Proceedings of the 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017)

Session: Economics Session

43 articles
Chia-Lin Chang, Michael McAleer
An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns, was the portmanteau statistic for non-causality in variance of Cheng and Ng (1996). A subsequent development was the Lagrange Multiplier...
Roengchai Tansuchat
This paper applies ultra-high frequency data particularly tick-by-tick data from three precious metals, namely gold, silver and platinum to estimate realized volatility, and model HAR-RV models evaluate Value-at-Risk. The tick-by-tick data from January 1, 2011 to December 8, 2016 covering 2, 070,...
Joerg Osterrieder
Cryptocurrencies became popular with the emergence of Bitcoin and have shown an unprecedented growth over the last few years. As of November 2016, more than 720 cryptocurrencies exist, with Bitcoin still being the most popular one. We show the statistical properties of the most important cryptocurrencies....
Renu Sukharomana
This paper examines that the demand for narcotic drugs based on Becker (1968) is one kind of rational behavior of human beings. The results from sampling surveys in eight provinces representing nationwide drug user/addicted in Thailand in 2014 shows that demand for narcotics (amphetamine, ice drug and...
Zhi Wang
To study the relationship between industrial agglomeration and pollution emission, Fixed Effect Model is used to analyze the panel data of 21 prefecture-level cities in Guangdong Province from 2005 to 2014. It is found that industrial agglomeration has a negative external effect on the intensity of...
Chia-Lin Chang, Juan-Angel Jimenez-Martin, Esfandiar Maasoumi, Michael McAleer, Teodosio Perez-Amaral
Bank risk managers follow the Basel Committee on Banking Supervision (BCBS) recommendations that recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The Basel Committee on Banking Supervision (2013, p. 3) noted that: "a number of weaknesses...
Christian Hafner, Michael McAleer
One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC) specification. However, the underlying stochastic process to derive DCC has not yet been established, which has made problematic the derivation of regularity conditions, such as stationarity...