PhD (Economics), 2004, from Université Catholique de Louvain, Belgium, and is an elected Distinguished Fellow of the International Engineering and Technology Institute (DFIETI), and an elected Fellow of the Modelling and Simulation Society of Australia and New Zealand (FMSSANZ). Chia-Lin Chang is a University Distinguished Professor, Professor of Economics, Professor of Finance, and Director of the Agricultural and Natural Resources Research Centre (ANRRC) at National Chung Hsing University, Taiwan
The SARS-CoV-2 virus that causes the COVID-19 disease is now fully entrenched in the internationa... more The SARS-CoV-2 virus that causes the COVID-19 disease is now fully entrenched in the international community, and has devastated society in what might seem to be a parallel universe. The long-term medical, physical, psychological, economic and financial consequences for continents, countries, regions, states, provinces, prefectures, cities, and individuals is not yet known, but the short-term effects do not seem promising or encouraging. One of the most heavily affected industries by COVID-19 is the international travel, tourism demand and hospitality industry, which was one of the world’s largest sources of full-time and casual employment in the pre-COVID-19 era. The future of tourism in the COVID-19 era is presently unknown, but substantial research is required to evaluate how the industry might recover and survive in a new-normal COVID-19 world. The paper presents a discussion of the future of tourism, travel, and hospitality in the time of COVID-19 as a contribution to the industry. The paper presents a discussion of the future of tourism, travel, and hospitality industry. Public and private policy considerations include significant contingent planning to accommodate travel plans and restrictions, personal protection equipment, medical and healthcare requirements, major events, short, medium and long haul domestic and international travel by air and sea, public versus private transportation, hotel accommodation, alternative forms of payment and pre-payment, changes in the tourism and transport industries, changes in tourist behaviour, and potential structural changes.
The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitat... more The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that “a number of weaknesses have been identified with using VaR for determining regulatory capital requirements, including its inability to capture tail risk” (p. 3). For this reason, the Basel Committee is considering the use of ES, which is a coherent risk measure and has already become common in the insurance industry, though not yet in the banking industry. While ES is mathematically superior to VaR in that it does not show “tail risk” and is a coherent risk measure in being subadditive, its practical implementation and large calculation requirements may pose operational challenges to financial firms. Moreover, previous empirical findings based only on means and standard deviations suggested that VaR and ES were very similar in most practical cases, while ES could be less precise becau...
The paper investigates the effects of central bank interventions in financial markets, composed o... more The paper investigates the effects of central bank interventions in financial markets, composed of asymmetrically-informed rational investors and noise traders. If the central bank suspects a bubble, it should lift the real risk-free rate to deflate the bubble in “leaning against the wind”. A rise in the real risk-free rate reduces the risk of rational informed investors, and increases the risk of rational uninformed investors. If the central bank intervenes through the nominal risk-free rate and the Fisher arbitrage condition holds, an increase in the nominal rate is transferred to inflation, thereby dampening the policy effect. Conversely, this implies that the central bank can also deflate the bubble by inducing a reduction in inflationary expectations. The effect on the informed investor risk remains ambiguous, while the risk of he uninformed investor grows, but only if they suffer from money illusion.
Abstract The paper develops a novel realized matrix-exponential stochastic volatility model of mu... more Abstract The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model), and higher-moment spillovers. The matrix exponential transformation guarantees the positive definiteness of the dynamic covariance matrix. We decompose the likelihood function of the RMESV-ALM model into two components: one based on the conventional Kalman filter, and the other evaluated by a Monte Carlo likelihood technique. We consider a two-step quasi-maximum likelihood estimator for maximizing the likelihood function, and examine the finite sample properties of the estimator. The specification enables us to analyze asymmetric and higher-moment spillover effects in the covariance dynamics via news impact curves and impulse response functions. Using high frequency data for three US financial assets, the new model is estimated and evaluated. The forecasting performance of the new model is compared with a novel dynamic realized matrix-exponential conditional covariance model. Our empirical results suggest the RMESV-ALE specification to be superior, and spillover effects are found from returns or volatility to the remaining volatilities.
Purpose – Both journal self-citations and exchanged citations have the effect of increasing a jou... more Purpose – Both journal self-citations and exchanged citations have the effect of increasing a journal’s impact factor, which may be deceptive. The purpose of this paper is to analyse academic journal quality and research impact using quality-weighted citations vs 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. Design/methodology/approach – The new index is used to analyse the leading 500 journals in both the sciences and social sciences, as well as finance and accounting, using quantifiable Research Assessment Measures (RAMs) that are based on alternative transformations of citations. Findings – It is shown that ICQ is a useful additional measure to 2-year impact factor (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 correlati...
The SARS-CoV-2 virus that causes the COVID-19 disease is now fully entrenched in the internationa... more The SARS-CoV-2 virus that causes the COVID-19 disease is now fully entrenched in the international community, and has devastated society in what might seem to be a parallel universe. The long-term medical, physical, psychological, economic and financial consequences for continents, countries, regions, states, provinces, prefectures, cities, and individuals is not yet known, but the short-term effects do not seem promising or encouraging. One of the most heavily affected industries by COVID-19 is the international travel, tourism demand and hospitality industry, which was one of the world’s largest sources of full-time and casual employment in the pre-COVID-19 era. The future of tourism in the COVID-19 era is presently unknown, but substantial research is required to evaluate how the industry might recover and survive in a new-normal COVID-19 world. The paper presents a discussion of the future of tourism, travel, and hospitality in the time of COVID-19 as a contribution to the industry. The paper presents a discussion of the future of tourism, travel, and hospitality industry. Public and private policy considerations include significant contingent planning to accommodate travel plans and restrictions, personal protection equipment, medical and healthcare requirements, major events, short, medium and long haul domestic and international travel by air and sea, public versus private transportation, hotel accommodation, alternative forms of payment and pre-payment, changes in the tourism and transport industries, changes in tourist behaviour, and potential structural changes.
The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitat... more The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that “a number of weaknesses have been identified with using VaR for determining regulatory capital requirements, including its inability to capture tail risk” (p. 3). For this reason, the Basel Committee is considering the use of ES, which is a coherent risk measure and has already become common in the insurance industry, though not yet in the banking industry. While ES is mathematically superior to VaR in that it does not show “tail risk” and is a coherent risk measure in being subadditive, its practical implementation and large calculation requirements may pose operational challenges to financial firms. Moreover, previous empirical findings based only on means and standard deviations suggested that VaR and ES were very similar in most practical cases, while ES could be less precise becau...
The paper investigates the effects of central bank interventions in financial markets, composed o... more The paper investigates the effects of central bank interventions in financial markets, composed of asymmetrically-informed rational investors and noise traders. If the central bank suspects a bubble, it should lift the real risk-free rate to deflate the bubble in “leaning against the wind”. A rise in the real risk-free rate reduces the risk of rational informed investors, and increases the risk of rational uninformed investors. If the central bank intervenes through the nominal risk-free rate and the Fisher arbitrage condition holds, an increase in the nominal rate is transferred to inflation, thereby dampening the policy effect. Conversely, this implies that the central bank can also deflate the bubble by inducing a reduction in inflationary expectations. The effect on the informed investor risk remains ambiguous, while the risk of he uninformed investor grows, but only if they suffer from money illusion.
Abstract The paper develops a novel realized matrix-exponential stochastic volatility model of mu... more Abstract The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model), and higher-moment spillovers. The matrix exponential transformation guarantees the positive definiteness of the dynamic covariance matrix. We decompose the likelihood function of the RMESV-ALM model into two components: one based on the conventional Kalman filter, and the other evaluated by a Monte Carlo likelihood technique. We consider a two-step quasi-maximum likelihood estimator for maximizing the likelihood function, and examine the finite sample properties of the estimator. The specification enables us to analyze asymmetric and higher-moment spillover effects in the covariance dynamics via news impact curves and impulse response functions. Using high frequency data for three US financial assets, the new model is estimated and evaluated. The forecasting performance of the new model is compared with a novel dynamic realized matrix-exponential conditional covariance model. Our empirical results suggest the RMESV-ALE specification to be superior, and spillover effects are found from returns or volatility to the remaining volatilities.
Purpose – Both journal self-citations and exchanged citations have the effect of increasing a jou... more Purpose – Both journal self-citations and exchanged citations have the effect of increasing a journal’s impact factor, which may be deceptive. The purpose of this paper is to analyse academic journal quality and research impact using quality-weighted citations vs 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. Design/methodology/approach – The new index is used to analyse the leading 500 journals in both the sciences and social sciences, as well as finance and accounting, using quantifiable Research Assessment Measures (RAMs) that are based on alternative transformations of citations. Findings – It is shown that ICQ is a useful additional measure to 2-year impact factor (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 correlati...
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Papers by Chia-Lin Chang