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Articles 211 - 221 of 221
Full-Text Articles in Finance
Bugs For A Bayesian Analysis Of Stochastic Volatility Models, Renate Meyer, Jun Yu
Bugs For A Bayesian Analysis Of Stochastic Volatility Models, Renate Meyer, Jun Yu
Research Collection School Of Economics
This paper reviews the general Bayesian approach to parameter estimation in stochastic volatility models with posterior computations performed by Gibbs sampling. The main purpose is to illustrate the ease with which the Bayesian stochastic volatility model can now be studied routinely via BUGS (Bayesian inference using Gibbs sampling), a recently developed, user-friendly, and freely available software package. It is an ideal software tool for the exploratory phase of model building as any modifications of a model including changes of priors and sampling error distributions are readily realized with only minor changes of the code. However, due to the single move …
An Empirical Analysis Of Unit Trust Performance In Singapore, Joseph H. H. Chia, Yiu Kuen Tse
An Empirical Analysis Of Unit Trust Performance In Singapore, Joseph H. H. Chia, Yiu Kuen Tse
Research Collection School Of Economics
The Singapore government’s recent strategic plan to develop the financial sector has placed much emphasis on the fund management industry. In this paper we examine the unit trust performance in Singapore in the 90s. Our results show that fund managers in general performed poorly in security analysis and market timing. However, they performed fairly well in risk-adjusted returns and generally maintained well-diversified portfolios. We find that there is little consistency in the performance ranking of the evaluated portfolios, although there is evidence of repeat performance of some top funds. Our analysis also shows that fund managers could indeed make excess …
Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange, Francis X. Diebold, Jinyong Hahn, Anthony S. Tay
Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange, Francis X. Diebold, Jinyong Hahn, Anthony S. Tay
Research Collection School Of Economics
We provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-variable interactions, such as time-varying conditional correlations. We also provide conditions under which a technique of density forecast calibration can be used to improve deficient density forecasts, and we show how the calibration method can be used to generate good density forecasts from econometric models, even when the conditional density is unknown. Finally, motivated by recent advances in financial risk management, we provide a detailed application to multivariate high-frequency exchange rate density forecasts. © …
Evaluating Density Forecasts With Applications To Financial Risk Management, Francis X. Diebold, Todd A. Gunther, Anthony S. Tay
Evaluating Density Forecasts With Applications To Financial Risk Management, Francis X. Diebold, Todd A. Gunther, Anthony S. Tay
Research Collection School Of Economics
We propose methods for evaluating density forecasts. We focus primarily on methods that are applicable regardless of the particular user’s loss function. We illustrate the methods with a detailed simulation example, and then we present an application to density forecasting of daily stock market returns. We discuss extensions for improving suboptimal density forecasts, multi-step-ahead density forecast evaluation, multivariate density forecast evaluation, monitoring for structural change and its relationship to density forecasting, and density forecast evaluation with known loss function.
The Conditional Heteroscedasticity Of The Yen-Dollar Exchange Rates, Yiu Kuen Tse
The Conditional Heteroscedasticity Of The Yen-Dollar Exchange Rates, Yiu Kuen Tse
Research Collection School Of Economics
This paper examines the conditional heteroscedasticity of the yen-dollar exchange rate. A model is constructed by extending the asymmetric power autoregressive conditional heteroscedasticity model to a process that is fractionally integrated. It is found that, unlike the equity markets, the appreciation and depreciation shocks of the yen against the dollar have similar effects on future volatilities. Although the results reject both the stable and the integrated models, our analysis of the response coefficients of the past shocks and the application of the models to the estimation of the capital requirements for trading the currencies show that there are no substantial …
A Model Of The Link Between The Fiscal System And Singapore's Central Provident Fund In General Equilibrium, Hian Teck Hoon, Kai Lin Teo
A Model Of The Link Between The Fiscal System And Singapore's Central Provident Fund In General Equilibrium, Hian Teck Hoon, Kai Lin Teo
Research Collection School Of Economics
This paper demonstrates a channel through which the fiscal system interacts with the choice of CPF contribution rates to affect total savings, and hence, capital accumulation and the current account. It is shown that in the presence of a wage income tax, raising either the employee's or employer's contribution rates raises the total private earnings. On the other hand, in the presence of a capital income tax, raising the employee's or employer's contribution rates lowers total private savings. However, when we introduce a productive role for government spending, we show that an increase in CPF contribution rates under a balances …
Term Structure Of Interest Rates In The Singapore Asian Dollar Market, Tom K. Y. Lee, Yiu Kuen Tse
Term Structure Of Interest Rates In The Singapore Asian Dollar Market, Tom K. Y. Lee, Yiu Kuen Tse
Research Collection School Of Economics
This paper investigates empirically the term structure of interest rates in the Singapore Asian Dollar Market. We consider extended versions of the ARCH-M model of Engle, Lilien, and Robins (1987). The extended models permit autocorrelation, skewness and leptokurtosis in the residuals. The robustness of the empirical tests with respect to alternative specifications of the ARCH process is examined. It turns out that there is significant time-varying term premium, and this conclusion is independent of the hypothesized ARCH model.
The Effects Of A Cpf Cut: A Note, Hian Teck Hoon
The Effects Of A Cpf Cut: A Note, Hian Teck Hoon
Research Collection School Of Economics
No abstract provided.
Demand Response And The Reform Of Indirect Taxes In Pakistan, Ehtishaw Ahmad, Hing-Man Leung, Nicholas Stern
Demand Response And The Reform Of Indirect Taxes In Pakistan, Ehtishaw Ahmad, Hing-Man Leung, Nicholas Stern
Research Collection School Of Economics
The question of the appropriate tax rate for different commodities is important for policy making in a country like Pakistan. This involves not only revenue, which is an obvious and a major preoccupation of most governments, but also concerns the effects of tax changes on households in various circumstances, together with production decisions in many sectors of the economy. In this paper we shall be concerned with a preliminary evaluation of the Pakistan indirect tax system. We shall examine in further work, the analysis of direct taxes, the balance between direct and indirect taxes as well as the effects of …
Liquidity, Speculation, And The Demand For Money, Bryce Hool
Liquidity, Speculation, And The Demand For Money, Bryce Hool
Research Collection School Of Economics
No abstract provided.
Money, Expectations And The Existence Of A Temporary Equilibrium, Bryce Hool
Money, Expectations And The Existence Of A Temporary Equilibrium, Bryce Hool
Research Collection School Of Economics
The article presents information on money, expectations and the existance of a temporary equilibrium. If money and financial assets are to be integrated into general equilibrium theory, it is apparent that the classical Arrow-Debreu framework must be modified. As long as all trading takes place essentially at some initial point in time, with each individual subject only to a present value budget constraint, there is no place in the system for money, either as a medium of exchange or as a store of value, even if uncertainty about future states of the world is introduced as in G. Debreu's work, …