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Modelling the Riskiness in Country Risk Ratings
Type: Book
ISBN: 978-0-44451-837-8

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Book part
Publication date: 23 April 2005

S. Hoti and Michael McAleer

Abstract

Details

Modelling the Riskiness in Country Risk Ratings
Type: Book
ISBN: 978-0-44451-837-8

To view the access options for this content please click here
Book part
Publication date: 23 April 2005

S. Hoti and Michael McAleer

Abstract

Details

Modelling the Riskiness in Country Risk Ratings
Type: Book
ISBN: 978-0-44451-837-8

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Book part
Publication date: 29 May 2009

Chia-Lin Chang, Michael McAleer and Daniel J. Slottje

International tourism is a major source of export receipts for many countries worldwide. Although it is not yet one of the most important industries in Taiwan (or the…

Abstract

International tourism is a major source of export receipts for many countries worldwide. Although it is not yet one of the most important industries in Taiwan (or the Republic of China), an island in East Asia off the coast of mainland China (or the People's Republic of China), the leading tourism source countries for Taiwan are Japan, followed by USA, Republic of Korea, Malaysia, Singapore, UK, Germany and Australia. These countries reflect short, medium and long haul tourist destinations. Although the People's Republic of China and Hong Kong are large sources of tourism to Taiwan, the political situation is such that tourists from these two sources to Taiwan are reported as domestic tourists. Daily data from 1 January 1990 to 30 June 2007 are obtained from the National Immigration Agency of Taiwan. The heterogeneous autoregressive (HAR) model is used to capture long memory properties in the data. In comparison with the HAR(1) model, the estimated asymmetry coefficients for GJR(1,1) are not statistically significant for the HAR(1,7) and HAR(1,7,28) models, so that their respective GARCH(1,1) counterparts are to be preferred. These empirical results show that the conditional volatility estimates are sensitive to the long memory nature of the conditional mean specifications. Although asymmetry is observed for the HAR(1) model, there is no evidence of leverage. The quasi-maximum likelihood estimators (QMLE) for the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for international tourist arrivals to Taiwan are statistically adequate and have sensible interpretations. However, asymmetry (though not leverage) was found only for the HAR(1) model and not for the HAR(1,7) and HAR(1,7,28) models.

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Quantifying Consumer Preferences
Type: Book
ISBN: 978-1-84855-313-2

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Article
Publication date: 27 September 2011

Chia‐lin Chang, Juan‐Ángel Jiménez‐Martín, Michael McAleer and Teodosio Pérez‐Amaral

The Basel II Accord requires that banks and other authorized deposit‐taking institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary…

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Abstract

Purpose

The Basel II Accord requires that banks and other authorized deposit‐taking institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure value‐at‐risk (VaR). The risk estimates of these models are used to determine capital requirements and associated capital costs of ADIs, depending in part on the number of previous violations, whereby realized losses exceed the estimated VaR. The purpose of this paper is to address the question of risk management of risk, namely VaR of VIX futures prices.

Design/methodology/approach

The authors examine how different risk management strategies performed before, during and after the 2008‐2009 global financial crisis (GFC).

Findings

The authors find that an aggressive strategy of choosing the supremum of the univariate model forecasts is preferred to the other alternatives, and is robust during the GFC.

Originality/value

The paper examines how different risk management strategies performed before, during and after the 2008‐2009 GFC, and finds that an aggressive strategy of choosing the supremum of the univariate model forecasts is preferred to the other alternatives, and is robust during the GFC.

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Book part
Publication date: 23 April 2005

S. Hoti and Michael McAleer

Abstract

Details

Modelling the Riskiness in Country Risk Ratings
Type: Book
ISBN: 978-0-44451-837-8

To view the access options for this content please click here
Article
Publication date: 11 April 2016

Chia-Lin Chang and Michael McAleer

Both journal self-citations and exchanged citations have the effect of increasing a journal’s impact factor, which may be deceptive. The purpose of this paper is to…

Abstract

Purpose

Both journal self-citations and exchanged citations have the effect of increasing a journal’s impact factor, which may be deceptive. The purpose of this paper is to analyse academic journal quality and research impact using quality-weighted citations vs total citations, based on the widely used Thomson Reuters ISI Web of Science citations database (ISI). A new Index of Citations Quality (ICQ) is presented, based on quality-weighted citations.

Design/methodology/approach

The new index is used to analyse the leading 500 journals in both the sciences and social sciences, as well as finance and accounting, using quantifiable Research Assessment Measures (RAMs) that are based on alternative transformations of citations.

Findings

It is shown that ICQ is a useful additional measure to 2-year impact factor (2YIF) and other well-known RAMs for the purpose of evaluating the impact and quality, as well as ranking, of journals as it contains information that has very low correlations with the information contained in the well-known RAMs for both the sciences and social sciences, and finance and accounting.

Practical implications

Journals can, and do, inflate the number of citations through self-citation practices, which may be coercive. Another method for distorting journal impact is through a set of journals agreeing to cite each other, that is, by exchanging citations. This may be less coercive than self-citations, but is nonetheless unprofessional and distortionary.

Social implications

The premise underlying the use of citations data is that higher quality journals generally have a higher number of citations. The impact of citations can be distorted in a number of ways, both consciously and unconsciously.

Originality/value

Regardless of whether self-citations arise through collusive practices, the increase in citations will affect both 2YIF and 5-year impact factor (5YIF), though not Eigenfactor and Article Influence. This leads to an ICQ, where a higher ICQ would generally be preferred to lower. Unlike 5YIF, which is increased by journal self-citations and exchanged citations, and Eigenfactor and Article Influence, both of which are affected by quality-weighted exchanged citations, ICQ will be less affected by exchanged citations. In the absence of any empirical evidence to the contrary, 5YIF and AI are assumed to be affected similarly by exchanged citations.

Details

Managerial Finance, vol. 42 no. 4
Type: Research Article
ISSN: 0307-4358

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Book part
Publication date: 23 April 2005

S. Hoti and Michael McAleer

Abstract

Details

Modelling the Riskiness in Country Risk Ratings
Type: Book
ISBN: 978-0-44451-837-8

To view the access options for this content please click here
Book part
Publication date: 23 April 2005

S. Hoti and Michael McAleer

Abstract

Details

Modelling the Riskiness in Country Risk Ratings
Type: Book
ISBN: 978-0-44451-837-8

Abstract

Details

Modelling the Riskiness in Country Risk Ratings
Type: Book
ISBN: 978-0-44451-837-8

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