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What's New Last Update: 2009/11/20
People
CIRJE is pleased to welcome the following new visitors and guests:
- Chialin Chang 2009.11.14 to 2009.11.22: Short Term Visitor,
Department of applied Economics, National Chung Hsing University; Taiwan
- Masanao Aoki 2009.10.13 to 2009.12.18: Short Term Visitor,
Department of Economics, University of California, Los Angeles; USA
- Michael McAleer 2009.9.1 to 2009.11.30:
Project Professor,
Econometric Institute, Erasmus School of Economics, Erasmus University;
the Netherlands
- Shigeru Wakita 2009.4.1 to 2010.3.31: Visiting Professor,
Faculty of Urban Liberal Arts, Tokyo Metropolitan University; Japan
Workshops
Discussion Papers
Chang, Chia-Lin and Michael McAleer , "Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan", November 2009.
CIRJE-F-689 Nakajima, Jouchi, Tsuyoshi Kunihama, Yasuhiro Omori and Sylvia Frühwirth-Schnatter, "Generalized Extreme Value Distribution with
Time-Dependence Using the AR and MA Models in
State Space Form", November 2009.
CIRJE-F-688 Kubokawa, Tatsuya, "Conditional and Unconditional Methods for Selecting Variables in Linear Mixed Models", November 2009.
CIRJE-F-687 Chang, Chia-Ling, Thanchanok Khamkaew Michael McAleer and Roengchai Tansuchat, "Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations", November 2009.
CIRJE-F-686 McAleer, Michael and Marcelo C. Medeiros, "Forecasting Realized Volatility with Linear and Nonlinear Models", October 2009.
CIRJE-F-685 Chang, Chia-Lin・Thanchanok Khamkaew・Michael McAleer, "A Panel Threshold Model of Tourism Specialization and Economic Development", October 2009.
CIRJE-F-684 Hammoudeh, Shawkat, Yuan Yuan, Michael McAleer and Mark A. Thompson, "Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies", October 2009.
CIRJE-F-683 da Veiga, Bernardo, Felix Chan and Michael McAleer, "It Pays to Violate: How Effective are the Basel Accord Penalties?", October 2009.
CIRJE-F-682 Shiraya, Kenichiro, Akihiko Takahashi and Masashi Toda, "Pricing Barrier and Average Options under Stochastic Volatility Environment", October 2009.
CIRJE-F-681 Shiraya, Kenichiro and Akihiko Takahashi, "Pricing Average Options on Commodities", October 2009.
CIRJE-F-680 Tansuchat, Roengchai, Chia-Lin Chang and Michael McAleer, "Modelling Long Memory Volatility in Agricultural Commodity Futures Returns", October 2009.
CIRJE-F-679 Braun, Richard Anton and Tomoyuki Nakajima , "Optimal Monetary Policy When Asset Markets Are Incomplete", October 2009.
CIRJE-F-678 Braun, Richard Anton, Huiyu Li and John Stachurski, "Computing Densities: A Conditional Monte Carlo Estimator", October 2009.
CIRJE-F-677Hakim, Abdul and Michael McAleer, "Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence", October 2009.
CIRJE-F-676 Hakim, Abdul and Michael McAleer, "VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds", October 2009.
CIRJE-F-675 Khamkaew, Tanchanok, Michael McAleer and Roengchai Tansuchat, "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns", October 2009.
CIRJE-F-674 Tabuchi, Takatoshi, "Hotelling's Spatial Competition Reconsidered", September 2009.
CIRJE-F-673 Matsushima, Hitoshi , "Implementation and Mind Control", September 2009.
CIRJE-F-672 Wiphatthanananthakul, Chatayan・Michael McAleer, "Simple Expected Volatility (SEV) Index: Application to SET50 Index Options", September 2009.
CIRJE-F-671 Areosa, Waldyr Dutra, Michael McAleer and Marcelo C. Medeiros , "Moment-Based Estimation of Smooth Transition Regression Models with Endogenous Variables", September 2009.
CIRJE-F-670 Ling, Shiqing and Michael McAleer, "A General Asymptotic Theory for Time Series Models", September 2009.
CIRJE-F-669 Asai, Manabu, Michael McAleer and Marcelo C. Medeiros, "Modelling and Forecasting Noisy Realized Volatility", September 2009.
CIRJE-F-668 Hammoudeh, Shawkat M., Yuan Yuan and Michael McAleer, "Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies", September 2009.
CIRJE-F-667 McAleer, Michael, Juan-Angel Jimenez-Martin and Teodosio Pérez-Amaral , "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis", September 2009.
CIRJE-F-666 Kubokawa, Tatsuya, "Higher Order Corrections in MSE Estimation and Confidence Intervals in Linear Mixed Models", 2009年9月.
CIRJE-F-665 Bartolomé, Ana, Michael McAleer Vicente Ramos and Javier Rey-Maquieira, "Risk Management for International Tourist Arrivals: An Application to the Balearic Islands, Spain", September 2009.
CIRJE-F-664 Bartolomé, Ana, Michael McAleer Vicente Ramos and Javier Rey-Maquieira, "Cruising is Risky Business", September 2009.
CIRJE-F-663 Hakim, Abdul and Michael McAleer, "Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets", September 2009.
CIRJE-F-662 Bian, Guorui, Michael McAleer and Wing-Keung Wong, "A Trinomial Test for Paired Data When There are Many Ties", September 2009.
CIRJE-F-661 Huang, Jian, Masahito Kobayashi and Michael McAleer, "Testing the Box-Cox Parameter in an Integrated Process", September 2009.
CIRJE-F-660 Macri, Joseph, Michael McAleer and Dipendra Sinha, "On the Robustness of Alternative Rankings Methodologies For Australian and New Zealand Economics Departments", September 2009.
CIRJE-F-659 McAleer, Michael, Bernardo da Veiga and Suhejla Hoti, "Value-at-Risk for Country Risk Ratings", September 2009.
CIRJE-F-658 Gibson, John and Bonggeun Kim, "Non-Classical Measurement Error in Long-Term Retrospective Recall Surveys", September 2009.
CIRJE-J-214 Ohashi, Hiroshi, Tsuyoshi Nakamura and Satoshi Myojo, "Empirical Assessment of Merger and its Remedies: the Yawata-Fuji Case (1970)" , September 2009.
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