62 Discussion Papers

• 13-047/III - GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts

  Authors: David Ardia, Universite Laval, Quebec, Canada; Lennart Hoogerheide, VU University Amsterdam

  Date: March 21, 2013

• 13-041/III - Prediction Bias Correction for Dynamic Term Structure Models

  Author: Eran Raviv, Erasmus University Rotterdam

  Date: March 07, 2013

• 13-040/III - Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence

  Authors: Chia-Lin Chang, National Chung Hsing University Taichung, Taiwan; Michael McAleer, Erasmus School of Economics, Erasmus University Rotterdam, Complutense University of Madrid, and Institute of Economic Research, Kyoto University;; Les Oxley, University of Waikato, New Zealand

  Date: March 04, 2013

• 13-036/III - Robust Estimation and Forecasting of the Capital Asset Pricing Model

  Authors: Guorui Bian, East China Normal University; Michael McAleer, Erasmus University Rotterdam, Kyoto University, Complutense University of Madrid; Wing-Keung Wong, Hong Kong Baptist University

  Date: March 04, 2013

• 13-029/III - What do Experts know about Forecasting Journal Quality? A Comparison with ISI Research Impact in Finance

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

  Date: February 18, 2013

• 13-025/III - A Fractionally Integrated Wishart Stochastic Volatility Model

  Authors: Manabu Asai, Soka University, Japan, and University of Pennsylvania; Michael McAleer, Erasmus School of Economics, Kyoto University, Japan, and Complutense University of Madrid, Spain

  Date: January 31, 2013

• 13-024/III - Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility

  Authors: Ping-Yu Chen, National Chung Hsing University, Taiwan; Chia-Lin Chang, National Chung Hsing University, Taiwan; Chi-Chung Chen, National Chung Hsing University, Taiwan; Michael McAleer, Erasmus University Rotterdam, Kyoto University, Japan, and Complutense University of Madrid, Spain

  Date: January 25, 2013

• 13-022/III - Financial Dependence Analysis: Applications of Vine Copulae

  Authors: David E. Allen, Edith Cowan University, Australia; Mohammad A. Ashraf, Indian Institute of Technology, Kharagpur, India; Michael McAleer, Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain, and Kyoto University, Japan; Robert J. Powell, Edith Cowan University, Australia; Abhay K. Singh, Edith Cowan University, Australia

  Date: January 22, 2013

• 13-021/III - Recent Developments in Financial Economics and Econometrics: An Overview

  Authors: Chia-Lin Chang, National Chung Hsing University, Taiwan; David Allen, Edith Cowan University, Australia; Michael McAleer, Erasmus University Rotterdam, Complutense University of Madrid, Spain; Kyoto University, Japan

  Date: January 21, 2013

• 13-020/III - Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression

  Authors: David E. Allen, Edith Cowan University, Australia; Abhay K. Singh, Edith Cowan University, Australia; Robert J. Powell, Edith Cowan University, Australia; Michael McAleer, Erasmus University Rotterdam, Complutense University of Madrid, Spain, and Kyoto University, Japan; James Taylor, University of Oxford, Oxford; Lyn Thomas, University of Southampton, Southampton

  Date: January 18, 2013

• 13-018/III - A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500

  Authors: David E. Allen, Edith Cowan University; Michael McAleer, Erasmus University Rotterdam, Complutense University of Madrid, Spain, and Kyoto University, Japan; Robert Powell, Edith Cowan University; Abhay K. Singh, Edith Cowan University

  Date: January 17, 2013

• 13-011/III - Posterior-Predictive Evidence on US Inflation using Phillips Curve Models with Non-Filtered Time Series

  Authors: Nalan Basturk, Erasmus University Rotterdam; Cem Cakmakli, University of Amsterdam; Pinar Ceyhan, Erasmus University Rotterdam; Herman K. van Dijk, Erasmus University Rotterdam, and VU University Amsterdam

  Date: January 10, 2013

• 13-010/III - Has the Basel Accord Improved Risk Management During the Global Financial Crisis?

  Authors: Michael McAleer, Erasmus University Rotterdam; Juan-Ángel Jiménez-Martín, Complutense University of Madrid; Teodosio Pérez-Amaral, Complutense University of Madrid

  Date: January 08, 2013

• 13-009/III - Volatility Spillovers from the US to Australia and China across the GFC

  Authors: David E. Allen, Edith Cowan University; Michael McAleer, Econometric Institute, Erasmus University Rotterdam, Complutense University of Madrid, and Kyoto University; R.J. Powell, Edith Cowan University; A.K. Singh, Edith Cowan University

  Date: January 08, 2013

• 13-008/III - Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism

  Authors: Chia-Lin Chang, National Chung Hsing University, Taiwan; Hui-Kuang Hsu, National Pingtung Institute of Commerce, Taiwan; Michael McAleer, Erasmus University Rotterdam, Kyoto University, Japan, and Complutense University of Madrid, Spain

  Date: January 07, 2013

• 13-007/III - How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?

  Authors: Lan-Fen Chu, National Science and Technology Center for Disaster, Taiwan; Michael McAleer, Erasmus University Rotterdam, Kyoto University, Complutense University of Madrid; Chi-Chung Chen, National Chung Hsing University, Taiwan

  Date: January 08, 2013

• 13-006/III - Statistical Modelling of Extreme Rainfall in Taiwan

  Authors: Lan-Fen Chu, National Science and Technology Center for Disaster Reduction (NCDR), Taiwan; Michael McAleer, Erasmus University Rotterdam,Kyoto University, Japan, and Complutense University of Madrid; Ching-Chung Chang, Academia Sinica, Taiwan

  Date: January 08, 2013

• 13-005/III - Estimating Implied Recovery Rates from the Term Structure of CDS Spreads

  Authors: Marcin Jaskowski, Erasmus University Rotterdam; Michael McAleer, Erasmus University Rotterdam, Kyoto University, Japan, and Complutense University of Madrid, Spain

  Date: January 07, 2013

• 13-004/III - Statistical Modelling of Recent Changes in Extreme Rainfall in Taiwan

  Authors: Lan-Fen Chu, National Science and Technology Center for Disaster Reduction (NCDR); Michael McAleer, Erasmus University Rotterdam, Kyoto University Japan, Complutense University of Madrid; Szu-Hua Wang, Chinese Cultural University, Taiwan

  Date: January 07, 2012

• 13-003/III - Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing

  Authors: Manabu Asai, Soka University, Japan; Michael McAleer, Erasmus University Rotterdam, The Netherlands; Kyoto University, Japan; Complutense University of Madrid, Spain

  Date: January 07, 2013