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  • 1
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    Unknown
    Basel: MDPI
    Publication Date: 2018-11-15
    Description: The paper focuses on the robustness of rankings of academic journal quality and research impact of 10 leading econometrics journals taken from the Thomson Reuters ISI Web of Science (ISI) Category of Economics, using citations data from ISI and the highly accessible Research Papers in Economics (RePEc) database that is widely used in economics, finance and related disciplines. The journals are ranked using quantifiable static and dynamic Research Assessment Measures (RAMs), with 15 RAMs from ISI and five RAMs from RePEc. The similarities and differences in various RAMs, which are based on alternative weighted and unweighted transformations of citations, are highlighted to show which RAMs are able to provide informational value relative to others. The RAMs include the impact factor, mean citations and non-citations, journal policy, number of high quality papers, and journal influence and article influence. The paper highlights robust rankings based on the harmonic mean of the ranks of 20 RAMs, which in some cases are closely related. It is shown that emphasizing the most widely-used RAM, the two-year impact factor of a journal, can lead to a distorted evaluation of journal quality, impact and influence relative to the harmonic mean of the ranks. Some suggestions regarding the use of the most informative RAMs are also given.
    Keywords: C18 ; C81 ; Y10 ; ddc:330 ; research assessment measures ; citations ; impact ; influence ; harmonic mean ; robust journal rankings ; econometrics
    Language: English
    Type: doc-type:article
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  • 2
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    Amsterdam and Rotterdam: Tinbergen Institute
    Publication Date: 2013-11-13
    Description: This paper investigates the stock returns and volatility size effects for firm performance in the Taiwan tourism industry, especially the impacts arising from the tourism policy reform that allowed mainland Chinese tourists to travel to Taiwan. Four conditional univariate GARCH models are used to estimate the volatility in the stock indexes for large and small firms in Taiwan. Daily data from 30 November 2001 to 27 February 2013 are used, which covers the period of Cross-Straits tension between China and Taiwan. The full sample period is divided into two subsamples, namely prior to and after the policy reform that encouraged Chinese tourists to Taiwan. The empirical findings confirm that there have been important changes in the volatility size effects for firm performance, regardless of firm size and estimation period. Furthermore, the risk premium reveals insignificant estimates in both time periods, while asymmetric effects are found to exist only for large firms after the policy reform. The empirical findings should be useful for financial managers and policy analysts as it provides insight into the magnitude of the volatility size effects for firm performance, how it can vary with firm size, the impacts arising from the industry policy reform, and how firm size is related to financial risk management strategy.
    Keywords: C22 ; G18 ; G28 ; G32 ; L83 ; ddc:330 ; Tourism ; firm size ; stock returns ; conditional volatility models ; volatility size effects ; asymmetry ; tourism policy reform
    Language: English
    Type: doc-type:workingPaper
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  • 3
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    Amsterdam and Rotterdam: Tinbergen Institute
    Publication Date: 2013-11-13
    Description: Research papers in empirical finance and financial econometrics are among the most widely cited, downloaded and viewed articles in the discipline of Finance. The special issue presents several papers by leading scholars in the field on “Recent Developments in Financial Economics and Econometrics”. The breadth of coverage is substantial, and includes original research and comprehensive review papers on theoretical, empirical and numerical topics in Financial Economics and Econometrics by leading researchers in finance, financial economics, financial econometrics and financial statistics. The purpose of this special issue on “Recent Developments in Financial Economics and Econometrics” is to highlight several novel and significant developments in financial economics and financial econometrics, specifically dynamic price integration in the global gold market, a conditional single index model with local covariates for detecting and evaluating active management, whether the Basel Accord has improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro-market noise, stress testing correlation matrices for risk management, whether bank relationship matters for corporate risk taking, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and recurrence plots for detecting financial crisis, how news sentiment impacts asset volatility, with evidence from long memory and regime-switching approaches, quantitative evaluation of contingent capital and its applications, high quantiles estimation with Quasi-PORT and DPOT, with an application to value-at-risk for financial variables, evaluating inflation targeting based on the distribution of inflation and inflation volatility, the size effects of volatility spillovers for firm performance and exchange rates in tourism, forecasting volatility with the realized range in the presence of noise and non-trading, using CARRX models to study factors affecting the volatilities of Asian equity markets, deciphering the Libor and Euribor spreads during the subprime crisis, information transmission between sovereign debt CDS and other financial factors for Latin America, time-varying mixture GARCH models and asymmetric volatility, and diagnostic checking for non-stationary ARMA models with an application to financial data.
    Keywords: G11 ; G12 ; G13 ; G15 ; G18 ; ddc:330 ; Dynamic price integration ; local covariates ; risk management ; global financial crisis ; credit risk ; liquidity shock ; micro-market noise ; corporate risk taking ; options ; volatility ; quantiles ; news sentiment ; contingent capital ; value-at-risk (see paper) ; Finanzkrise ; Kreditrisiko ; Marktliquidität ; Risikomaß ; Inflationssteuerung ; Wechselkurs ; Kreditderivat ; Ökonometrie ; Bibliometrie ; Meta-Analyse
    Language: English
    Type: doc-type:workingPaper
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  • 4
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    Amsterdam and Rotterdam: Tinbergen Institute
    Publication Date: 2013-11-13
    Description: This paper examines the practical usefulness of two new journal performance metrics, namely the Eigenfactor score, which may be interpreted as measuring “Journal Influence”, and the Article Influence score, using the Thomson Reuters ISI Web of Science (hereafter ISI) data for 2009 for the 200 most highly cited journals in each of the Sciences and Social Sciences, and compares them with two existing ISI metrics, namely Total Citations and the 5-year Impact Factor (5YIF) of a journal (including journal self citations). It is shown that the Sciences and Social Sciences are different in terms of the strength of the relationship of journal performance metrics, although the actual relationships are very similar. Moreover, the journal influence and article influence journal performance metrics are shown to be closely related empirically to the two existing ISI metrics, and hence add little in practical usefulness to what is already known. These empirical results are compared with existing results in the literature.
    Keywords: A12 ; ddc:330 ; Journal performance metrics ; Research assessment measures ; Total citations ; 5-year impact factor (5YIF) ; Eigenfactor ; Journal and Article influence ; Fachzeitschrift ; Sozialwissenschaft ; Bibliometrie ; Welt
    Language: English
    Type: doc-type:workingPaper
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  • 5
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    Amsterdam and Rotterdam: Tinbergen Institute
    Publication Date: 2013-11-13
    Description: This paper examines the issue of coercive journal self citations and the practical usefulness of two recent journal performance metrics, namely the Eigenfactor score, which may be interpreted as measuring “Journal Influence”, and the Article Influence score, using the Thomson Reuters ISI Web of Science (hereafter ISI) data for 2009 for the 200 most highly cited journals in each of the Sciences and Social Sciences. The paper also compares the two new bibliometric measures with two existing ISI metrics, namely Total Citations and the 5-year Impact Factor (5YIF) (including journal self citations) of a journal. It is shown that the Sciences and Social Sciences are different in terms of the strength of the relationship of journal performance metrics, although the actual relationships are very similar. Moreover, the journal influence and article influence journal performance metrics are shown to be closely related empirically to the two existing ISI metrics, and hence add little in practical usefulness to what is already known, except for eliminating the pressure arising from coercive journal self citations. These empirical results are compared with existing results in the bibliometrics literature.
    Keywords: A12 ; ddc:330 ; Journal performance metrics ; Coercive journal self citations ; Research assessment measures ; Total citations ; 5-year impact factor (5YIF) ; Eigenfactor ; Journal influence ; Article influence ; Bibliometrie ; Schätzung ; Welt
    Language: English
    Type: doc-type:workingPaper
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  • 6
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    Unknown
    Basel: MDPI
    Publication Date: 2019-04-26
    Description: This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The important issue regarding the predictability of returns is assessed. It is found that performance improves, on average, when the rolling window is expanded and the data frequency is low. However, when the size of the rolling window reaches three years, the frequency loses its significance and all frequencies considered produce similar financial performance. Therefore, the results support stock returns predictability in the long run. The procedure takes account of the issues of variable persistence as we use only returns in the analysis. Therefore, we use the performance of MA rules as an instrument for testing returns predictability in financial stock markets.
    Keywords: C22 ; C32 ; C58 ; G32 ; ddc:330 ; trading strategies ; risk ; moving average ; market timing ; returns predictability ; volatility ; rolling window ; data frequency
    Language: English
    Type: doc-type:article
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  • 7
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    Unknown
    Amsterdam and Rotterdam: Tinbergen Institute
    Publication Date: 2015-02-17
    Description: The paper focuses on the robustness of rankings of academic journal quality and research impact of 10 leading econometrics journals taken from the Thomson Reuters ISI Web of Science (ISI) Category of Economics, using citations data from ISI and the highly accessible Research Papers in Economics (RePEc) database that is widely used in economics, finance and related disciplines. The journals are ranked using quantifiable static and dynamic Research Assessment Measures (RAMs), with 15 RAMs from ISI and 5 RAMs from RePEc. The similarities and differences in various RAMs, which are based on alternative weighted and unweighted transformations of citations, are highlighted to show which RAMs are able to provide informational value relative to others. The RAMs include the impact factor, mean citations and non-citations, journal policy, number of high quality papers, and journal influence and article influence. The paper highlight robust rankings based on the harmonic mean of the ranks of 20 RAMs, which in some cases are closely related. It is shown that emphasizing the most widely-used RAM, the 2-year impact factor of a journal, can lead to a distorted evaluation of journal quality, impact and influence relative to the harmonic mean of the ranks.
    Keywords: C18 ; C81 ; Y10 ; ddc:330 ; Research assessment measures ; citations ; impact ; influence ; harmonic mean ; robust journal rankings ; econometrics
    Language: English
    Type: doc-type:workingPaper
    Location Call Number Limitation Availability
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  • 8
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    Unknown
    Amsterdam and Rotterdam: Tinbergen Institute
    Publication Date: 2015-03-18
    Description: One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special issue of the journal on “Econometric Analysis of Financial Derivatives” is to highlight several areas of research by leading academics in which novel econometric, financial econometric, mathematical finance and empirical finance methods have contributed significantly to the econometric analysis of financial derivatives, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics, leverage and feedback effects in multifactor Wishart stochastic volatility for option pricing, option pricing with non-Gaussian scaling and infinite-state switching volatility, stock return and cash flow predictability: the role of volatility risk, the long and the short of the risk-return trade-off, What’s beneath the surface? option pricing with multifrequency latent states, bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets, a stochastic dominance approach to financial risk management strategies, empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction, non-linear dynamic model of the variance risk premium, pricing with finite dimensional dependence, quanto option pricing in the presence of fat tails and asymmetric dependence, smile from the past: a general option pricing framework with multiple volatility and leverage components, COMFORT: A common market factor non-Gaussian returns model, divided governments and futures prices, and model-based pricing for financial derivatives.
    Keywords: C55 ; C58 ; G23 ; G32 ; ddc:330 ; Stochastic volatility ; switching volatility ; volatility risk ; option pricing dynamics ; futures prices ; fractional integration ; stochastic dominance ; variance risk premium ; fat tails ; leverage and asymmetry ; divided governments
    Language: English
    Type: doc-type:workingPaper
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  • 9
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    Unknown
    Amsterdam and Rotterdam: Tinbergen Institute
    Publication Date: 2015-03-18
    Description: The premise underlying the use of citations data is that higher quality journals generally have a higher number of citations. The impact of citations can be distorted in a number of ways. Journals can, and do, inflate the number of citations through self citation practices, which may be coercive. Another method for distorting journal impact is through a set of journals agreeing to cite each other, that is, by exchanging citations. This may be less coercive than self citations, but is nonetheless unprofessional and distortionary. Both journal self citations and exchanged citations have the effect of increasing a journal’s impact factor, which may be deceptive. The paper analyses academic journal quality and research impact using quality weighted citations versus total citations, based on the widely-used Thomson Reuters ISI Web of Science citations database (ISI). A new Index of Citations Quality (ICQ) is presented, based on quality weighted citations. The new index is used to analyse the leading 500 journals in both the Sciences and Social Sciences, as well as 58 leading journals in Finance and Accounting, using quantifiable Research Assessment Measures (RAMs) that are based on alternative transformations of citations. It is shown that ICQ is a useful additional measure to 2YIF and other well known RAMs for the purpose of evaluating the impact and quality, as well as ranking, of journals as it contains information that has very low correlations with the information contained in the well known RAMs for both the Sciences and Social Sciences, as well as in Finance and Accounting.
    Keywords: C18 ; C81 ; Y10 ; ddc:330 ; Research assessment measures ; Impact factors ; Eigenfactor ; Article Influence ; Quality weighted citations ; Total citations ; Index of citations quality ; Journal rankings ; Self citations ; Coercive citations ; Exchanged citations
    Language: English
    Type: doc-type:workingPaper
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  • 10
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    Unknown
    Amsterdam and Rotterdam: Tinbergen Institute
    Publication Date: 2013-11-13
    Description: The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging strategies using dynamic multivariate GARCH, risk management of risk under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes via Gaussian mixture models, GFC-robust risk management under the Basel Accord using extreme value methodologies, volatility spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value-at-risk with a duration-based POT method, and extreme market risk and extreme value theory.
    Keywords: C14 ; C32 ; C53 ; C58 ; G11 ; G32 ; ddc:330 ; Currency hedging strategies ; Basel Accord ; risk management ; forecasting ; VIX futures ; fast clustering ; mixture models ; extreme value methodologies ; volatility spillovers ; Value-at-Risk ; country risk ratings ; BRICS ; extreme market risk ; Währungsspekulation ; Basler Akkord ; Portfolio-Management ; Volatilität ; Spillover-Effekt ; Risikomaß ; Länderrisiko ; Extremwerttheorie ; BRICS-Staaten
    Language: English
    Type: doc-type:workingPaper
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