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Full-Text Articles in Finance and Financial Management
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model, Anders Eriksson, Daniel P. A. Preve, Jun Yu
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model, Anders Eriksson, Daniel P. A. Preve, Jun Yu
Research Collection School Of Economics
This paper introduces a parsimonious and yet flexible semiparametric model to forecastfinancial volatility. The new model extends a related linear nonnegative autoregressive modelpreviously used in the volatility literature by way of a power transformation. It is semiparametric inthe sense that the distributional and functional form of its error component is partially unspecified.The statistical properties of the model are discussed and a novel estimation method is proposed.Simulation studies validate the new method and suggest that it works reasonably well in finitesamples. The out-of-sample forecasting performance of the proposed model is evaluated against anumber of standard models, using data on S&P 500 …
Marginal Cost Of Risk-Based Capital And Risk-Taking, Tao Chen, Jing Rong Goh, Shinichi Kamiya, Pingyi Lou
Marginal Cost Of Risk-Based Capital And Risk-Taking, Tao Chen, Jing Rong Goh, Shinichi Kamiya, Pingyi Lou
Research Collection School Of Economics
We explore the impact of capital adequacy requirements on financial institutions' risk-taking behavior from a novel perspective. Specifically, we show that an important feature of the risk-based capital (RBC) system a built-in diversification benefit in aggregating risk categories induces moral hazard. We find that insurers that face lower marginal RBC costs of fixed-income (FI) investment tend to purchase riskier Fl securities. This relationship holds even when lower marginal RBC costs result from increased risk in other risk categories, which is an unintended consequence of the RBC's square root rule. Using Hurricanes Katrina and Sandy as exogenous shocks to the RBC …
Financial Sector In Singapore, Hwee Kwan Chow, Sai Fan Pei
Financial Sector In Singapore, Hwee Kwan Chow, Sai Fan Pei
Research Collection School Of Economics
This chapter reviews the financial development strategies adopted by the Singapore government as it navigates internal and external changes to build a vibrant center of finance in the Asia Pacific region. Sections 2 and 3 provide an overview of the structure of the financial system and the financial governance framework respectively. This is followed by a discussion, in Section 4, on the outward looking development strategy that underpinned the successful development of Singapore’s financial sector. Section 5 highlights the reforms undertaken in the aftermath of the Asian financial crisis that led to the building of a well-diversified and thriving international …