Macquarie University, Sydney Macquarie University ResearchOnline

Showing items 1 - 15 of 46.

Add to Quick Collection   All 46 Results

Sort:
 Add All Items to Quick Collection
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/317876
Description: This paper deals with statistical inference for the fixed effects panel data seemingly unrelated partially linear regression model. The model naturally extends the traditional fixed effects panel data ... More
Reviewed: Reviewed
Authors: Jang, Jiwook
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/305411
Description: In this paper, we study multiple shot noise process and its integral. We analyse these two processes systematically for their theoretical distributions, based on the piecewise deterministic Markov pro ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/230090
Description: Transition probabilities between four labor market states (full-time employment, part-time employment, unemployment and inactive) for three age groups (the young, mature and old) are calculated using ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/262758
Description: In order to shed new light on the influence of volume and economic fundamentals on the long-run volatility of the Chinese stock market we follow the methodology introduced by Engle et al. (2009) and E ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/204038
Description: This paper shows how scale efficiency can be measured from an arbitrary parametric hyperbolic distance function with multiple outputs and multiple inputs. It extends the methods introduced by Ray (J P ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/277297
Description: We consider the local identification of parameters in structural VAR models with ARCH type errors. By establishing a mapping between the structural and reduced-form models, we provide a set of suffici ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/229271
Description: We discuss the pricing and risk management problems of standard European-style options in a Markovian regime-switching binomial model. Due to the presence of an additional source of uncertainty descri ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/212555
Description: In this paper, we investigate the valuation of bond options under a Markovian regime-switching Hull-White model, where both the mean-reverting level and the volatility of the interest rate are modulat ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/218903
Description: One of the main characteristics of Income Protection Insurance (IPI) claim duration data,which has not been considered in the actuarial literature on the topic, is left-truncation. Claimants that are ... More
Full Text: Full Text
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/164676
Description: Estimates of the cost of equity are often sensitive to the specification of the linear factor model used in their construction. In this article, we use techniques developed for high-dimensional factor ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/172299
Description: Modeling the dependence of credit ratings is an important issue for portfolio credit risk analysis. Multivariate Markov chain models are a feasible mathematical tool for modeling the dependence of cre ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/182501
Description: We investigate an optimal asset allocation problem in a Markovian regime-switching financial market with stochastic interest rate. The market has three investment opportunities, namely, a bank account ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/205743
Description: It is known that the market in a Markovian regime-switching model is, in general, incomplete, so not all contingent claims can be perfectly hedged. We show, in this paper, how certain contingent claim ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/170323
Description: This paper deals with the estimation of continuous-time diffusion processes which model the dynamics of a well diversified world stock index (WSI). We use the nonparametric kernel-based estimation to ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/168111
Description: We introduce a generalization of the approximate factor model that divides the observable variables into groups, allows for arbitrarily strong cross-correlation between the disturbance terms of variab ... More
Reviewed: Reviewed