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Teodosio Perez-Amaral

Personal Details

First Name:Teodosio
Middle Name:
Last Name:Perez-Amaral
Suffix:
RePEc Short-ID:ppe568
http://www.ucm.es/info/ecocuan/tpa/
+34 913942380

Affiliation

Instituto Complutense de Analisis Economico (ICAE)
Facultad de Ciencias Económicas y Empresariales
Universidad Complutense de Madrid

Madrid, Spain
http://www.ucm.es/icae/

: 91 394 2611
91 394 2613
Campus de Somosaguas, 28223 MADRID
RePEc:edi:icucmes (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2015. "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Econometric Institute Research Papers EI2015-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  2. Garín-Muñoz, Teresa & Gijón, Covadonga & Pérez-Amaral, Teodosio & López, Rafael, 2014. "Consumer complaint behavior in telecommunications: The case of mobile phone users in Spain," 25th European Regional ITS Conference, Brussels 2014 101444, International Telecommunications Society (ITS).
  3. Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Teodosio Pérez Amaral, 2014. "A Stochastic Dominance Approach to Financial Risk Management Strategies," Documentos de Trabajo del ICAE 2014-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Apr 2014.
  4. Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral, 2013. "Risk Modelling and Management: An Overview," KIER Working Papers 872, Kyoto University, Institute of Economic Research.
  5. Pérez-Amaral, Teodosio & Gijón, Covadonga & Garín-Muñoz, Teresa & López, Rafael, 2013. "Residential mobile phone users complaints' in Spain," 24th European Regional ITS Conference, Florence 2013 88537, International Telecommunications Society (ITS).
  6. Covadonga Gijón Tascón & Teresa Garín-Muñoz, & Teodosio Pérez-Amaral, 2012. "Satisfaction and protection of individual mobile telecommunications consumers," Documentos de Trabajo del ICAE 2012-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  7. Gijón Tascón, Covadonga & Garín Muñoz, Teresa & Pérez Amaral, Teodosio, 2012. "Satisfaction and protection of individual mobile telecommunications consumers: Need for regulation?," 23rd European Regional ITS Conference, Vienna 2012 60405, International Telecommunications Society (ITS).
  8. Rafael López Zorzano & Teodosio Pérez-Amaral & Teresa Garín-Muñoz & Covadonga Gijón Tascón, 2012. "Customer Service Quality and Incomplete Information in Mobile Telecommunications: A Game Theoretical Approach to Consumer Protection," Documentos de Trabajo del ICAE 2012-23, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  9. Aurora García-Gallego & Nikolaos Georgantzís & Joan Martín-Montaner & Teodosio Pérez-Amaral, 2012. "(How) Do research and administrative duties affect university professors’ teaching?," Documentos de Trabajo del ICAE 2012-22, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  10. Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos de Trabajo del ICAE 2012-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Oct 2012.
  11. Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Working Papers in Economics 11/05, University of Canterbury, Department of Economics and Finance.
  12. Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "The Rise and Fall of S&P500 Variance Futures," KIER Working Papers 795, Kyoto University, Institute of Economic Research.
  13. Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/26, University of Canterbury, Department of Economics and Finance.
  14. Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Documentos de Trabajo del ICAE 2011-27, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  15. Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Documentos de Trabajo del ICAE 2011-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  16. Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Documentos de Trabajo del ICAE 1001, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  17. Garín-Muñoz, Teresa & Pérez-Amaral, Teodosio, 2010. "Internet Usage for Travel and Tourism. The Case of Spain," 21st European Regional ITS Conference, Copenhagen 2010: Telecommunications at new crossroads - Changing value configurations, user roles, and regulation 42, International Telecommunications Society (ITS).
  18. Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Pérez-Amaral, 2009. "The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord," Documentos de Trabajo del ICAE 2009-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  19. Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2009. "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," Documentos de Trabajo del ICAE 2009-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  20. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "What Happened to Risk Management During the 2008-09 Financial Crisis?," CARF F-Series CARF-F-155, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  21. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk," CARF F-Series CARF-F-159, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  22. McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez Amaral, Teodosio, 2009. "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," MPRA Paper 20975, University Library of Munich, Germany, revised 20 Sep 2009.
  23. Leonel Cerno & Teodosio Pérez Amaral, 2006. "Medición y Determinantes de la Brecha Tecnológica en España," Documentos de Trabajo del ICAE 0601, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  24. Leonel Cerno & Teodosio Pérez Amaral, 2005. "Demand for Internet Access and Use in Spain," Documentos de Trabajo del ICAE 0506, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  25. Massimiliano Marinucci & Teodosio Pérez-Amaral, 2005. "Econometric Modeling of Business Telecommunications Demand using RETINA and Finite Mixtures," Econometrics 0505003, EconWPA, revised 16 May 2005.
  26. Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert L. White, 2004. "A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets," Econometrics Working Papers Archive wp2004_12, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  27. Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert White, 2003. "Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Documentos de Trabajo del ICAE 0309, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

Articles

  1. McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "GFC-robust risk management strategies under the Basel Accord," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 97-111.
  2. Michael McAleer & Juan‐Ángel Jiménez‐Martín & Teodosio Pérez‐Amaral, 2013. "International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(3), pages 267-288, April.
  3. McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "Has the Basel Accord improved risk management during the global financial crisis?," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 250-265.
  4. Gijón, Covadonga & Garín-Muñoz, Teresa & Pérez-Amaral, Teodosio & López-Zorzano, Rafael, 2013. "Satisfaction of individual mobile phone users in Spain," Telecommunications Policy, Elsevier, vol. 37(10), pages 940-954.
  5. Casarin, Roberto & Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio, 2013. "Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 183-204.
  6. Teresa Garín-Muñoz & Covadonga Gijón & Teodosio Pérez-Amaral & Rafael López, 2013. "Customer Satisfaction of Mobile-Internet-Users: An Empirical Approximation for the Case of Spain," Journal of Reviews on Global Economics, Lifescience Global, vol. 2, pages 442-454.
  7. Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013. "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 223-237.
  8. Michael McAleer & Teodosio Pérez-Amaral, 2012. "Professor Halbert L. White, 1950–2012," Journal of Economic Surveys, Wiley Blackwell, vol. 26(4), pages 551-554, September.
  9. Chia-lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk management of risk under the Basel Accord: forecasting value-at-risk of VIX futures," Managerial Finance, Emerald Group Publishing, vol. 37(11), pages 1088-1106, September.
  10. Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2009. "The Ten Commandments For Managing Value At Risk Under The Basel Ii Accord," Journal of Economic Surveys, Wiley Blackwell, vol. 23(5), pages 850-855, December.
  11. Perez-Amaral, Teodosio & Gallo, Giampiero M. & White, Halbert, 2005. "A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets," Econometric Theory, Cambridge University Press, vol. 21(01), pages 262-277, February.
  12. Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert White, 2003. "A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 821-838, December.
  13. Teresa Garin-Munoz & Teodosio Perez Amaral, 2000. "An econometric model for international tourism flows to Spain," Applied Economics Letters, Taylor & Francis Journals, vol. 7(8), pages 525-529.
  14. Teresa Garin-Munoz & Teodosio Perez-Amaral, 1999. "A model of Spain-Europe telecommunications," Applied Economics, Taylor & Francis Journals, vol. 31(8), pages 989-997.
  15. Garin-Munoz, Teresa & Perez-Amaral, Teodosio, 1998. "Econometric modelling of Spanish very long distance international calling," Information Economics and Policy, Elsevier, vol. 10(2), pages 237-252, June.
  16. Rodriguez-Andres, Antonio & Perez-Amaral, Teodosio, 1998. "Demand for telephone lines and universal service in Spain," Information Economics and Policy, Elsevier, vol. 10(4), pages 501-514, December.
  17. Teodosio Perez Amaral, 1994. "Una aplicación de los contrastes M y de la matriz de información dinámica: el caso de la demanda de dinero norteamericana 1960-1984," Investigaciones Economicas, Fundación SEPI, vol. 18(1), pages 193-201, January.
  18. Teodosio Pérez Amaral, 1993. "Un estudio econométrico de la demanda de tráfico telefónico particular en España, 1980-1990," Investigaciones Economicas, Fundación SEPI, vol. 17(2), pages 363-378, May.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Aurora García-Gallego & Nikolaos Georgantzís & Joan Martín-Montaner & Teodosio Pérez-Amaral, 2012. "(How) Do research and administrative duties affect university professors’ teaching?," Documentos de Trabajo del ICAE 2012-22, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

    Mentioned in:

    1. Research and teaching are complements in terms of quality
      by Economic Logician in Economic Logic on 2012-11-28 21:48:00
    2. Academic research and teaching
      by René Böheim in Econ Tidbits on 2012-11-29 15:09:00

Working papers

  1. Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2015. "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Econometric Institute Research Papers EI2015-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

    Cited by:

    1. Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michael McAleer & Teodosio Pérez-Amaral, 2015. "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Documentos de Trabajo del ICAE 2015-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    2. Chang, C-L. & Jiménez-Martín, J.A. & Maasoumi, E. & McAleer, M.J., 2015. "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Econometric Institute Research Papers EI2015-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

  2. Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Teodosio Pérez Amaral, 2014. "A Stochastic Dominance Approach to Financial Risk Management Strategies," Documentos de Trabajo del ICAE 2014-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Apr 2014.

    Cited by:

    1. Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michael McAleer & Teodosio Pérez-Amaral, 2015. "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Documentos de Trabajo del ICAE 2015-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    2. Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Working Papers in Economics 14/29, University of Canterbury, Department of Economics and Finance.
    3. Chang, C-L. & McAleer, M.J., 2014. "Econometric Analysis of Financial Derivatives," Econometric Institute Research Papers EI 2015-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    4. Chang, C-L. & Jiménez-Martín, J.A. & Maasoumi, E. & McAleer, M.J., 2015. "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Econometric Institute Research Papers EI2015-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

  3. Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral, 2013. "Risk Modelling and Management: An Overview," KIER Working Papers 872, Kyoto University, Institute of Economic Research.

    Cited by:

    1. Arnaud Dufays & Jeroen V.K. Rombouts, 2016. "Sparse Change-point HAR Models for Realized Variance," Cahiers de recherche 1607, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.

  4. Rafael López Zorzano & Teodosio Pérez-Amaral & Teresa Garín-Muñoz & Covadonga Gijón Tascón, 2012. "Customer Service Quality and Incomplete Information in Mobile Telecommunications: A Game Theoretical Approach to Consumer Protection," Documentos de Trabajo del ICAE 2012-23, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

    Cited by:

    1. Reza RAJABIUN & Catherine MIDDLETON, 2015. "Lemons on the Edge of the Internet: The Importance of Transparency for Broadband Network Quality," Communications & Strategies, IDATE, Com&Strat dept., vol. 1(98), pages 119-136, 2nd quart.

  5. Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos de Trabajo del ICAE 2012-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Oct 2012.

    Cited by:

    1. Chang, Chia-Lin, 2015. "Modelling a latent daily Tourism Financial Conditions Index," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 113-126.
    2. Chang, C-L. & Allen, D.E. & McAleer, M.J., 2013. "Recent Developments in Financial Economics and Econometrics: An Overview," Econometric Institute Research Papers EI 2013-03, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    3. Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," KIER Working Papers 775, Kyoto University, Institute of Economic Research.
    4. Hu, Jin-Li & Yu, Hsueh-E, 2014. "Risk management in life insurance companies: Evidence from Taiwan," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 185-199.
    5. Chang, C-L. & McAleer, M.J. & Wang, C-H., 2016. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors," Econometric Institute Research Papers EI2016-31, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    6. Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013. "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 223-237.
    7. Chang, Chia-Lin & Jiménez-Martín, Juan-Ángel & Maasoumi, Esfandiar & Pérez-Amaral, Teodosio, 2015. "A stochastic dominance approach to financial risk management strategies," Journal of Econometrics, Elsevier, vol. 187(2), pages 472-485.
    8. Giulioni, Gianfranco, 2015. "Policy interest rate, loan portfolio management and bank liquidity," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 52-74.
    9. Su, Jung-Bin, 2014. "Empirical analysis of long memory, leverage, and distribution effects for stock market risk estimates," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 1-39.
    10. Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2016. "Measuring risks in the extreme tail: The extreme VaR and its confidence interval," Documents de travail du Centre d'Economie de la Sorbonne 16034rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2017.
    11. Chang, C-L. & Jiménez-Martín, J.A. & Maasoumi, E. & McAleer, M.J., 2015. "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Econometric Institute Research Papers EI2015-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    12. Herrera, Rodrigo & Schipp, Bernhard, 2014. "Statistics of extreme events in risk management: The impact of the subprime and global financial crisis on the German stock market," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 218-238.
    13. Hunzinger, Chadd B. & Labuschagne, Coenraad C.A., 2014. "The Cox, Ross and Rubinstein tree model which includes counterparty credit risk and funding costs," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 200-217.
    14. Feria-Domínguez, José Manuel & Jiménez-Rodríguez, Enrique & Sholarin, Ola, 2015. "Tackling the over-dispersion of operational risk: Implications on capital adequacy requirements," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 206-221.
    15. Liu, Xiaochun, 2017. "An integrated macro-financial risk-based approach to the stressed capital requirement," Review of Financial Economics, Elsevier, vol. 34(C), pages 86-98.
    16. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
    17. Liow, Kim Hiang, 2015. "Volatility spillover dynamics and relationship across G7 financial markets," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 328-365.
    18. Dang-Nguyen, Stéphane & Le Caillec, Jean-Marc & Hillion, Alain, 2014. "The deterministic shift extension and the affine dynamic Nelson–Siegel model," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 402-417.

  6. Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Working Papers in Economics 11/05, University of Canterbury, Department of Economics and Finance.

    Cited by:

    1. Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori, 2015. "Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes ," CIRJE F-Series CIRJE-F-953, CIRJE, Faculty of Economics, University of Tokyo.
    2. Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/26, University of Canterbury, Department of Economics and Finance.
    3. Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers EI 2011-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    4. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    5. Chang Liu & Raja Nassar & Min Guo, 2015. "A Method of Retail Mortgage Stress Testing: Based on Time‐Frame and Magnitude Analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(4), pages 261-274, July.
    6. Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013. "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 223-237.
    7. Chang, Chia-Lin & Jiménez-Martín, Juan-Ángel & Maasoumi, Esfandiar & Pérez-Amaral, Teodosio, 2015. "A stochastic dominance approach to financial risk management strategies," Journal of Econometrics, Elsevier, vol. 187(2), pages 472-485.
    8. Christophe Boucher & Jón Daníelsson & Patrick Kouontchou & Bertrand Maillet, 2014. "Risk model-at-risk," Post-Print hal-01370130, HAL.
    9. Chang, C-L. & Jiménez-Martín, J.A. & Maasoumi, E. & McAleer, M.J., 2015. "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Econometric Institute Research Papers EI2015-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    10. Chang, Chia-Lin & González-Serrano, Lydia & Jimenez-Martin, Juan-Angel, 2013. "Currency hedging strategies using dynamic multivariate GARCH," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 164-182.
    11. Sonia Benito Muela & Carmen López-Martín & Mª Ángeles Navarro, 2017. "The Role of the Skewed Distributions in the Framework of Extreme Value Theory (EVT)," International Business Research, Canadian Center of Science and Education, vol. 10(11), pages 88-102, November.
    12. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.

  7. Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "The Rise and Fall of S&P500 Variance Futures," KIER Working Papers 795, Kyoto University, Institute of Economic Research.

    Cited by:

    1. Chang, Chia-Lin, 2015. "Modelling a latent daily Tourism Financial Conditions Index," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 113-126.
    2. Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Working Papers in Economics 12/10, University of Canterbury, Department of Economics and Finance.
    3. Yu, Xisheng & Xie, Xiaoke, 2015. "Pricing American options: RNMs-constrained entropic least-squares approach," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 155-173.
    4. David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2013. "A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 6(1), pages 1-25, October.
    5. Kotzé, Antonie & Labuschagne, Coenraad C.A. & Nair, Merell L. & Padayachi, Nadine, 2013. "Arbitrage-free implied volatility surfaces for options on single stock futures," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 380-399.
    6. Ho, Kin-Yip & Shi, Yanlin & Zhang, Zhaoyong, 2013. "How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 436-456.
    7. Wang, Yuming & Ma, Jinpeng, 2014. "Excess volatility and the cross-section of stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 27(C), pages 1-16.

  8. Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/26, University of Canterbury, Department of Economics and Finance.

    Cited by:

    1. Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michael McAleer & Teodosio Pérez-Amaral, 2015. "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Documentos de Trabajo del ICAE 2015-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    2. Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/26, University of Canterbury, Department of Economics and Finance.
    3. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox," CREATES Research Papers 2013-09, Department of Economics and Business Economics, Aarhus University.
    4. Chang, C-L. & Allen, D.E. & McAleer, M.J. & Pérez-Amaral, T., 2013. "Risk Modelling and Management: An Overview," Econometric Institute Research Papers EI 2013-22, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    5. Tim Leung & Brian Ward, 2015. "The golden target: analyzing the tracking performance of leveraged gold ETFs," Studies in Economics and Finance, Emerald Group Publishing, vol. 32(3), pages 278-297, August.
    6. Chang, Chia-Lin & Jiménez-Martín, Juan-Ángel & Maasoumi, Esfandiar & Pérez-Amaral, Teodosio, 2015. "A stochastic dominance approach to financial risk management strategies," Journal of Econometrics, Elsevier, vol. 187(2), pages 472-485.
    7. Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "The Rise and Fall of S&P500 Variance Futures," KIER Working Papers 795, Kyoto University, Institute of Economic Research.
    8. Campos, I. & Cortazar, G. & Reyes, T., 2017. "Modeling and predicting oil VIX: Internet search volume versus traditional mariables," Energy Economics, Elsevier, vol. 66(C), pages 194-204.
    9. Chao Wang & Qian Chen & Richard Gerlach, 2017. "Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution," Papers 1707.03715, arXiv.org.
    10. Fries, Christian P. & Nigbur, Tobias & Seeger, Norman, 2017. "Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 175-198.
    11. Richard Gerlach & Chao Wang, 2016. "Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures," Papers 1612.08488, arXiv.org.

  9. Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Documentos de Trabajo del ICAE 2011-27, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

    Cited by:

    1. Chang, C-L. & Allen, D.E. & McAleer, M.J. & Pérez-Amaral, T., 2013. "Risk Modelling and Management: An Overview," Econometric Institute Research Papers EI 2013-22, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Liu, Xiaochun, 2017. "An integrated macro-financial risk-based approach to the stressed capital requirement," Review of Financial Economics, Elsevier, vol. 34(C), pages 86-98.

  10. Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Documentos de Trabajo del ICAE 2011-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

    Cited by:

    1. Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michael McAleer & Teodosio Pérez-Amaral, 2015. "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Documentos de Trabajo del ICAE 2015-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    2. Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/26, University of Canterbury, Department of Economics and Finance.
    3. Tim Leung & Brian Ward, 2015. "The golden target: analyzing the tracking performance of leveraged gold ETFs," Studies in Economics and Finance, Emerald Group Publishing, vol. 32(3), pages 278-297, August.
    4. Chang, Chia-Lin & Jiménez-Martín, Juan-Ángel & Maasoumi, Esfandiar & Pérez-Amaral, Teodosio, 2015. "A stochastic dominance approach to financial risk management strategies," Journal of Econometrics, Elsevier, vol. 187(2), pages 472-485.
    5. Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "The Rise and Fall of S&P500 Variance Futures," KIER Working Papers 795, Kyoto University, Institute of Economic Research.
    6. Campos, I. & Cortazar, G. & Reyes, T., 2017. "Modeling and predicting oil VIX: Internet search volume versus traditional mariables," Energy Economics, Elsevier, vol. 66(C), pages 194-204.
    7. Chao Wang & Qian Chen & Richard Gerlach, 2017. "Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution," Papers 1707.03715, arXiv.org.
    8. Chang, C-L. & Jiménez-Martín, J.A. & Maasoumi, E. & McAleer, M.J., 2015. "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Econometric Institute Research Papers EI2015-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    9. Richard Gerlach & Chao Wang, 2016. "Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures," Papers 1612.08488, arXiv.org.

  11. Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Documentos de Trabajo del ICAE 1001, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

    Cited by:

    1. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Econometric Institute Research Papers EI 2010-59, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Chang, Chia-Lin, 2015. "Modelling a latent daily Tourism Financial Conditions Index," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 113-126.
    3. Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/26, University of Canterbury, Department of Economics and Finance.
    4. Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers EI 2011-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    5. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    6. Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Working Papers in Economics 11/05, University of Canterbury, Department of Economics and Finance.
    7. Su, Jung-Bin & Lee, Ming-Chih & Chiu, Chien-Liang, 2014. "Why does skewness and the fat-tail effect influence value-at-risk estimates? Evidence from alternative capital markets," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 59-85.
    8. Chang, C-L. & Allen, D.E. & McAleer, M.J. & Pérez-Amaral, T., 2013. "Risk Modelling and Management: An Overview," Econometric Institute Research Papers EI 2013-22, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    9. Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013. "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 223-237.
    10. Chang, Chia-Lin & Jiménez-Martín, Juan-Ángel & Maasoumi, Esfandiar & Pérez-Amaral, Teodosio, 2015. "A stochastic dominance approach to financial risk management strategies," Journal of Econometrics, Elsevier, vol. 187(2), pages 472-485.
    11. Manabu Asai & Massimiliano Caporin & Michael McAleer, 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Documentos de Trabajo del ICAE 2012-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    12. Caporin, Massimiliano & Velo, Gabriel G., 2015. "Realized range volatility forecasting: Dynamic features and predictive variables," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 98-112.
    13. Halbleib, Roxana & Pohlmeier, Winfried, 2012. "Improving the value at risk forecasts: Theory and evidence from the financial crisis," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1212-1228.
    14. Chao Wang & Qian Chen & Richard Gerlach, 2017. "Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution," Papers 1707.03715, arXiv.org.
    15. Bouwman, Kees & Buis, Boyd & Pieterse-Bloem, Mary & Tham, Wing Wah, 2015. "A practical approach to constructing price-based funding liquidity factors," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 90-97.
    16. Chang, C-L. & Jiménez-Martín, J.A. & Maasoumi, E. & McAleer, M.J., 2015. "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Econometric Institute Research Papers EI2015-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    17. Lean, Hooi Hooi & McAleer, Michael & Wong, Wing-Keung, 2015. "Preferences of risk-averse and risk-seeking investors for oil spot and futures before, during and after the Global Financial Crisis," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 204-216.
    18. Liao, Shuyu & Sojli, Elvira & Tham, Wing Wah, 2015. "Managing systemic risk in The Netherlands," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 231-245.
    19. Liu, Xiaochun, 2017. "An integrated macro-financial risk-based approach to the stressed capital requirement," Review of Financial Economics, Elsevier, vol. 34(C), pages 86-98.
    20. Richard Gerlach & Chao Wang, 2016. "Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures," Papers 1612.08488, arXiv.org.

  12. Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Pérez-Amaral, 2009. "The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord," Documentos de Trabajo del ICAE 2009-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

    Cited by:

    1. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Econometric Institute Research Papers EI 2010-59, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Hammoudeh, S.M. & Malik, F. & McAleer, M.J., 2010. "Risk management of precious metals," Econometric Institute Research Papers EI 2010-48, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    3. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," CIRJE F-Series CIRJE-F-667, CIRJE, Faculty of Economics, University of Tokyo.
    4. Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/26, University of Canterbury, Department of Economics and Finance.
    5. Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers EI 2011-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    6. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    7. Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Working Papers in Economics 11/05, University of Canterbury, Department of Economics and Finance.
    8. Hammoudeh, Shawkat & Araújo Santos, Paulo & Al-Hassan, Abdullah, 2013. "Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 318-334.
    9. Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013. "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 223-237.
    10. McAleer, M.J., 2008. "The ten commandments for optimizing value-at-risk and daily capital charges," Econometric Institute Research Papers EI 2008-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    11. Simone Varotto, 2011. "Liquidity Risk, Credit Risk, Market Risk and Bank Capital," ICMA Centre Discussion Papers in Finance icma-dp2011-02, Henley Business School, Reading University.
    12. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2009. "What Happened to Risk Management During the 2008-09 Financial Crisis?," Econometric Institute Research Papers EI 2009-17, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    13. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," CIRJE F-Series CIRJE-F-643, CIRJE, Faculty of Economics, University of Tokyo.
    14. Bernardo da Veiga & Felix Chan & Michael McAleer, 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," CARF F-Series CARF-F-186, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    15. Cabrales Goitia, Antonio & Lugo, Haydeé, 2011. "An impure public good model with lotteries in large groups," UC3M Working papers. Economics we1107, Universidad Carlos III de Madrid. Departamento de Economía.
    16. Simone Varotto, 2011. "Liquidity risk, credit risk, market risk and bank capital," International Journal of Managerial Finance, Emerald Group Publishing, vol. 7(2), pages 134-152, April.

  13. Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2009. "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," Documentos de Trabajo del ICAE 2009-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

    Cited by:

    1. Chia-Lin Chang & Michael McAleer, 2010. "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," KIER Working Papers 712, Kyoto University, Institute of Economic Research.
    2. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Econometric Institute Research Papers EI 2010-59, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    3. Chang, C-L. & McAleer, M.J., 2009. "Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan," Econometric Institute Research Papers EI 2009-41, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    4. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," CIRJE F-Series CIRJE-F-667, CIRJE, Faculty of Economics, University of Tokyo.
    5. Chang, Chia-Lin, 2015. "Modelling a latent daily Tourism Financial Conditions Index," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 113-126.
    6. Mateusz Buczyński & Marcin Chlebus, 2017. "Is CAViaR model really so good in Value at Risk forecasting? Evidence from evaluation of a quality of Value-at-Risk forecasts obtained based on the: GARCH(1,1), GARCH-t(1,1), GARCH-st(1,1), QML-GARCH(," Working Papers 2017-29, Faculty of Economic Sciences, University of Warsaw.
    7. Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/26, University of Canterbury, Department of Economics and Finance.
    8. Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers EI 2011-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    9. Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Working Papers in Economics 11/05, University of Canterbury, Department of Economics and Finance.
    10. Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," KIER Working Papers 775, Kyoto University, Institute of Economic Research.
    11. Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013. "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 223-237.
    12. McAleer, M.J., 2008. "The ten commandments for optimizing value-at-risk and daily capital charges," Econometric Institute Research Papers EI 2008-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    13. Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "The Rise and Fall of S&P500 Variance Futures," KIER Working Papers 795, Kyoto University, Institute of Economic Research.
    14. Costa Cabral, Nazare, 2010. "Breve guia temático e bibliográfico sobre o estudo da actual crise financeira e económica
      [Short thematic guide to the study of current financial and economic crisis]
      ," MPRA Paper 20743, University Library of Munich, Germany.
    15. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2009. "What Happened to Risk Management During the 2008-09 Financial Crisis?," Econometric Institute Research Papers EI 2009-17, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    16. Bernardo da Veiga & Felix Chan & Michael McAleer, 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," CARF F-Series CARF-F-186, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.

  14. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "What Happened to Risk Management During the 2008-09 Financial Crisis?," CARF F-Series CARF-F-155, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.

    Cited by:

    1. Chia-Lin Chang & Michael McAleer, 2010. "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," KIER Working Papers 712, Kyoto University, Institute of Economic Research.
    2. Chang, C-L. & McAleer, M.J., 2009. "Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan," Econometric Institute Research Papers EI 2009-41, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    3. Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," KIER Working Papers 775, Kyoto University, Institute of Economic Research.
    4. Bernardo da Veiga & Felix Chan & Michael McAleer, 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," CARF F-Series CARF-F-186, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.

  15. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk," CARF F-Series CARF-F-159, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.

    Cited by:

    1. Chia-Lin Chang & Michael McAleer, 2010. "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," KIER Working Papers 712, Kyoto University, Institute of Economic Research.
    2. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Econometric Institute Research Papers EI 2010-59, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    3. Chang, C-L. & McAleer, M.J., 2009. "Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan," Econometric Institute Research Papers EI 2009-41, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    4. Hammoudeh, S.M. & Malik, F. & McAleer, M.J., 2010. "Risk management of precious metals," Econometric Institute Research Papers EI 2010-48, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    5. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," CIRJE F-Series CIRJE-F-667, CIRJE, Faculty of Economics, University of Tokyo.
    6. Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/26, University of Canterbury, Department of Economics and Finance.
    7. Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers EI 2011-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    8. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    9. Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Working Papers in Economics 11/05, University of Canterbury, Department of Economics and Finance.
    10. Santos, André A.P. & Nogales, Francisco J. & Ruiz, Esther & Dijk, Dick Van, 2012. "Optimal portfolios with minimum capital requirements," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1928-1942.
    11. Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013. "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 223-237.
    12. Chang, Chia-Lin & Jiménez-Martín, Juan-Ángel & Maasoumi, Esfandiar & Pérez-Amaral, Teodosio, 2015. "A stochastic dominance approach to financial risk management strategies," Journal of Econometrics, Elsevier, vol. 187(2), pages 472-485.
    13. McAleer, M.J., 2008. "The ten commandments for optimizing value-at-risk and daily capital charges," Econometric Institute Research Papers EI 2008-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    14. Kaihua Deng, 2015. "Predicting By Learning: An Adaptive Rationale," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-14, December.
    15. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2009. "What Happened to Risk Management During the 2008-09 Financial Crisis?," Econometric Institute Research Papers EI 2009-17, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    16. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," CIRJE F-Series CIRJE-F-643, CIRJE, Faculty of Economics, University of Tokyo.
    17. Bernardo da Veiga & Felix Chan & Michael McAleer, 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," CARF F-Series CARF-F-186, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    18. Chang, C-L. & Jiménez-Martín, J.A. & Maasoumi, E. & McAleer, M.J., 2015. "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Econometric Institute Research Papers EI2015-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    19. Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Pérez-Amaral, 2009. "The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord," Documentos de Trabajo del ICAE 2009-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    20. Sinha, Pankaj & Agnihotri, Shalini, 2014. "Sensitivity of Value at Risk estimation to NonNormality of returns and Market capitalization," MPRA Paper 56307, University Library of Munich, Germany, revised 26 May 2014.
    21. Liu, Xiaochun, 2017. "An integrated macro-financial risk-based approach to the stressed capital requirement," Review of Financial Economics, Elsevier, vol. 34(C), pages 86-98.

  16. McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez Amaral, Teodosio, 2009. "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," MPRA Paper 20975, University Library of Munich, Germany, revised 20 Sep 2009.

    Cited by:

    1. Chia-Lin Chang & Michael McAleer, 2010. "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," KIER Working Papers 712, Kyoto University, Institute of Economic Research.
    2. Chang, C-L. & McAleer, M.J., 2009. "Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan," Econometric Institute Research Papers EI 2009-41, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

  17. Leonel Cerno & Teodosio Pérez Amaral, 2005. "Demand for Internet Access and Use in Spain," Documentos de Trabajo del ICAE 0506, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

    Cited by:

    1. Hisham Jameel Bardesi, 2016. "Factors Affecting Demand For Internet Access In Saudi Arabia," Eurasian Journal of Business and Management, Eurasian Publications, vol. 4(3), pages 29-38.

  18. Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert L. White, 2004. "A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets," Econometrics Working Papers Archive wp2004_12, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".

    Cited by:

    1. Antipa, Pamfili & Barhoumi, Karim & Brunhes-Lesage, Véronique & Darné, Olivier, 2012. "Nowcasting German GDP: A comparison of bridge and factor models," Journal of Policy Modeling, Elsevier, vol. 34(6), pages 864-878.
    2. Phillips, Peter C.B., 2005. "Automated Discovery In Econometrics," Econometric Theory, Cambridge University Press, vol. 21(01), pages 3-20, February.
    3. Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
    4. Giampiero M. Gallo, 2017. "Hendry, David F. and Doornik, Jurgen A.: Empirical model discovery and theory evaluation: automatic selection methods in econometrics," Journal of Economics, Springer, vol. 120(3), pages 279-281, April.
    5. Marcin Blazejowski & Pawel Kufel & Tadeusz Kufel, . "Automatic Procedure of Building Congruent Dynamic Model in Gretl," EHUCHAPS, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales.
    6. Giuseppe Parigi & Roberto Golinelli, 2007. "The use of monthly indicators to forecast quarterly GDP in the short run: an application to the G7 countries," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(2), pages 77-94.
    7. Golinelli, Roberto & Parigi, Giuseppe, 2008. "Real-time squared: A real-time data set for real-time GDP forecasting," International Journal of Forecasting, Elsevier, vol. 24(3), pages 368-385.
    8. Camila Epprecht & Dominique Guegan & Álvaro Veiga, 2013. "Comparing variable selection techniques for linear regression: LASSO and Autometrics," Documents de travail du Centre d'Economie de la Sorbonne 13080, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    9. Camila Epprecht & Dominique Guegan & Álvaro Veiga & Joel Correa da Rosa, 2017. "Variable selection and forecasting via automated methods for linear models: LASSO/adaLASSO and Autometrics," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00917797, HAL.
    10. Brunhes-Lesage, Véronique & Darné, Olivier, 2012. "Nowcasting the French index of industrial production: A comparison from bridge and factor models," Economic Modelling, Elsevier, vol. 29(6), pages 2174-2182.
    11. Barhoumi, K. & Brunhes-Lesage, V. & Darné, O. & Ferrara, L. & Pluyaud, B. & Rouvreau, B., 2008. "Monthly forecasting of French GDP: A revised version of the OPTIM model," Working papers 222, Banque de France.

  19. Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert White, 2003. "Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Documentos de Trabajo del ICAE 0309, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

    Cited by:

    1. Kock, Anders Bredahl & Teräsvirta, Timo, 2014. "Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009," International Journal of Forecasting, Elsevier, vol. 30(3), pages 616-631.
    2. Eduardo Acosta-González & Fernando Fernández-Rodríguez, 2014. "Forecasting Financial Failure of Firms via Genetic Algorithms," Computational Economics, Springer;Society for Computational Economics, vol. 43(2), pages 133-157, February.
    3. Ivan Savin, 2010. "A comparative study of the Lasso-type and heuristic model selection methods," Working Papers 042, COMISEF.
    4. Massimiliano Marinucci & Teodosio Pérez-Amaral, 2005. "Econometric modeling of business Telecommunications demand using Retina and Finite Mixtues," Documentos de Trabajo del ICAE 0501, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    5. Jurgen A. Doornik, 2008. "Encompassing and Automatic Model Selection," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 915-925, December.
    6. Jennifer Castle & David Hendry & Jurgen A. Doornik, 2010. "Evaluating Automatic Model Selection," Economics Series Working Papers 474, University of Oxford, Department of Economics.
    7. Gernot Doppelhofer & Xavier Sala I Martin & Melvyn Weeks, 2005. "Jointness of Determinants of Economics Growth," Money Macro and Finance (MMF) Research Group Conference 2005 54, Money Macro and Finance Research Group.
    8. Ivan Savin & Peter Winker, 2012. "Heuristic Optimization Methods for Dynamic Panel Data Model Selection: Application on the Russian Innovative Performance," Computational Economics, Springer;Society for Computational Economics, vol. 39(4), pages 337-363, April.
    9. Marcin Blazejowski & Pawel Kufel & Tadeusz Kufel, . "Automatic Procedure of Building Congruent Dynamic Model in Gretl," EHUCHAPS, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales.
    10. Doppelhofer, G. & Weeks, M., 2005. "Jointness of Growth Determinants," Cambridge Working Papers in Economics 0542, Faculty of Economics, University of Cambridge.
    11. David F. Hendry & Hans-Martin Krolzig, 2004. "We Ran One Regression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(5), pages 799-810, December.
    12. Camila Epprecht & Dominique Guegan & Álvaro Veiga, 2013. "Comparing variable selection techniques for linear regression: LASSO and Autometrics," Documents de travail du Centre d'Economie de la Sorbonne 13080, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    13. Sachs, Andreas & Schleer, Frauke, 2013. "Labour market performance in OECD countries: A comprehensive empirical modelling approach of institutional interdependencies," ZEW Discussion Papers 13-040, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    14. Camila Epprecht & Dominique Guegan & Álvaro Veiga & Joel Correa da Rosa, 2017. "Variable selection and forecasting via automated methods for linear models: LASSO/adaLASSO and Autometrics," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00917797, HAL.
    15. Jennifer Castle & David Hendry, 2010. "Automatic Selection for Non-linear Models," Economics Series Working Papers 473, University of Oxford, Department of Economics.
    16. Ericsson Neil R., 2016. "Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 377-398, September.

Articles

  1. McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "GFC-robust risk management strategies under the Basel Accord," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 97-111.
    See citations under working paper version above.
  2. Michael McAleer & Juan‐Ángel Jiménez‐Martín & Teodosio Pérez‐Amaral, 2013. "International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(3), pages 267-288, April.
    See citations under working paper version above.
  3. McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "Has the Basel Accord improved risk management during the global financial crisis?," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 250-265.
    See citations under working paper version above.
  4. Gijón, Covadonga & Garín-Muñoz, Teresa & Pérez-Amaral, Teodosio & López-Zorzano, Rafael, 2013. "Satisfaction of individual mobile phone users in Spain," Telecommunications Policy, Elsevier, vol. 37(10), pages 940-954.

    Cited by:

    1. Ruiz Díaz, Gonzalo, 2017. "The influence of satisfaction on customer retention in mobile phone market," Journal of Retailing and Consumer Services, Elsevier, vol. 36(C), pages 75-85.
    2. Joan Calzada & Fernando Martínez-Santos, 2016. "Pricing strategies and competition in the mobile broadband market," Journal of Regulatory Economics, Springer, vol. 50(1), pages 70-98, August.

  5. Casarin, Roberto & Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio, 2013. "Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 183-204.
    See citations under working paper version above.
  6. Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013. "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 223-237.
    See citations under working paper version above.
  7. Chia-lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk management of risk under the Basel Accord: forecasting value-at-risk of VIX futures," Managerial Finance, Emerald Group Publishing, vol. 37(11), pages 1088-1106, September.
    See citations under working paper version above.
  8. Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2009. "The Ten Commandments For Managing Value At Risk Under The Basel Ii Accord," Journal of Economic Surveys, Wiley Blackwell, vol. 23(5), pages 850-855, December.
    See citations under working paper version above.
  9. Perez-Amaral, Teodosio & Gallo, Giampiero M. & White, Halbert, 2005. "A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets," Econometric Theory, Cambridge University Press, vol. 21(01), pages 262-277, February.
    See citations under working paper version above.
  10. Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert White, 2003. "A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 821-838, December.
    See citations under working paper version above.
  11. Teresa Garin-Munoz & Teodosio Perez Amaral, 2000. "An econometric model for international tourism flows to Spain," Applied Economics Letters, Taylor & Francis Journals, vol. 7(8), pages 525-529.

    Cited by:

    1. Aslan, Alper & Kaplan, Muhittin & Kula, Ferit, 2008. "International Tourism Demand for Turkey: A Dynamic Panel Data Approach," MPRA Paper 10601, University Library of Munich, Germany.
    2. Marcos Álvarez-Díaz & Manuel González-Gómez & María Soledad Otero-Giráldez & Ana Belén Trigo Iglesias, 2014. "Modelización econométrica de la demanda de turistas británicos a España," Working Papers 1404, Universidade de Vigo, Departamento de Economía Aplicada.
    3. McAleer, M.J. & Huang, B-W. & Kuo, H-I. & Chen, C-C. & Chang, C-L., 2008. "An econometric analysis of SARS and Avian flu on international tourist arrivals to Asia," Econometric Institute Research Papers EI 2008-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    4. Logar, Ivana & van den Bergh, Jeroen C.J.M., 2013. "The impact of peak oil on tourism in Spain: An input–output analysis of price, demand and economy-wide effects," Energy, Elsevier, vol. 54(C), pages 155-166.
    5. Chukiat Chaiboonsri & Prasert Chaitip & N. Rangaswamy, 2008. "A Panel Unit Root and Panel Cointegration Test of the Modeling International Tourism Demand in India," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 8(1), pages 95-124.
    6. Prasert Chaitip & Chukiat Chaiboonsri, 2009. "A Panel Cointegration Analysis: Thailand’s International Tourism Demand Model," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 9(1), pages 129-142.
    7. Marcos Alvarez-Díaz & Mª Soledad Otero-Giraldez & Manuel González-Gómez, 2015. "La Modelización de la Demanda de Turismo de Economías Emergentes: El caso de la Llegada de Turistas Rusos a España," Working Papers 1503, Universidade de Vigo, Departamento de Economía Aplicada.
    8. Mammadov, Fuad, 2012. "Turizmin dinamikası və determinantları: Azərbaycan və dünya təcrübəsi
      [Dynamics and determinants of Tourism: the world experience and Azerbaijan]
      ," MPRA Paper 77444, University Library of Munich, Germany.
    9. Ahlfeldt, Gabriel M. & Franke, Bastian & Maennig, Wolfgang, 2015. "Terrorism and international tourism: the case of Germany," LSE Research Online Documents on Economics 56847, London School of Economics and Political Science, LSE Library.
    10. Melitón Ramirez Mattos, 2005. "Econometric Model for Cement demand and supply in Bolivia," Econometrics 0508019, EconWPA.
    11. Duha T. Altindag, 2009. "Crime and International Tourism," Departmental Working Papers 2009-15, Department of Economics, Louisiana State University.
    12. Claveria, Oscar & Datzira, Jordi, 2008. "Tourism Demand in Catalonia: Detecting External Economic Factors," MPRA Paper 25303, University Library of Munich, Germany, revised 12 Apr 2008.
    13. Sergio Da Silva & Gustavo Manfrim, 2007. "Estimating demand elasticities of fixed telephony in Brazil," Economics Bulletin, AccessEcon, vol. 12(5), pages 1-9.
    14. Wang, Yu Shan, 2014. "Effects of budgetary constraints on international tourism expenditures," Tourism Management, Elsevier, vol. 41(C), pages 9-18.
    15. Deluna, Roperto Jr & Jeon, Narae, 2014. "Determinants of International Tourism Demand for the Philippines: An Augmented Gravity Model Approach," MPRA Paper 55294, University Library of Munich, Germany.
    16. Agiomirgianakis, George & Serenis, Dimitrios & Tsounis, Nicholas, 2017. "Effective timing of tourism policy: The case of Singapore," Economic Modelling, Elsevier, vol. 60(C), pages 29-38.
    17. Su, Yu-Wen & Lin, Hui-Lin, 2014. "Analysis of international tourist arrivals worldwide: The role of world heritage sites," Tourism Management, Elsevier, vol. 40(C), pages 46-58.
    18. GARCIA-HIERNAUX, Alfredo & CERNO, Leonel, 2006. "Empirical Evidence For A Money Demand Function: A Panel Data Analysis Of 27 Countries In 1988-98," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(1).
    19. Chukiat Chaiboonsri & Jittaporn Sriboonjit & Thanes Sriwichailamphan & Prasert Chaitip & Songsak Sriboonchitta, 2010. "A Panel Cointegration Analysis: An Application To International Tourism Demand Of Thailand," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 10(3), pages 69-86.
    20. William Maloney & Gabriel V. Montes Rojas, 2005. "How elastic are sea, sand and sun? Dynamic panel estimates of the demand for tourism," Applied Economics Letters, Taylor & Francis Journals, vol. 12(5), pages 277-280.
    21. Becken, Susanne & Lennox, James, 2012. "Implications of a long-term increase in oil prices for tourism," Tourism Management, Elsevier, vol. 33(1), pages 133-142.
    22. Zdravko Šergo & Amorino Poropat & Pavlo Ružić, 2014. "The determinants of length of stay and arrivals of tourists in the Croatia: a panel data approach," Tourism and Hospitality Industry section8-4, University of Rijeka, Faculty of Tourism and Hospitality Management.
    23. Mohammad ALAWIN & Ziad ABU-LILA, 2016. "Uncertainty and Gravity Model for International Tourism Demand in Jordan: Evidence from Panel-GARCH Model," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 16(1).

  12. Teresa Garin-Munoz & Teodosio Perez-Amaral, 1999. "A model of Spain-Europe telecommunications," Applied Economics, Taylor & Francis Journals, vol. 31(8), pages 989-997.

    Cited by:

    1. Wellmann, Nicolas, 2017. "OTT-Messaging and Mobile Telecommunication: A Joint Market? An Empirical Approach," 28th European Regional ITS Conference, Passau 2017 169503, International Telecommunications Society (ITS).
    2. Basalisco, Bruno, 2012. "The effect of user interaction on the demand for mobile text messages: Evidence from cross-country data," Information Economics and Policy, Elsevier, vol. 24(2), pages 132-144.
    3. Mayo, John W. & Ukhaneva, Olga, 2017. "International telecommunications demand," Information Economics and Policy, Elsevier, vol. 39(C), pages 26-35.
    4. Wellmann, Nicolas, 2017. "OTT-messaging and mobile telecommunication: A joint market? - An empirical approach," DICE Discussion Papers 256, University of Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).

  13. Garin-Munoz, Teresa & Perez-Amaral, Teodosio, 1998. "Econometric modelling of Spanish very long distance international calling," Information Economics and Policy, Elsevier, vol. 10(2), pages 237-252, June.

    Cited by:

    1. Agiakloglou, Christos & Gkouvakis, Michail, 2015. "Causal interrelations among market fundamentals: Evidence from the European Telecommunications sector," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 150-159.
    2. Basalisco, Bruno, 2012. "The effect of user interaction on the demand for mobile text messages: Evidence from cross-country data," Information Economics and Policy, Elsevier, vol. 24(2), pages 132-144.
    3. Agiakloglou, Christos & Polemis, Michael, 2015. "What determines demand for Telecommunications services? Evidence from the EU countries before and after liberalization," 26th European Regional ITS Conference, Madrid 2015 127119, International Telecommunications Society (ITS).
    4. Fildes, Robert & Kumar, V., 2002. "Telecommunications demand forecasting--a review," International Journal of Forecasting, Elsevier, vol. 18(4), pages 489-522.
    5. Madden, Gary & Savage, Scott J. & Coble-Neal, Grant, 2002. "Forecasting United States-Asia international message telephone service," International Journal of Forecasting, Elsevier, vol. 18(4), pages 523-543.
    6. Mayo, John W. & Ukhaneva, Olga, 2017. "International telecommunications demand," Information Economics and Policy, Elsevier, vol. 39(C), pages 26-35.
    7. Karikari, John A. & Gyimah-Brempong, Kwabena, 1999. "Demand for international telephone services between US and Africa," Information Economics and Policy, Elsevier, vol. 11(4), pages 407-435, December.
    8. Agiakloglou, Christos & Karkalakos, Sotiris, 2006. "Estimating Diffusion Rates for Telecommunications: Evidence from European Union," MPRA Paper 45862, University Library of Munich, Germany.
    9. Gyimah-Brempong, Kwabena & Karikari, John Agyei, 2001. "Effects of capacity constraint on US-African telephone traffic," Information Economics and Policy, Elsevier, vol. 13(1), pages 1-18, March.
    10. Rodriguez-Andres, Antonio & Perez-Amaral, Teodosio, 1998. "Demand for telephone lines and universal service in Spain," Information Economics and Policy, Elsevier, vol. 10(4), pages 501-514, December.
    11. Agiakloglou, Christos & Gkouvakis, Michalis, 2012. "Causal interrelations among market fundamentals: Evidence from the Europen telecommunications sector," 23rd European Regional ITS Conference, Vienna 2012 60387, International Telecommunications Society (ITS).
    12. Agiakloglou, Christos & Karkalakos, Sotiris, 2006. "Estimating Diffusion Rates for Telecommunications: Evidence from European Union," MPRA Paper 45788, University Library of Munich, Germany.
    13. Gyimah-Brempong, Kwabena & Karikari, John Agyei, 2002. "Cost shifting in international telephone calls between US and African countries," Journal of Development Economics, Elsevier, vol. 68(2), pages 455-477, August.
    14. Bölcskei, Vanda, 2010. "A távbeszélő-szolgáltatások keresleti modelljeinek áttekintése - különös tekintettel a vezetékes és mobilszolgáltatások közötti helyettesítés becslésére
      [A review of the demand models of telephone
      ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 517-535.

  14. Rodriguez-Andres, Antonio & Perez-Amaral, Teodosio, 1998. "Demand for telephone lines and universal service in Spain," Information Economics and Policy, Elsevier, vol. 10(4), pages 501-514, December.

    Cited by:

    1. Mongkolporn, Veerasak & Yin, Xiangkang, 2005. "How does the entry of new firms change demand? An empirical estimation for a Thai telecommunications company," Journal of Asian Economics, Elsevier, vol. 16(4), pages 688-703, August.

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 47 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (30) 2009-03-22 2009-03-28 2009-05-23 2009-08-22 2009-08-22 2009-08-22 2009-09-26 2009-09-26 2010-03-20 2010-10-23 2011-01-23 2011-01-30 2011-02-12 2011-03-12 2011-03-26 2011-04-09 2011-04-23 2011-07-21 2011-07-27 2011-07-27 2011-08-02 2011-08-02 2011-11-14 2011-11-28 2012-11-11 2013-01-26 2013-07-15 2014-01-17 2014-05-09 2016-02-29. Author is listed
  2. NEP-FOR: Forecasting (25) 2009-08-22 2009-09-26 2010-03-20 2010-10-23 2010-10-23 2011-01-23 2011-01-30 2011-02-05 2011-02-12 2011-03-12 2011-03-26 2011-04-09 2011-04-23 2011-07-21 2011-07-27 2011-07-27 2011-08-02 2011-08-02 2011-11-14 2012-11-11 2013-01-26 2013-07-15 2013-07-15 2013-08-10 2014-01-17. Author is listed
  3. NEP-FMK: Financial Markets (19) 2009-03-22 2009-05-23 2009-08-22 2009-08-22 2009-09-26 2009-09-26 2011-01-23 2011-01-30 2011-02-12 2011-03-12 2011-03-26 2011-04-09 2011-04-23 2011-07-27 2011-08-02 2011-11-14 2011-11-28 2012-11-11 2014-01-17. Author is listed
  4. NEP-BAN: Banking (18) 2010-03-20 2010-10-23 2011-01-23 2011-01-30 2011-02-12 2011-03-12 2011-03-26 2011-04-09 2011-04-23 2011-07-21 2011-07-27 2011-07-27 2011-08-02 2011-08-02 2012-11-11 2013-01-26 2014-05-09 2016-02-29. Author is listed
  5. NEP-CBA: Central Banking (16) 2009-05-23 2009-08-22 2009-08-22 2009-08-30 2011-03-12 2011-03-26 2011-04-09 2011-04-23 2011-07-21 2011-07-27 2011-07-27 2011-08-02 2012-11-11 2013-01-26 2014-05-09 2016-02-29. Author is listed
  6. NEP-CFN: Corporate Finance (9) 2010-10-23 2011-01-23 2011-02-12 2011-03-12 2011-07-21 2011-07-27 2013-01-26 2014-05-09 2016-02-29. Author is listed
  7. NEP-REG: Regulation (8) 2009-03-22 2009-03-28 2009-05-23 2009-08-22 2009-08-22 2009-08-22 2009-08-30 2010-03-20. Author is listed
  8. NEP-MKT: Marketing (4) 2006-09-16 2012-11-03 2014-01-10 2014-11-28
  9. NEP-ECM: Econometrics (3) 2003-10-12 2005-05-14 2005-05-23
  10. NEP-BEC: Business Economics (2) 2006-09-16 2011-01-23
  11. NEP-EUR: Microeconomic European Issues (2) 2014-01-10 2014-11-28
  12. NEP-NET: Network Economics (2) 2005-05-14 2006-09-16
  13. NEP-ORE: Operations Research (2) 2014-05-09 2016-02-29
  14. NEP-COM: Industrial Competition (1) 2012-11-03
  15. NEP-CTA: Contract Theory & Applications (1) 2012-11-03
  16. NEP-EDU: Education (1) 2012-11-03
  17. NEP-ICT: Information & Communication Technologies (1) 2006-09-16
  18. NEP-IND: Industrial Organization (1) 2012-11-03
  19. NEP-SOG: Sociology of Economics (1) 2012-11-03

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