-Lin; McAleer, Michael
    Published: 2014
    Publisher:  Tinbergen Inst., Rotterdam [u.a.]

    The paper analyses academic journal quality and research impact using quality weighted citations versus total citations, based on the widely-used Thomson Reuters ISI Web of Science citations database (ISI). A new Index of Citations Quality (ICQ) is... more

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    The paper analyses academic journal quality and research impact using quality weighted citations versus total citations, based on the widely-used Thomson Reuters ISI Web of Science citations database (ISI). A new Index of Citations Quality (ICQ) is presented, based on quality weighted citations. The new index is used to analyse the leading 500 journals in both the Sciences and Social Sciences using quantifiable Research Assessment Measures (RAMs) that are based on alternative transformations of citations. It is shown that ICQ is a useful additional measure to 2YIF and other well known RAMs for the purpose of evaluating the impact and quality, as well as ranking, of journals as it contains information that has very low correlations with the information contained in the well known RAMs for both the Sciences and Social Sciences.

     
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    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/98899
    Series: Array ; 2014,023
    Subjects: Zitationsanalyse; Zeitschriftenranking; Methodologie; Naturwissenschaft; Sozialwissenschaft
    Scope: Online-Ressource (54 S.)
  9. Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
    Author: Asai, Manabu; McAleer, Michael
    Published: 2014
    Publisher:  Tinbergen Inst., Rotterdam [u.a.]

    Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures... more

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    Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures that accommodates asymmetry and long memory. Using the basic structure of the fMSV model, the authors extend the dynamic correlation MSV model, the conditional/stochastic Wishart autoregressive models, the matrix-exponential MSV model, and the Cholesky MSV model. Empirical results for 7 financial asset returns for US stock returns indicate that the new fMSV models outperform existing dynamic conditional correlation models for forecasting future covariances. Among the new fMSV models, the Cholesky MSV model with long memory and asymmetry shows stable and better forecasting performance for one-day, five-day and ten-day horizons in the periods before, during and after the global financial crisis.

     
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    Other identifier:
    hdl: 10419/98872
    Series: Array ; 2014-037
    Scope: Online-Ressource (38 S.), graph. Darst.
  10. Ranking economics and econometrics ISI journals by quality weighted citations
    Author: Chang, Chia-Lin; McAleer, Michael
    Published: 2014
    Publisher:  Dept. of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, N.Z

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    VS 92 (2014,7)
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    Format: Online
    Series: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; 2014,07
    Scope: Online-Ressource (26 S.)
  11. Quality weighted citations versus total citations in the sciences and social sciences
    Author: Chang, Chia-Lin; McAleer, Michael
    Published: 2014
    Publisher:  Dept. of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, N.Z

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    VS 92 (2014,8)
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    Format: Online
    Series: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; 2014,08
    Subjects: Zitationsanalyse; Zeitschriftenranking; Methodologie; Naturwissenschaft; Sozialwissenschaft
    Scope: Online-Ressource (54 S.)
  12. Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay
    Author: McAleer, Michael
    Published: 2014
    Publisher:  Dept. of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, N.Z

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    VS 92 (2014,9)
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    Format: Online
    Series: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; 2014,09
    Scope: Online-Ressource (7 S.)
  13. Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
    Author: Asai, Manabu; McAleer, Michael
    Published: 2014
    Publisher:  Dept. of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, N.Z

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    VS 92 (2014,10)
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    Format: Online
    Series: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; 2014,10
    Scope: Online-Ressource (38 S.)
  14. A Tourism Conditions Index
    Author: Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael
    Published: 2014
    Publisher:  Tinbergen Inst., Rotterdam [u.a.]

    This paper uses monthly data from April 2005 to August 2013 for Taiwan to propose a novel tourism indicator, namely the Tourism Conditions Index (TCI). TCI accounts for the spillover weights based on the Granger causality test and estimates of the... more

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    This paper uses monthly data from April 2005 to August 2013 for Taiwan to propose a novel tourism indicator, namely the Tourism Conditions Index (TCI). TCI accounts for the spillover weights based on the Granger causality test and estimates of the multivariate BEKK model for four TCI indicators to predict specific tourism and economic environmental indicators for Taiwan. The foundation of the TCI is the Financial Conditions Index (FCI), which is derived from the Monetary Conditions Index (MCI). The empirical findings show that TCI weighted by spillovers reveal greater significance in forecasting the Composite Index (CI), an economic environmental indicator, than the Tourism Industry Index (TII), which is an existing indicator for the tourism industry that is listed on the Taiwan Stock Exchange (TWSE). Moreover, previous values of the alternative TCI and TII are shown to contain useful information in predicting both tourism and economic environmental factors. Overall, the new Tourism Conditions Index is straightforward to use and also provides useful insights in predicting tourism arrivals and the current economic environment.

     
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    Format: Online
    Other identifier:
    hdl: 10419/89249
    Series: Array ; 2014,007
    Scope: Online-Ressource (30 S.), graph. Darst.
  15. Econometric analysis of financial derivatives
    an overview
    Author: Chang, Chia-Lin; McAleer, Michael
    Published: 2014
    Publisher:  Dept. of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, N.Z

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Series: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; 2014,29
    Subjects: Derivat; Kapitalmarktrendite; Börsenkurs; Volatilität; Stochastischer Prozess; Risikoprämie; Statistische Verteilung; Terminbörse; Optionsgeschäft
    Scope: Online-Ressource (20 S.)
  16. Just how good are the top three journals in finance?
    an assessment based on quantity and quality citations
    Author: Chang, Chia-Lin; McAleer, Michael
    Published: 2014
    Publisher:  Econometric Institute, Rotterdam

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    VS 57 (2014,18)
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    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 1765/51744
    Series: Econometric Institute report EI ; 2014-18
    Subjects: Wirtschaftszeitschrift; Bibliometrie; Ranking-Verfahren
    Scope: Online-Ressource (36 S.)
  17. Survival analysis of very low birth weight infant mortality in Taiwan
    Author: Chang, Chia-Lin; Chen, Wei-Chen; McAleer, Michael
    Published: 2014
    Publisher:  Econometric Institute, Rotterdam

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    VS 57 (2014,19)
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    hdl: 1765/51743
    Series: Econometric Institute report EI ; 2014-19
    Subjects: Geburt; Körpergewicht; Kindersterblichkeit; Taiwan
    Scope: Online-Ressource (39 S.)
  18. A one line derivation of EGARCH
    Author: McAleer, Michael; Hafner, Christian M.
    Published: 2014
    Publisher:  Econometric Institute, Rotterdam

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    VS 57 (2014,20)
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    Other identifier:
    hdl: 1765/51742
    Series: Econometric Institute report EI ; 2014-20
    Subjects: ARCH-Modell; Schätzung; Kapitalmarktrendite; Börsenkurs; Volatilität; Stochastischer Prozess
    Scope: Online-Ressource (8 S.)
  19. On the Invertibility of EGARCH
    Author: Martinet, Guillaume Gaetan; McAleer, Michael
    Published: 2014
    Publisher:  Econometric Institute, Rotterdam

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    VS 57 (2014,22)
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    Other identifier:
    hdl: 1765/51750
    Series: Econometric Institute report EI ; 2014-22
    Subjects: ARCH-Modell; Schätzung; Kapitalmarktrendite; Börsenkurs; Volatilität; Stochastischer Prozess
    Scope: Online-Ressource (14 S.)
  20. Risk measurement and risk modelling using applications of vine copulas
    Author: Allen, David E.; McAleer, Michael; Singh, Abhay Kumar
    Published: 2014
    Publisher:  Dept. of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, N.Z

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    Series: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; 2014,12
    Scope: Online-Ressource (30 S.)
  21. A tourism financial conditions index
    Author: Chang, Chia-Lin; Hsu, Hui-kuang; McAleer, Michael
    Published: 2014
    Publisher:  Dept. of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, N.Z

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    Format: Online
    Series: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; 2014,13
    Scope: Online-Ressource (26 S.)
  22. Just how good are the top three journals in finance?
    an assessment based on quantity and quality citations
    Author: Chang, Chia-Lin; McAleer, Michael
    Published: 2014
    Publisher:  Dept. of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, N.Z

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Format: Online
    Series: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; 2014,14
    Subjects: Wirtschaftszeitschrift; Bibliometrie; Ranking-Verfahren
    Scope: Online-Ressource (36 S.)
  23. Survival analysis of very low birth weight infant mortality in Taiwan
    Author: Chang, Chia-Lin; Chen, Wei-chen; McAleer, Michael
    Published: 2014
    Publisher:  Dept. of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, N.Z

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    VS 92 (2014,15)
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    Format: Online
    Series: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; 2014,15
    Subjects: Geburt; Körpergewicht; Kindersterblichkeit; Taiwan
    Scope: Online-Ressource (39 S.)
  24. A one line derivation of EGARCH
    Author: McAleer, Michael; Hafner, Christian M.
    Published: 2014
    Publisher:  Dept. of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, N.Z

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    VS 92 (2014,16)
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    Series: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; 2014,16
    Subjects: ARCH-Modell; Schätzung; Kapitalmarktrendite; Börsenkurs; Volatilität; Stochastischer Prozess
    Scope: Online-Ressource (8 S.)
  25. Advances in financial risk management and economic policy uncertainty
    an overview
    Author: Hammoudeh, Shawkat; McAleer, Michael
    Published: 2014
    Publisher:  Dept. of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, N.Z

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Series: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; 2014,17
    Scope: Online-Ressource (26 S.)