Search Results - Business Economics

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

Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - Department of Economics and Finance, College of … - 2012

Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the literature has focused on...

Persistent link: https://www.econbiz.de/10009651876

A comparison of Spillover Effects before, during and after the 2008 Financial Crisis

Rea, Alethea; Rea, William; Reale, Marco; Scarrott, Carl - Department of Economics and Finance, College of … - 2012

This paper applies graphical modelling to the S&P 500, Nikkei 225 and FTSE 100 stock market indices to trace the spillover of returns and volatility between these three major world stock market indices before, during and after the 2008 financial crisis. We find that the depth of market...

Persistent link: https://www.econbiz.de/10009492757

Status Quo Effects in Fairness Games: Acts of Commission vs. Acts of Omission

Cox, James C.; Servátka, Maroš; Vadovič, Radovan - Department of Economics and Finance, College of … - 2012

Intent to help or harm is revealed more clearly by acts of commission that overturn the status quo than by acts of omission that uphold it. Both the law and culture make a central distinction between the two types of acts. Acts of commission elicit stronger reciprocal responses than do acts of...

Persistent link: https://www.econbiz.de/10009398255

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

Chang, Chia-Lin; McAleer, Michael - Department of Economics and Finance, College of … - 2012

citations database (hereafter ISI) for the Business - Finance category. The paper analyses the leading international journals in …

Persistent link: https://www.econbiz.de/10009416139

Using Online Assessment to Replace Invigilated Assessment in Times of a Natural Disaster - Are Some Online Assessment Conditions Better than Others?

Hickson, Stephen; Agnew, Stephen - Department of Economics and Finance, College of … - 2011

13th 2011, final examinations in the two 100 level economics papers at Canterbury University were cancelled at short …

Persistent link: https://www.econbiz.de/10009399680

A Method for Inferring Batting Conditions in ODI Cricket from Historical Data

Brooker, Scott; Hogan, Seamus - Department of Economics and Finance, College of … - 2011

This paper is part of a wider research programme using a dynamic-programming approach to modelling the choices about the amount of risk to take by batting and bowling teams in One Day International cricket. An important confounding variable in this analysis is the ground conditions (size of...

Persistent link: https://www.econbiz.de/10009391748

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

Chang, Chia-Lin; McAleer, Michael - Department of Economics and Finance, College of … - 2011

The Thomson Reuters ISI Web of Science citations database (hereafter ISI) category of Economics has one of the largest … journals in the Economics sub-disciplines of Energy, Environmental and Resource Economics using quantifiable Research … for 19 highly-cited journals in Energy, Environmental and Resource Economics in the ISI category of Economics. Harmonic …

Persistent link: https://www.econbiz.de/10009398254

Volatility Spillovers from the Chinese Stock Market to Economic Neighbours

Allena, David E.; Amrama, Ron; McAleer, Michael - Department of Economics and Finance, College of … - 2011

This paper examines whether there is evidence of spillovers of volatility from the Chinese stock market to its neighbours and trading partners, including Australia, Hong Kong, Singapore, Japan and USA. China’s increasing integration into the global market may have important consequences for...

Persistent link: https://www.econbiz.de/10009398256

Do People Keep Socially Unverifiable Promises?

Deck, Cary; Servátka, Maroš; Tucker, Steven - Department of Economics and Finance, College of … - 2011

Previous research has suggested that communication and especially promises increase cooperation in laboratory experiments. This has been taken as evidence for internal motivations such as guilt aversion or preference for promise keeping. The original goal of this paper was to examine promises...

Persistent link: https://www.econbiz.de/10009371391

Symbols, Group Identity and the Hold-up Problem

Morita, Hodaka; Servátka, Maroš - Department of Economics and Finance, College of … - 2011

Groups, companies, and organizations identify themselves via symbols. Symbols have the potential to create group identity and at the same time create group boundaries, thus allowing for achieving the benefits of cooperation by ingroup members. We use a laboratory experiment to study the role of...

Persistent link: https://www.econbiz.de/10009371392

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