Lee, Jenny S. W., Chau, Patsy P. H., Hui, Elsie, Chan, Felix, Woo, Jean
Background: With the intention to aid planning for elderly focused public health and residential care needs in rapidly aging societies, a simple model using only age, gender and three Minimum Data...
Modeling volatility in foreign currency option pricing (2009)
Hoque, Ariful, Chan, Felix, Manzur, Mehur
[Abstract]: This paper presents a general optimization framework to forecast put and call option prices by exploiting the volatility of the options prices. The approach is flexible in that different...
Efficiency of the foreign currency options market (2008)
Hoque, Ariful, Chan, Felix, Manzur, Meher
[Abstract]: This paper provides a new test of the efficiency of the currency option markets for four major currencies — British Pound, Euro, Swiss Frank and Japanese Yen vis-à-vis the U.S. dollar....
Determinants of commercial mortgage-backed securities credit ratings : Australian evidence (2008)
Chikolwa, Bwembya, Chan, Felix
Using artificial neural networks (ANN) and ordinal regression (OR) as alternative methods to predict Commercial Mortgage-backed Securities (CMBS) credit ratings, we examine the role that various...
Modeling volatility in foreign currency option pricing (2008)
Hoque, Mohammed, Chan, Felix, Manzur, Meher
This paper presents a general optimization framework to forecast put and call option prices by exploiting the volatility of the options prices. The approach is flexible in that different objective...
This paper provides a new test of PPP and its relevance for the euro. Principal component analysis (PCA) is introduced to construct a ?pooled? measure of inflation for the 12 euro countries. This...
Modeling volatility in foreign currency option pricing (2008)
Hoque, Mohammed, Chan, Felix, Manzur, Meher
This paper presents a general optimization framework to forecast put and call option prices by exploiting the volatility of the options prices. The approach is flexible in that different objective...
This paper provides a new test of PPP and its relevance for the euro. Principal component analysis (PCA) is introduced to construct a ?pooled? measure of inflation for the 12 euro countries. This...
Modeling volatility in foreign currency option pricing (2008)
Hoque, Mohammed, Chan, Felix, Manzur, Meher
This paper presents a general optimization framework to forecast put and call option prices by exploiting the volatility of the options prices. The approach is flexible in that different objective...
This paper provides a new test of PPP and its relevance for the euro. Principal component analysis (PCA) is introduced to construct a ?pooled? measure of inflation for the 12 euro countries. This...
Modeling volatility in foreign currency option pricing (2008)
Hoque, Mohammed, Chan, Felix, Manzur, Meher
This paper presents a general optimization framework to forecast put and call option prices by exploiting the volatility of the options prices. The approach is flexible in that different objective...
This paper provides a new test of PPP and its relevance for the euro. Principal component analysis (PCA) is introduced to construct a ?pooled? measure of inflation for the 12 euro countries. This...
Determinants of commercial mortgage-backed securities credit ratings : Australian evidence (2008)
Chikolwa, Bwembya, Chan, Felix
Using artificial neural networks (ANN) and ordinal regression (OR) as alternative methods to predict Commercial Mortgage-backed Securities (CMBS) credit ratings, we examine the role that various...
Determinants of commercial mortgage-backed securities credit ratings : Australian evidence (2008)
Chikolwa, Bwembya, Chan, Felix
Using artificial neural networks (ANN) and ordinal regression (OR) as alternative methods to predict Commercial Mortgage-backed Securities (CMBS) credit ratings, we examine the role that various...
Determinants of commercial mortgage-backed securities credit ratings : Australian evidence (2008)
Chikolwa, Bwembya, Chan, Felix
Using artificial neural networks (ANN) and ordinal regression (OR) as alternative methods to predict Commercial Mortgage-backed Securities (CMBS) credit ratings, we examine the role that various...
Efficiency of the foreign currency options market (2008)
Hoque, Ariful, Chan, Felix, Manzur, Meher
[Abstract]: This paper provides a new test of the efficiency of the currency option markets for four major currencies — British Pound, Euro, Swiss Frank and Japanese Yen vis-à-vis the U.S. dollar....
Modelling Ratings Effects in Country Risk (2007)
Suhejla Hoti, Felix Chan, Michael Mcaleer
Abstract: Country risk has recently become a topic of major concern for the international financial community. A critical assessment of country risk is essential because it reflects the ability and...
An econometric analysis of asymmetric volatility: theory and application to patents (2007)
Chan, Felix, Mcaleer, M., Marinova, Dora
The purpose in registering patents is to protect the intellectual property of the rightful owners. Deterministic and stochastic trends in registered patents can be used to describe a country's...
A Case in Implementing Scor Model in Global Supply Chain (2006)
Yu Chung Wang, William, Luong, Lee H S, Chan, Hing, Chan, Felix T S, Chan, Felix
A Case in Implementing Scor Model in Global Supply Chain (2006)
Yu Chung Wang, William, Luong, Lee H S, Chan, Hing, Chan, Felix T S, Chan, Felix
A Case in Implementing Scor Model in Global Supply Chain (2006)
Yu Chung Wang, William, Luong, Lee H S, Chan, Hing, Chan, Felix T S, Chan, Felix
Modelling Conditional Correlations in International Tourism Demand (2004)
Chan, Felix, Lim, Christine, McAleer, Michael, C. Pahl-Wostl
Yes
Modelling Conditional Correlations in International Tourism Demand (2004)
Chan, Felix, Lim, Christine, McAleer, Michael
Yes
Modelling the Asymmetric Volatility of Electronics Patents in the USA (2003)
Chan, Felix, Dora, Marinova, Michael, McAleer
Since the 1970s, electronics and associated electrical equipment (henceforth "electronics") has been one of the most dominant industries in the developed countries, with its geographical centre...
On the Structure, Asymptotic Theory and Applications of STAR-GARCH Models (2003)
Non-linear time series models, especially regime-switching models, have become increasingly popular in the economics, finance and financial econometrics literature. However, much of the research has...
Structure and asymptotic theory for STAR(1)-GARCH(1,1) models
Marcelo Cunha Medeiros, Felix Chan, Michael McAller
Nonlinear time series models, especially those with regime-switching and GARCH errors, have become increasingly popular in the economics and finance literature. However, much of the research has...
Stability tests for heterogeneous panel data.
Felix Chan, Tommaso Mancini-Griffoli, Laurent L. Pauwels
This paper proposes a new test for structural instability in heterogeneous panels. The test builds on the seminal work of Andrews (2003) originally developed for time series. It is robust to...
Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence
Theoretical and practical interest in non-linear time series models, particularly regime switching models, have increased substantially in recent years. Given the abundant research activity in...
Suhejla Hoti, Felix Chan, Michael McAleer
Following the rapid growth in the international debt of less developed countries in the 1970s and the increasing incidence of debt rescheduling in the early 1980s, country risk has become a topic of...
"Modelling the Asymmetric Volatility of Electronics Patents in the USA"
Felix Chan, Dora Marinova, Michael McAleer
Since the 1970s, electronics and associated electrical equipment (henceforth "electronics") has been one of the most dominant industries in the developed countries, with its geographical centre...
"On the Structure, Asymptotic Theory and Applications of STAR-GARCH Models"
Non-linear time series models, especially regime-switching models, have become increasingly popular in the economics, finance and financial econometrics literature. However, much of the research has...
Trends and volatilities in foreign patents registered in the USA
Felix Chan, Dora Marinova, Michael McAleer
This study analyses the patent trends and volatilities for the top 12 foreign patenting countries in the US market from 1975 to 1997. Japan is ranked first in terms of foreign patents registered in...
The paper investigates several empirical issues regarding quasi-maximum likelihood estimation of smooth transition autoregressive (STAR) models with GARCH errors (STAR-GARCH) and STAR models with...
Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares
Da Veiga, Bernardo, Chan, Felix, McAleer, Michael
This paper analyses the time-varying conditional correlations between Chinese A and B share returns using the Dynamic Conditional Correlation (DCC) model of Engle [Engle, R.F. (2002), "Dynamic...
Stability Tests for Heterogeneous Panel Data
Felix Chan, Tommaso Mancini-Griffoli, Laurent L. Pauwels
This paper proposes a new test for structural stability in panels by extending the testing procedure proposed in the seminal work of Andrews (2003) originally developed for time series. The test is...
GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
McAleer, Michael, Chan, Felix, Hoti, Suhejla, Lieberman, Offer
This paper develops a generalized autoregressive conditional correlation (GARCC) model when the standardized residuals follow a random coefficient vector autoregressive process. As a multivariate...
Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks
Allen, David, Chan, Felix, McAleer, Michael, Peiris, Shelton
This paper concerns the properties of the Quasi Maximum Likelihood Estimator (QMLE) of the Logarithmic Autoregressive Conditional Duration (Log-ACD) model. Proofs of consistency and asymptotic...
Efficiency of the foreign currency options market
Hoque, Ariful, Chan, Felix, Manzur, Meher
This paper provides a new test of the efficiency of the currency option markets for four major currencies -- British Pound, Euro, Swiss Frank and Japanese Yen vis-à-vis the U.S. dollar. The approach...
Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
Michael McAleer, Suhejla Hoti, Felix Chan
Various univariate and multivariate models of volatility have been used to evaluate market risk, asymmetric shocks, thresholds, leverage effects, and Value-at-Risk in economics and finance. This...
This paper investigates several empirical issues regarding quasimaximum likelihood estimation of Smooth Transition Autoregressive (STAR) models with GARCH errors, specifically STAR-GARCH and...