Discussion Papers

17-055/III - Theory and Application of an Economic Performance Measure of Risk

Authors: Cuizhen Niu, Beijing Normal University, China; Xu Guo, Beijing Normal University, China; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School, Australia; Erasmus University Rotterdam, The Netherlands;Complutense University of Madrid, Spain; Yokohama National University, Japan; Wing-Keung Wong, Beijing Normal University, China

Date: June 23, 2017

17-054/III - Grade Expectations: Rationality and Overconfidence

Authors: Jan R. Magnus, Vrije Universiteit Amsterdam and Tinbergen Institute, The Netherlands; Anatoly A. Peresetsky, National Research University Higher School of Economics, Moscow, Russia

Date: June 23, 2017

17-052/III - Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic Factors

Authors: Anastasios Zopiatis, Cyprus University of Technology, Cyprus; Christos S. Savva, Cyprus University of Technology, Cyprus; Neophytos Lambertides, Cyprus University of Technology, Cyprus; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School; Erasmus University Rotterdam, The Netherlands; Complutense University of Madrid, Spain and Yokohama National University, Japan

Date: June 09, 2017

17-051/III - Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA

Authors: Chia-Lin Chang, National Tsing Hua University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School; Erasmus University Rotterdam, The Netherlands, Complutense University of Madrid, Spain and Yokohama National University, Japan.; Guangdong Zuo, National Tsing Hua University, Taiwan

Date: May 31, 2017

17-050/III - Smooth Transition Spatial Autoregressive Models

Authors: Bo Pieter Johannes Andree, VU Amsterdam and Tinbergen Institute, The Netherlands; Francisco Blasques, VU Amsterdam and Tinbergen Institute, The Netherlands; Eric Koomen, VU Amsterdam, The Netherlands

Date: May 31, 2017

17-048/III - You've Got Email: A Workflow Management Extraction System

Authors: Piyanuch Chaipornkaew, Dhurakij Pundit University, Thailand; Takorn Prexawanprasut, Dhurakij Pundit University, Thailand; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School, Australia; Erasmus University Rotterdam, The Netherlands;Complutense University of Madrid, Spain; Yokohama National University, Japan

Date: May 23, 2017

17-047/III - Re-Opening the Silk Road to Transform Chinese Trade

Authors: Ning Mao, Dhurakij Pundit University, Bangkok, Thailand; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School, Australia; Erasmus School of Economics, Erasmus University Rotterdam, and Tinbergen Institute, The Netherlands; Complutense University of Madrid, Spain and Yokohama National Univ

Date: May 22, 2017

17-046/III - Recent Topical Research on Global, Energy, Health & Medical, and Tourism Economics, and Global Software

Authors: Chia-Lin Chang, Department of Applied Economics, Department of Finance, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School, Australia; Erasmus School of Economics, Erasmus University Rotterdam, and Tinbergen Institute, The Netherlands; Complutense University of Madrid, Spain and Yokohama National Univ

Date: May 22, 2017

17-039/III - A near optimal test for structural breaks when forecasting under square error loss

Authors: Tom Boot, University of Groningen; Andreas Pick, Erasmus University Rotterdam, De Nederlandsche Bank and CESifo Institute

Date: April 18, 2017

17-038/III - Realized Stochastic Volatility with General Asymmetry and Long Memory

Authors: Manabu Asai, Soka University, Japan; Chia-Lin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands;Complutense University of Madrid, Spain; Yokohama National University, Japan

Date: April 10, 2017

17-034/III - Interquantile Expectation Regression

Author: Sander Barendse, Erasmus University Rotterdam, The Netherlands

Date: March 20, 2017

17-032/III - Inference in high-dimensional linear regression models

Authors: Tom Boot, University of Groningen, The Netherlands; Didier Nibbering, Erasmus University Rotterdam, The Netherlands

Date: March 14, 2017

17-029/III - Weighted-Average Least Squares Estimation of Generalized Linear Models

Authors: Giuseppe de Luca, University of Palermo, Italy; Jan Magnus, VU Amsterdam, The Netherlands; Franco Peracchi, University Rome Tor Vergata, Italy

Date: February 27, 2017

17-022/III - Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models

Authors: Jinghui Chen, Yokohama National University, Japan; Masahito Kobayashi, Yokohama National University, Japan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands;Complutense University of Madrid, Spain; Yokohama National University, Japan

Date: February 13, 2017

17-017/III - Forecasting the Volatility of Nikkei 225 Futures

Authors: Manabu Asai, Soko University, Japan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands; Compultense University of Madrid, Spain

Date: January 30, 2017

17-015/III - The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions

Authors: Chia-Lin Chang, National Chung Hsing University; Michael McAleer, National Tsing Hua University, Erasmus University Rotterdam, Complutense University of Madrid, Yokohama National University

Date: March 07, 2018

17-014/III - Theravada Buddhism and Thai Luxury Fashion Consumption

Authors: Mao Ning, Dhurakij Pundit University Bangkok, Thailand; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands; Complutense University of Madrid, Spain; Yokohama National University, Japan

Date: January 23, 2017

17-013/III - A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies

Authors: David E. Allen, University of South Australia, University of Sydney, and Edith Cowan University, Australia; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands; Compultense University of Madrid, Spain; Yokohama National University, Japan; Abhay K. Singh, Edith Cowan University, Australia