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Dept: Department of Economics and Finance

You searched for subject:(Volatility). Showing records 1 – 19 of 19 total matches.

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University of Canterbury

1. Scharth, M. Asymmetric Realized Volatility Risk.

Degree: Department of Economics and Finance, 2014, University of Canterbury

 In this paper we document that realized variation measures constructed from highfrequency returns reveal a large degree of volatility risk in stock and index returns,… (more)

Subjects/Keywords: realized volatility; volatility of volatility; volatility risk; value-at-risk; forecasting; conditional heteroskedasticity; Field of Research::15 - Commerce, Management, Tourism and Services::1502 - Banking, Finance and Investment::150202 - Financial Econometrics; Field of Research::15 - Commerce, Management, Tourism and Services::1502 - Banking, Finance and Investment::150205 - Investment and Risk Management

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APA (6th Edition):

Scharth, M. (2014). Asymmetric Realized Volatility Risk. (Thesis). University of Canterbury. Retrieved from http://hdl.handle.net/10092/10072

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Scharth, M. “Asymmetric Realized Volatility Risk.” 2014. Thesis, University of Canterbury. Accessed October 19, 2019. http://hdl.handle.net/10092/10072.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Scharth, M. “Asymmetric Realized Volatility Risk.” 2014. Web. 19 Oct 2019.

Vancouver:

Scharth M. Asymmetric Realized Volatility Risk. [Internet] [Thesis]. University of Canterbury; 2014. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/10092/10072.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Scharth M. Asymmetric Realized Volatility Risk. [Thesis]. University of Canterbury; 2014. Available from: http://hdl.handle.net/10092/10072

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Canterbury

2. McAleer, M. Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility.

Degree: Department of Economics and Finance, 2013, University of Canterbury

 The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility.… (more)

Subjects/Keywords: Price; Oil Price; Volatility JEL Classifications: Q14; C22; C58; Field of Research::14 - Economics

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APA (6th Edition):

McAleer, M. (2013). Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility. (Thesis). University of Canterbury. Retrieved from http://hdl.handle.net/10092/11247

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

McAleer, M. “Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility.” 2013. Thesis, University of Canterbury. Accessed October 19, 2019. http://hdl.handle.net/10092/11247.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

McAleer, M. “Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility.” 2013. Web. 19 Oct 2019.

Vancouver:

McAleer M. Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility. [Internet] [Thesis]. University of Canterbury; 2013. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/10092/11247.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

McAleer M. Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility. [Thesis]. University of Canterbury; 2013. Available from: http://hdl.handle.net/10092/11247

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Canterbury

3. Singh, A. K. Machine news and volatility: The Dow Jones IndustrialAverage and the TRNA sentiment series.

Degree: Department of Economics and Finance, 2014, University of Canterbury

 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… (more)

Subjects/Keywords: DJIA; Sentiment Scores; TRNA; Conditional Volatility Models.; Field of Research::15 - Commerce, Management, Tourism and Services::1502 - Banking, Finance and Investment

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APA (6th Edition):

Singh, A. K. (2014). Machine news and volatility: The Dow Jones IndustrialAverage and the TRNA sentiment series. (Thesis). University of Canterbury. Retrieved from http://hdl.handle.net/10092/11246

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Singh, A K. “Machine news and volatility: The Dow Jones IndustrialAverage and the TRNA sentiment series.” 2014. Thesis, University of Canterbury. Accessed October 19, 2019. http://hdl.handle.net/10092/11246.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Singh, A K. “Machine news and volatility: The Dow Jones IndustrialAverage and the TRNA sentiment series.” 2014. Web. 19 Oct 2019.

Vancouver:

Singh AK. Machine news and volatility: The Dow Jones IndustrialAverage and the TRNA sentiment series. [Internet] [Thesis]. University of Canterbury; 2014. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/10092/11246.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Singh AK. Machine news and volatility: The Dow Jones IndustrialAverage and the TRNA sentiment series. [Thesis]. University of Canterbury; 2014. Available from: http://hdl.handle.net/10092/11246

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Canterbury

4. McAleer, M. Volatility Spillovers from the Chinese Stock Market toEconomic Neighbours.

Degree: Department of Economics and Finance, 2011, University of Canterbury

 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… (more)

Subjects/Keywords: Volatility spillovers; VARMA-GARCH; VARMA-AGARCH; Chinese stock market; Field of Research::14 - Economics::1402 - Applied Economics::140207 - Financial Economics

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APA (6th Edition):

McAleer, M. (2011). Volatility Spillovers from the Chinese Stock Market toEconomic Neighbours. (Thesis). University of Canterbury. Retrieved from http://hdl.handle.net/10092/6485

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

McAleer, M. “Volatility Spillovers from the Chinese Stock Market toEconomic Neighbours.” 2011. Thesis, University of Canterbury. Accessed October 19, 2019. http://hdl.handle.net/10092/6485.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

McAleer, M. “Volatility Spillovers from the Chinese Stock Market toEconomic Neighbours.” 2011. Web. 19 Oct 2019.

Vancouver:

McAleer M. Volatility Spillovers from the Chinese Stock Market toEconomic Neighbours. [Internet] [Thesis]. University of Canterbury; 2011. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/10092/6485.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

McAleer M. Volatility Spillovers from the Chinese Stock Market toEconomic Neighbours. [Thesis]. University of Canterbury; 2011. Available from: http://hdl.handle.net/10092/6485

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Canterbury

5. Shimatani, T. Central bank intervention and exchange rate volatility: Evidence from Japan using realized volatility.

Degree: Department of Economics and Finance, 2013, University of Canterbury

 This paper presents new empirical evidence on the effectiveness of Bank of Japan's foreign exchange interventions on the daily realized volatility of USD/JPY exchange rates… (more)

Subjects/Keywords: Foreign exchange intervention; Realized volatility; Simultaneous equations; Tobit model; Field of Research::14 - Economics::1402 - Applied Economics::140207 - Financial Economics

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APA (6th Edition):

Shimatani, T. (2013). Central bank intervention and exchange rate volatility: Evidence from Japan using realized volatility. (Thesis). University of Canterbury. Retrieved from http://hdl.handle.net/10092/8821

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Shimatani, T. “Central bank intervention and exchange rate volatility: Evidence from Japan using realized volatility.” 2013. Thesis, University of Canterbury. Accessed October 19, 2019. http://hdl.handle.net/10092/8821.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Shimatani, T. “Central bank intervention and exchange rate volatility: Evidence from Japan using realized volatility.” 2013. Web. 19 Oct 2019.

Vancouver:

Shimatani T. Central bank intervention and exchange rate volatility: Evidence from Japan using realized volatility. [Internet] [Thesis]. University of Canterbury; 2013. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/10092/8821.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Shimatani T. Central bank intervention and exchange rate volatility: Evidence from Japan using realized volatility. [Thesis]. University of Canterbury; 2013. Available from: http://hdl.handle.net/10092/8821

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Canterbury

6. Tansuchat, R. Modelling Long Memory Volatility in Agricultural Commodity Futures Returns.

Degree: Department of Economics and Finance, 2012, University of Canterbury

 This paper estimates a long memory volatility model for 16 agricultural commodity futures returns from different futures markets, namely corn, oats, soybeans, soybean meal, soybean… (more)

Subjects/Keywords: long memory; agricultural commodity futures; fractional integration; asymmetric; conditional volatility; Field of Research::14 - Economics::1402 - Applied Economics::140201 - Agricultural Economics

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APA (6th Edition):

Tansuchat, R. (2012). Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. (Thesis). University of Canterbury. Retrieved from http://hdl.handle.net/10092/9795

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Tansuchat, R. “Modelling Long Memory Volatility in Agricultural Commodity Futures Returns.” 2012. Thesis, University of Canterbury. Accessed October 19, 2019. http://hdl.handle.net/10092/9795.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Tansuchat, R. “Modelling Long Memory Volatility in Agricultural Commodity Futures Returns.” 2012. Web. 19 Oct 2019.

Vancouver:

Tansuchat R. Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. [Internet] [Thesis]. University of Canterbury; 2012. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/10092/9795.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Tansuchat R. Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. [Thesis]. University of Canterbury; 2012. Available from: http://hdl.handle.net/10092/9795

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Canterbury

7. Chang, C. The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry.

Degree: Department of Economics and Finance, 2013, University of Canterbury

 This paper investigates the stock returns and volatility size effects for firm performance in the Taiwan tourism industry, especially the impacts arising from the tourism… (more)

Subjects/Keywords: Tourism; firm size; stock returns; conditional volatility models; volatility size effects; asymmetry; tourism policy reform; Field of Research::15 - Commerce, Management, Tourism and Services::1506 - Tourism; Field of Research::14 - Economics::1402 - Applied Economics::140216 - Tourism Economics

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APA (6th Edition):

Chang, C. (2013). The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry. (Thesis). University of Canterbury. Retrieved from http://hdl.handle.net/10092/9841

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Chang, C. “The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry.” 2013. Thesis, University of Canterbury. Accessed October 19, 2019. http://hdl.handle.net/10092/9841.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Chang, C. “The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry.” 2013. Web. 19 Oct 2019.

Vancouver:

Chang C. The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry. [Internet] [Thesis]. University of Canterbury; 2013. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/10092/9841.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Chang C. The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry. [Thesis]. University of Canterbury; 2013. Available from: http://hdl.handle.net/10092/9841

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Canterbury

8. Oxley, L. Ten Things We Should Know About Time Series.

Degree: Department of Economics and Finance, 2010, University of Canterbury

 Time series data affect many aspects of our lives. This paper highlights ten things we should all know about time series, namely: a good working… (more)

Subjects/Keywords: unit roots; fractional integration; long memory; VARFIMA; cointegration; volatility; thresholds; asymmetry; leverage; forecasting models; expertise; Field of Research::14 - Economics::1403 - Econometrics::140305 - Time-Series Analysis

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APA (6th Edition):

Oxley, L. (2010). Ten Things We Should Know About Time Series. (Thesis). University of Canterbury. Retrieved from http://hdl.handle.net/10092/5358

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Oxley, L. “Ten Things We Should Know About Time Series.” 2010. Thesis, University of Canterbury. Accessed October 19, 2019. http://hdl.handle.net/10092/5358.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Oxley, L. “Ten Things We Should Know About Time Series.” 2010. Web. 19 Oct 2019.

Vancouver:

Oxley L. Ten Things We Should Know About Time Series. [Internet] [Thesis]. University of Canterbury; 2010. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/10092/5358.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Oxley L. Ten Things We Should Know About Time Series. [Thesis]. University of Canterbury; 2010. Available from: http://hdl.handle.net/10092/5358

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Canterbury

9. Perez Amaral, T. The Rise and Fall of S&P500 Variance Futures.

Degree: Department of Economics and Finance, 2011, University of Canterbury

 Modelling, monitoring and forecasting volatility are indispensible to sensible portfolio risk management. The volatility of an asset of composite index can be traded by using… (more)

Subjects/Keywords: risk management; financial derivatives; futures; options; swaps; 3-month variance futures; 12-month variance futures; risk exposure; volatility; Field of Research::14 - Economics::1402 - Applied Economics::140207 - Financial Economics

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APA (6th Edition):

Perez Amaral, T. (2011). The Rise and Fall of S&P500 Variance Futures. (Thesis). University of Canterbury. Retrieved from http://hdl.handle.net/10092/6486

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Perez Amaral, T. “The Rise and Fall of S&P500 Variance Futures.” 2011. Thesis, University of Canterbury. Accessed October 19, 2019. http://hdl.handle.net/10092/6486.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Perez Amaral, T. “The Rise and Fall of S&P500 Variance Futures.” 2011. Web. 19 Oct 2019.

Vancouver:

Perez Amaral T. The Rise and Fall of S&P500 Variance Futures. [Internet] [Thesis]. University of Canterbury; 2011. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/10092/6486.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Perez Amaral T. The Rise and Fall of S&P500 Variance Futures. [Thesis]. University of Canterbury; 2011. Available from: http://hdl.handle.net/10092/6486

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Canterbury

10. McAleer, M. Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.

Degree: Department of Economics and Finance, 2012, University of Canterbury

 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… (more)

Subjects/Keywords: block structures; multivariate stochastic volatility; curse of dimensionality; leverage effects; multi-factors; heavy-tailed distribution; Field of Research::15 - Commerce, Management, Tourism and Services::1502 - Banking, Finance and Investment::150205 - Investment and Risk Management; Field of Research::14 - Economics::1403 - Econometrics::140302 - Econometric and Statistical Methods

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APA (6th Edition):

McAleer, M. (2012). Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models. (Thesis). University of Canterbury. Retrieved from http://hdl.handle.net/10092/6439

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

McAleer, M. “Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.” 2012. Thesis, University of Canterbury. Accessed October 19, 2019. http://hdl.handle.net/10092/6439.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

McAleer, M. “Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.” 2012. Web. 19 Oct 2019.

Vancouver:

McAleer M. Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models. [Internet] [Thesis]. University of Canterbury; 2012. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/10092/6439.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

McAleer M. Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models. [Thesis]. University of Canterbury; 2012. Available from: http://hdl.handle.net/10092/6439

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Canterbury

11. McAleer, M. Risk Management and Financial Derivatives: An Overview.

Degree: Department of Economics and Finance, 2012, University of Canterbury

 Risk management is crucial for optimal portfolio management. One of the fastest growing areas in empirical finance is the expansion of financial derivatives. The purpose… (more)

Subjects/Keywords: risk management; optimal portfolios; financial derivatives; financial econometrics; options; futures; volatility; spillovers; hedging; default; risk premia; complete markets; Field of Research::14 - Economics::1402 - Applied Economics::140207 - Financial Economics; Field of Research::14 - Economics::1403 - Econometrics

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APA (6th Edition):

McAleer, M. (2012). Risk Management and Financial Derivatives: An Overview. (Thesis). University of Canterbury. Retrieved from http://hdl.handle.net/10092/9806

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

McAleer, M. “Risk Management and Financial Derivatives: An Overview.” 2012. Thesis, University of Canterbury. Accessed October 19, 2019. http://hdl.handle.net/10092/9806.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

McAleer, M. “Risk Management and Financial Derivatives: An Overview.” 2012. Web. 19 Oct 2019.

Vancouver:

McAleer M. Risk Management and Financial Derivatives: An Overview. [Internet] [Thesis]. University of Canterbury; 2012. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/10092/9806.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

McAleer M. Risk Management and Financial Derivatives: An Overview. [Thesis]. University of Canterbury; 2012. Available from: http://hdl.handle.net/10092/9806

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Canterbury

12. Chen, C-C. How Volatile is ENSO for Global Greenhouse Gas Emissions And the Global Economy?.

Degree: Department of Economics and Finance, 2012, University of Canterbury

 This paper analyzes two indexes in order to capture the volatility inherent in El Ninos Southern Oscillations (ENSO), develops the relationship between the strength of… (more)

Subjects/Keywords: El Ninos Southern Oscillations (ENSO); Greenhouse Gas Emissions; Global Economy; Southern Oscillation Index (SOI); Sea Surface Temperature (SST); Volatility.; Field of Research::04 - Earth Sciences::0401 - Atmospheric Sciences::040104 - Climate Change Processes; Field of Research::14 - Economics::1499 - Other Economics::149902 - Ecological Economics

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APA (6th Edition):

Chen, C. (2012). How Volatile is ENSO for Global Greenhouse Gas Emissions And the Global Economy?. (Thesis). University of Canterbury. Retrieved from http://hdl.handle.net/10092/9797

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Chen, C-C. “How Volatile is ENSO for Global Greenhouse Gas Emissions And the Global Economy?.” 2012. Thesis, University of Canterbury. Accessed October 19, 2019. http://hdl.handle.net/10092/9797.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Chen, C-C. “How Volatile is ENSO for Global Greenhouse Gas Emissions And the Global Economy?.” 2012. Web. 19 Oct 2019.

Vancouver:

Chen C. How Volatile is ENSO for Global Greenhouse Gas Emissions And the Global Economy?. [Internet] [Thesis]. University of Canterbury; 2012. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/10092/9797.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Chen C. How Volatile is ENSO for Global Greenhouse Gas Emissions And the Global Economy?. [Thesis]. University of Canterbury; 2012. Available from: http://hdl.handle.net/10092/9797

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Canterbury

13. Radalj, K. Herding, Information Cascades and Volatility Spillovers in Futures Markets.

Degree: Department of Economics and Finance, 2013, University of Canterbury

 Economists and financial analysts have begun to recognise the importance of the actions of other agents in the decision-making process. Herding is the deliberate mimicking… (more)

Subjects/Keywords: Herding; speculation; hedging; noise traders; currency and commodity markets; futures and spot markets; time-varying volatility; causality-in-variance; spillovers.; Field of Research::14 - Economics; Field of Research::15 - Commerce, Management, Tourism and Services::1502 - Banking, Finance and Investment

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APA (6th Edition):

Radalj, K. (2013). Herding, Information Cascades and Volatility Spillovers in Futures Markets. (Thesis). University of Canterbury. Retrieved from http://hdl.handle.net/10092/11119

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Radalj, K. “Herding, Information Cascades and Volatility Spillovers in Futures Markets.” 2013. Thesis, University of Canterbury. Accessed October 19, 2019. http://hdl.handle.net/10092/11119.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Radalj, K. “Herding, Information Cascades and Volatility Spillovers in Futures Markets.” 2013. Web. 19 Oct 2019.

Vancouver:

Radalj K. Herding, Information Cascades and Volatility Spillovers in Futures Markets. [Internet] [Thesis]. University of Canterbury; 2013. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/10092/11119.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Radalj K. Herding, Information Cascades and Volatility Spillovers in Futures Markets. [Thesis]. University of Canterbury; 2013. Available from: http://hdl.handle.net/10092/11119

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Canterbury

14. Wong, W. K. Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis.

Degree: Department of Economics and Finance, 2013, University of Canterbury

 This paper explores the characteristics associated with the formation of bubbles that occurred in the Hong Kong stock market in 1997 and 2007, as well… (more)

Subjects/Keywords: Technical analysis; moving average; buy-and-hold strategy; dot-com bubble; Asian financial crisis; sub-prime crisis; moving linear regression; volatility.; Field of Research::14 - Economics::1402 - Applied Economics::140207 - Financial Economics

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APA (6th Edition):

Wong, W. K. (2013). Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis. (Thesis). University of Canterbury. Retrieved from http://hdl.handle.net/10092/9846

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Wong, W K. “Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis.” 2013. Thesis, University of Canterbury. Accessed October 19, 2019. http://hdl.handle.net/10092/9846.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Wong, W K. “Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis.” 2013. Web. 19 Oct 2019.

Vancouver:

Wong WK. Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis. [Internet] [Thesis]. University of Canterbury; 2013. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/10092/9846.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Wong WK. Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis. [Thesis]. University of Canterbury; 2013. Available from: http://hdl.handle.net/10092/9846

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Canterbury

15. McAleer, M. Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay.

Degree: Department of Economics and Finance, 2014, University of Canterbury

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.

Subjects/Keywords: Principal Component Analysis; Principal Volatility Component Analysis; Vector time-varying conditional heteroskedasticity; BEKK; DCC; asymptotic properties; Field of Research::15 - Commerce, Management, Tourism and Services::1502 - Banking, Finance and Investment::150205 - Investment and Risk Management; Field of Research::15 - Commerce, Management, Tourism and Services::1501 - Accounting, Auditing and Accountability::150103 - Financial Accounting

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

McAleer, M. (2014). Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay. (Thesis). University of Canterbury. Retrieved from http://hdl.handle.net/10092/10053

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

McAleer, M. “Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay.” 2014. Thesis, University of Canterbury. Accessed October 19, 2019. http://hdl.handle.net/10092/10053.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

McAleer, M. “Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay.” 2014. Web. 19 Oct 2019.

Vancouver:

McAleer M. Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay. [Internet] [Thesis]. University of Canterbury; 2014. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/10092/10053.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

McAleer M. Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay. [Thesis]. University of Canterbury; 2014. Available from: http://hdl.handle.net/10092/10053

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Canterbury

16. Amaral, T.P. Risk Modeling and Management: An Overview.

Degree: Department of Economics and Finance, 2013, University of Canterbury

 The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011… (more)

Subjects/Keywords: Currency hedging strategies; Basel Accord; risk management; forecasting; VIX futures; fast clustering; mixture models; extreme value methodologies; volatility spillovers; Value-at-Risk; country risk ratings; BRICS; extreme market risk. JEL Classi; Field of Research::15 - Commerce, Management, Tourism and Services::1502 - Banking, Finance and Investment::150205 - Investment and Risk Management; Field of Research::14 - Economics::1403 - Econometrics::140302 - Econometric and Statistical Methods

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APA (6th Edition):

Amaral, T. P. (2013). Risk Modeling and Management: An Overview. (Thesis). University of Canterbury. Retrieved from http://hdl.handle.net/10092/9894

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Amaral, T P. “Risk Modeling and Management: An Overview.” 2013. Thesis, University of Canterbury. Accessed October 19, 2019. http://hdl.handle.net/10092/9894.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Amaral, T P. “Risk Modeling and Management: An Overview.” 2013. Web. 19 Oct 2019.

Vancouver:

Amaral TP. Risk Modeling and Management: An Overview. [Internet] [Thesis]. University of Canterbury; 2013. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/10092/9894.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Amaral TP. Risk Modeling and Management: An Overview. [Thesis]. University of Canterbury; 2013. Available from: http://hdl.handle.net/10092/9894

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Canterbury

17. McAleer, M. Recent Developments in Financial Economics and Econometrics: An Overview.

Degree: Department of Economics and Finance, 2013, University of Canterbury

 This special issue of the in North American Journal of Economics and Finance presents 24 papers by leading scholars in the field on "Recent Developments… (more)

Subjects/Keywords: Dynamic price integration; local covariates; risk management; global financial crisis; credit risk; liquidity shock; micro-market noise; corporate risk taking; options; volatility; quantiles; news sentiment; contingent capital; value-at-risk; inflation targeting; size effects; exchange rates; realized range; equity markets; sub-prime crisis; sovereign debt CDS; mixture models; asymmetry; diagnostic checking..; Field of Research::14 - Economics::1402 - Applied Economics::140207 - Financial Economics; Field of Research::14 - Economics::1403 - Econometrics

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

McAleer, M. (2013). Recent Developments in Financial Economics and Econometrics: An Overview. (Thesis). University of Canterbury. Retrieved from http://hdl.handle.net/10092/9984

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

McAleer, M. “Recent Developments in Financial Economics and Econometrics: An Overview.” 2013. Thesis, University of Canterbury. Accessed October 19, 2019. http://hdl.handle.net/10092/9984.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

McAleer, M. “Recent Developments in Financial Economics and Econometrics: An Overview.” 2013. Web. 19 Oct 2019.

Vancouver:

McAleer M. Recent Developments in Financial Economics and Econometrics: An Overview. [Internet] [Thesis]. University of Canterbury; 2013. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/10092/9984.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

McAleer M. Recent Developments in Financial Economics and Econometrics: An Overview. [Thesis]. University of Canterbury; 2013. Available from: http://hdl.handle.net/10092/9984

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

18. McAleer, M. Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance.

Degree: Department of Economics and Finance, 2014, University of Canterbury

 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… (more)

Subjects/Keywords: Dimension reduction; Factor Model; Multivariate Stochastic Volatility; Leverage Effects; Long Memory; Realized Volatility; Field of Research::15 - Commerce, Management, Tourism and Services::1502 - Banking, Finance and Investment::150202 - Financial Econometrics; Field of Research::15 - Commerce, Management, Tourism and Services::1502 - Banking, Finance and Investment::150205 - Investment and Risk Management

…asymmetry for volatility dynamics are employing threshold function, as in the GJR model of Glosten… …Section 3. We can examine news impacts from an asset return to its future volatility, following… …Nelson (1991). Regarding multivariate conditional volatility models, Caporin and… …volatilities for MSV with leverage models. When realized volatility is available, we can estimate the… …m-vector and Ω asset return not only to its own future volatility byt also to future… 

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

McAleer, M. (2014). Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance. (Thesis). University of Canterbury. Retrieved from http://hdl.handle.net/10092/10054

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

McAleer, M. “Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance.” 2014. Thesis, University of Canterbury. Accessed October 19, 2019. http://hdl.handle.net/10092/10054.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

McAleer, M. “Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance.” 2014. Web. 19 Oct 2019.

Vancouver:

McAleer M. Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance. [Internet] [Thesis]. University of Canterbury; 2014. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/10092/10054.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

McAleer M. Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance. [Thesis]. University of Canterbury; 2014. Available from: http://hdl.handle.net/10092/10054

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Canterbury

19. Gottschalk, K. Stock Market Volatility around National Election.

Degree: Department of Economics and Finance, 2006, University of Canterbury

 In a sample of 27 OECD countries, this paper investigates whether the event of a national election induces higher stock market volatility. It is found… (more)

Subjects/Keywords: political risk; national elections; stock market volatility; Field of Research::15 - Commerce, Management, Tourism and Services::1502 - Banking, Finance and Investment::150205 - Investment and Risk Management; Field of Research::16 - Studies in Human Society::1606 - Political Science::160603 - Comparative Government and Politics

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Gottschalk, K. (2006). Stock Market Volatility around National Election. (Thesis). University of Canterbury. Retrieved from http://hdl.handle.net/10092/4524

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Gottschalk, K. “Stock Market Volatility around National Election.” 2006. Thesis, University of Canterbury. Accessed October 19, 2019. http://hdl.handle.net/10092/4524.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Gottschalk, K. “Stock Market Volatility around National Election.” 2006. Web. 19 Oct 2019.

Vancouver:

Gottschalk K. Stock Market Volatility around National Election. [Internet] [Thesis]. University of Canterbury; 2006. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/10092/4524.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Gottschalk K. Stock Market Volatility around National Election. [Thesis]. University of Canterbury; 2006. Available from: http://hdl.handle.net/10092/4524

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

.