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Allen, David E. ; McAleer, Michael ; Singh, Abhay K. | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2017This paper features an analysis of the relationship between the DOW JONES Industrial Average Index (DJIA) and a sentiment news series using daily data obtained from the Thomson Reuters News Analytics (TRNA)1 provided by SIRCA (The Securities Ind[...]texto impreso
Allen, David E. ; McAleer, Michael ; Scharth, Marcel | 2014In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting erro[...]texto impreso
Allen, David E. ; McAleer, Michael ; Powell, Robert J. ; Singh, Abhay K. | 2013-10In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combinati[...]texto impreso
Asai, Manabu ; Peiris, Shelton ; McAleer, Michael ; Allen, David E. | 2018-09Recent developments in econometric methods enable estimation and testing of general long memory process, which include the general Gegenbauer process. This paper considers the error correction model for a vector general long memory process, whic[...]texto impreso
Allen, David E. ; McAleer, Michael ; Singh, Abhay K. | 2015In recent years there has been a tremendous growth in the influx of news related to traded assets in international financial markets. This financial news is now available via print media but also through real-time online sources such as internet[...]texto impreso
Allen, David E. ; McAleer, Michael ; Powell, Robert J. ; Singh, Abhay K. | 2015-11This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a s[...]texto impreso
Allen, David E. ; McAleer, Michael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2019This paper features a statistical analysis of the monthly three factor Fama/French return series. We apply rolling OLS regressions to explore the relationship between the 3 factors, using monthly and weekly data from July 1926 to June 2018, that[...]texto impreso
Allen, David E. ; McAleer, Michael ; Powell, Robert J. ; Singh, Abhay K. | 2014This paper features an analysis of the effectiveness of a range of portfolio diversification strategies as applied to a set of daily arithmetically compounded returns on a set of ten market indices representing the major European markets for a n[...]texto impreso
Allen, David E. ; McAleer, Michael ; McHardy Reid, David | 2018-05A set of 115 tweets on climate change by President Trump, from 2011 to 2015, are analysed by means of the data mining technique, sentiment analysis. The intention is to explore the contents and sentiments of the messages contained the degree to [...]texto impreso
Allen, David E. ; McAleer, Michael ; Reidy, David McHardy | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2018State of the Union Addresses (SOUA) by two recent US Presidents, President Obama (2016) and President Trump (2018), and a series of recent of tweets by President Trump, are analysed by means of the data mining technique, sentiment analysis. The [...]texto impreso
Allen, David E. ; McAleer, Michael | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2019This paper features an analysis of President Trump's two State of the Union addresses, which are analysed by means of various data mining techniques including sentiment analysis. The intention is to explore the contents and sentiments of the mes[...]texto impreso
Allen, David E. ; Ashraf, Mohammad.A. ; McAleer, Michael ; Powell, Robert J. ; Singh, Abhay K. | 2013-01This paper features the application of a novel and recently developed method of statistical and mathematical analysis to the assessment of financial risk: namely Regular Vine copulas. Dependence modeling using copulas is a popular tool in financ[...]texto impreso
Allen, David E. ; McAleer, Michael | 2018-09This note comments on the Generalised Measure of Correlation (GMC) suggested by Zheng et al. (2012). The GMC concept was largely anticipated in a publication 115 years earlier, undertaken by Yule (1897), in the proceedings of the Royal Society. [...]texto impreso
Allen, David E. ; McAleer, Michael ; Peiris, Shelton ; Singh, Abhay K. | 2014-12This paper features an analysis of the e_ectiveness of a range of portfolio diversification strategies as applied to a set of 17 years of monthly hedge fund index returns on a set of ten market indices representing 13 major hedge fund categories[...]texto impreso
Allen, David E. ; McAleer, Michael ; Singh, Abhay K. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2014-01This paper features an analysis of the relationship between the volatility of the Dow Jones Industrial Average (DJIA) Index and a sentiment news series using daily data obtained from the Thomson Reuters News Analytics (TRNA) provided by SIRCA (T[...]
