DOCSLIB.ORG

Forecasting Var Using Analytic Higher Moments for GARCH Processes

Total Page：16

File Type：pdf, Size：1020Kb

Download full-text PDF Read full-text
Forecasting Var Using Analytic Higher Moments for GARCH Processes Forecasting VaR using analytic higher moments for GARCH processes Article (Unspecified) Alexander, Carol, Lazar, Emese and Silvia, Stanescu (2013) Forecasting VaR using analytic higher moments for GARCH processes. International Review of Financial Analysis, 30. pp. 36-45. ISSN 1057-5219 This version is available from Sussex Research Online: http://sro.sussex.ac.uk/id/eprint/45651/ This document is made available in accordance with publisher policies and may differ from the published version or from the version of record. If you wish to cite this item you are advised to consult the publisher’s version. Please see the URL above for details on accessing the published version. Copyright and reuse: Sussex Research Online is a digital repository of the research output of the University. Copyright and all moral rights to the version of the paper presented here belong to the individual author(s) and/or other copyright owners. To the extent reasonable and practicable, the material made available in SRO has been checked for eligibility before being made available. Copies of full text items generally can be reproduced, displayed or performed and given to third parties in any format or medium for personal research or study, educational, or not-for-profit purposes without prior permission or charge, provided that the authors, title and full bibliographic details are credited, a hyperlink and/or URL is given for the original metadata page and the content is not changed in any way. http://sro.sussex.ac.uk Author's personal copy International Review of Financial Analysis 30 (2013) 36–45 Contents lists available at SciVerse ScienceDirect International Review of Financial Analysis Forecasting VaR using analytic higher moments for GARCH processes Carol Alexander a,⁎, Emese Lazar b, Silvia Stanescu c a School of Business, Management and Economics, University of Sussex, Falmer, Brighton, Sussex BN1 9SL, UK b ICMA Centre, University of Reading, Reading RG6 6BA, UK c Kent Business School, University of Kent, Canterbury CT2 7PE, UK article info abstract Article history: It is widely accepted that some of the most accurate Value-at-Risk (VaR) estimates are based on an appropri- Received 10 June 2012 ately specified GARCH process. But when the forecast horizon is greater than the frequency of the GARCH Received in revised form 25 April 2013 model, such predictions have typically required time-consuming simulations of the aggregated returns distri- Accepted 28 May 2013 butions. This paper shows that fast, quasi-analytic GARCH VaR calculations can be based on new formulae for Available online 6 June 2013 the first four moments of aggregated GARCH returns. Our extensive empirical study compares the Cornish– Fisher expansion with the Johnson SU distribution for fitting distributions to analytic moments of normal JEL classification: fi C53 and Student t, symmetric and asymmetric (GJR) GARCH processes to returns data on different nancial as- G17 sets, for the purpose of deriving accurate GARCH VaR forecasts over multiple horizons and significance levels. © 2013 Elsevier Inc. All rights reserved. Keywords: GARCH Higher conditional moments Approximate predictive distributions Value-at-Risk S&P 500 Treasury bill rate Euro–US dollar exchange rate 1. Introduction (“top–down”) level, rather than utilizing standard (“bottom–up”)VaR models for assessing a firm's market risk capital. A path-breaking Since the 1996 Amendment to the Basel I Accord, Value-at-Risk paper by Berkowitz and O'Brien (2002) utilizes aggregate profitand (VaR) has become the standard metric for financial risk assessment loss data from six of the world's major banks to demonstrate a very and reporting, not only in the major banks that must now use VaR clearly superior accuracy in top–down GARCH-based VaR estimates rel- forecasts as a basis for their assessment of market risk capital re- ative to more traditional, bottom–up VaR estimates.2 serves, but also in asset management, hedge funds, mutual funds, An α% n-day VaR estimate is the loss that will not be exceeded, pension funds, corporate treasury and indeed in virtually every with a (1 − α)% level of confidence, if the portfolio is left unmanaged large institution worldwide that has dealings in the financial markets. over a period of n days. When VaR is quoted as a percentage the cur- As a result the academic literature on forecasting VaR is huge.1 rent portfolio value, it may therefore be derived from the α-quantile Given the widely documented characteristics of financial asset of the n-period portfolio return distribution, as: returns, quite complex dynamic models are needed for predicting − their distributions. A salient feature is their volatility clustering and gen- VaRn;α;t ¼ −^−1 ðÞα ; ^ ðÞ ¼ α ð Þ eralised autoregressive conditional heteroscedastic (GARCH) models, VaRn;α;t F t;tþn or equivalently as ∫ f t;tþn x dx 1 introduced by Engle (1982), Bollerslev (1986) and Taylor (1986), −∞ have proved very successful in capturing this behaviour. Such models ^−1 can also partially explain why asset returns distributions are skewed where F t;tþn is the time t forecast of the inverse distribution function and leptokurtic. Some of the most influential academic research con- (also called quantile function) for the returns aggregated from time t cerns the use of GARCH processes to forecast VaR at the aggregate 2 Perignon and Smith (2010) note that historical simulation is the most widely-used approach, based on a survey of major banks around the world. However, Alexander ⁎ Corresponding author. Tel.: +44 1273 873950; fax: +44 1273 873715. and Sheedy (2008) demonstrate that historical simulation is highly inaccurate without E-mail addresses: [email protected] (C. Alexander), additional ‘filtering’—see, for example, Barone-Adesi, Bourgoin, & Giannopoulos, [email protected] (E. Lazar), [email protected] (S. Stanescu). (1998), and Barone-Adesi, Giannopoulos, & Vosper, (1999), where the historical VaR 1 Recent reviews may be found in Alexander (2008), Angelidis and Degiannakis methodology is augmented with a GARCH model. See also Boudoukh, Richardson, (2009) and Christoffersen (2009). and Whitelaw (1998), for an alternative filtering approach. 1057-5219/$ – see front matter © 2013 Elsevier Inc. All rights reserved. http://dx.doi.org/10.1016/j.irfa.2013.05.006 Author's personal copy C. Alexander et al. / International Review of Financial Analysis 30 (2013) 36–45 37 ^ to time t + n,andf t;tþn is the corresponding density function. For the model by Alexander, Lazar, and Stanescu (2011), formulae which are purpose of VaR estimation the GARCH model is usually estimated using similar but not identical to those derived by Wong and So (2003).We daily data. However, for many empirical applications – and especially prefer to use moments of the asymmetric GJR-GARCH(1,1) process for computing regulatory capital to cover market risks in banks, which with a generic conditional distribution, instead of the AGARCH (p, q) is typically based on a 10-day VaR estimate derived from daily data – model considered by Wong and So (2003), because the former model we are often interested in longer horizons. The problem is that for encompasses the majority of the GARCH models that are favoured in ^ ^−1 fi n > 1 neither F t;tþn nor F t;tþn is known in closed form (in a GARCH con- the nancial forecasting literature: see Awartani and Corradi (2005), text based on daily data) so they are obtained using simulations. This is in Asai and McAleer (2008) and many others. accordance with Engle (2003), who argued in his Nobel lecture that sim- The reminder of this paper is organised as follows: Section 2 pre- ulations are required to predict the quantiles of the returns distribution sents the theoretical methodology that we shall implement for our over a time horizon which is longer than the frequency of the model, empirical results and explains how analytic formulae for the first when aggregated returns are generated by a GARCH process. But simula- four moments of aggregated GARCH returns can be used to approxi- tions are only asymptotically exact, so it can be very time consuming to mate VaR; Section 3 presents the data and empirical results; and simulate aggregated GARCH returns distributions that allow VaR to be Section 4 concludes. forecast with a satisfactory degree of accuracy. This computational burden has been an impediment to the adop- 2. Analytic approximations for GARCH VaR tion of VaR models based on GARCH processes in practice. Further- more, from an academic perspective, it has reduced the scope for We construct quasi-analytic VaR estimates that capture the im- extensive out-of-sample tests of GARCH-based VaR forecasts. portant characteristics of financial asset returns (i.e. their volatility Hence, the need arises for an alternative method of resolution that is clustering and non-normal distributions) by applying established less time-consuming than simulation, while retaining the great advan- moment-based approximation methods to analytic formulae for the tage of accurate GARCH modelling. Given the frequent turmoil in finan- first four conditional moments of GARCH aggregated returns. cial markets and the pervasive use of the VaR metric throughout the Consider the following generic GJR specification, introduced by industry, the construction of fast, accurate and easily implemented Glosten et al. (1993), for the generating process of a continuously VaR forecasts is of significant practical and regulatory importance. compounded portfolio return from time t − 1 to time t, denoted rt: In this paper we forecast aggregated returns distributions using ana- lytic formulae for the higher-order conditional moments of GARCH aggre- ¼ μ þ ε ; ε ¼ 1=2; ∼ ðÞ; ; rt t t zt ht zt D 0 1 gated returns. Given these moments we compare two VaR forecasts obtained using two different methods to approximate the future returns with3 distribution.
Load more

Recommended publications
  • BOOK of the NIGHT HEADLINE SPONSOR 29 January 2021 3
    The AMBA & BGA Excellence Awards2021 OFFICIAL BOOK OF THE NIGHT HEADLINE SPONSOR 29 January 2021 WELCOME FROM CONTENTS It is my great pleasure to welcome you all to our 2021 AMBA & BGA Excellence Awards, which we are SPONSORS 04 hosting virtually. RUNNING ORDER OF THE AWARDS CEREMONY 05 On behalf of the entire AMBA & BGA team, I would like to thank you for joining us to celebrate our JUDGING PANEL 06 shared successes throughout the past year, in spite of global turbulence, and to congratulate all the shortlisted entrants and winners of this year’s Excellence Awards. We are also celebrating BGA’s second anniversary. Since BGA’s launch in late January 2019, the network THE CHIEF EXECUTIVE OFFICER BEST INNOVATION STRATEGY, has grown at lightning speed – we have already welcomed 150 Business Schools as BGA members and accredited 12 BGA Schools. Our AMBA-accredited Schools network has now grown to 286 Schools Sponsored by Barco 08 and we have been delighted to continue receiving positive feedback on our decision to strengthen the quality and exclusivity of the AMBA network further, by limiting the network to just 300 high-quality BEST LIFELONG LEARNING INITIATIVE, . Business Schools worldwide. Sponsored by Studious Digital Education 12 AMBA student and graduate membership has grown to 55,000, and our BGA student and graduate network will, in time, grow to be even larger than this. BEST CORPORATE SOCIAL RESPONSIBILITY INITIATIVE 16 This is our largest-ever AMBA & BGA Excellence Awards, featuring 11 categories. We have had a record number of entries, representing all six continents, and the competition was stronger than ever.
    [Show full text]
  • Dr. NEAL H. HOOKER
    August, 2017 Dr. NEAL H. HOOKER 210R Page Hall, 1810 College Road Professor of Food Policy Columbus, OH 43210 John Glenn College of Public Affairs Tel: 614‐292‐8188 Fax: 614‐292‐2548 The Ohio State University [email protected] http://glenn.osu.edu/ Research, Teaching and Outreach Interests Food Policy & Marketing; Food Safety & Nutrition Economics; Corporate Social Responsibility & Sustainability Education Ph.D. 1997 Resource Economics, University of Massachusetts, USA M.A. 1992 Economics, University of British Columbia, Canada B.A.(Hons) 1988 Economics, University of Essex, UK Professional Experience Current 2012‐ Professor of Food Policy, John Glenn College of Public Affairs, The Ohio State University Previous 2015 Faculty Fellow, John Glenn College of Public Affairs, Washington DC 2009‐2012 CJ McNutt Professor of Food Marketing, Saint Joseph’s University 2010‐2012 Research Fellow, Pedro Arrupe Center for Business Ethics, SJU 2007‐2012 Visiting Professor, Food Policy Institute, Rutgers University 2006‐2009 Associate Professor, Dept. of Agricultural, Environmental, and Development Economics, OSU 2005‐2009 Courtesy Faculty Member, Dept. of Food Science and Technology, OSU 2007‐2009 Fellow, Farm Foundation 2008 Visiting Professor, The Hebrew University of Jerusalem, Israel 2007‐2008 Senior Research Fellow, Kent Business School, University of Kent, UK 2007 Fellow, Advertising Educational Foundation 2000‐2006 Assistant Professor, Dept. of Agricultural, Environmental, and Development Economics, The Ohio State University 1999‐2000 Assistant Professor, Dept. of Agricultural and Resource Economics, Colorado State University 1999‐2000 Adjunct Assistant Professor, Dept. of Agricultural Economics, Texas A&M University 1997‐1999 Postdoctoral Research Associate, Center for Food Safety, Texas A&M University 1997‐1999 Postdoctoral Research Associate, Dept.
    [Show full text]
  • 7Th International Conference of the Financial Engineering and Banking Society
    7th International Conference of the Financial Engineering and Banking Society 01 June 2017 08:30 - 09:00 Refreshments & delegate pack collection 09:00 - 10:30 Parallel Sessions 1 1. Money and Policy Room: Room 2 - Technology and Innovation Centre (TIC) Chair: Dr G Charles-Cadogan Liquidity and Shadow Banking Authors: Simone Varotto (Henley Business School), Zary Aftab (Henley Business School) Presenters: Zary Aftab (Henley Business School) Is social trading hazardous to your wealth? Authors: Matthias Pelster (Leuphana University), Julia Kapraun (WHU - Otto Beisheim School of Management) Presenters: Matthias Pelster (Leuphana University) 2. Corporate Finance 1 Room: Room 3 - Technology and Innovation Centre (TIC) Chair: Yijun Meng (University of Reading) Effectiveness of Shariah Governance in Double Layer Governance Structure Model Authors: Sofi Mohd Fikri (Graduate School of Management, Universiti Putra Malaysia Islamic Business School Universiti Utara Malaysia ), Mohamed Hisham Yahya (Faculty of Economics and Management, Universiti Putra Malaysia ) Presenters: Sofi Mohd Fikri (Graduate School of Management, Universiti Putra Malaysia Islamic Business School Universiti Utara Malaysia ) Analyst Forecast Error and investor sentiment in cross- sectional returns Authors: Ephraim Clark (Middlesex University), Sina Badreddine (Middlesex University), Oussama Baher (University of sussex) Presenters: Oussama Baher (University of sussex) Older compensation committee members better monitoring: evidence from UK Authors: Yiwei Li (University of Reading
    [Show full text]
  • New Renovated B-School Facilities
    Business School Facilities: Recent Construction and Renovation Institution Name B-school Name Building/Facility Name Activity Year Status University of Calgary Haskayne School of Business Scurfield Hall New Building 1986 Complete University of Cincinnati School of Business Carl H. Lindner Hall New Building 1987 Complete Brock University Faculty of Business Taro Hall New Building 1990 Complete The University of Arizona Eller College of Management McClelland Hall New Building 1992 Complete University of California, Berkeley Haas School of Business Haas School of Business complex New Building 1995 Complete University of California, Los Angeles Anderson School of Management Management Education Complex New Building 1995 Complete Boston University School of Management Rafik B. Hariri Building New Building 1996 Complete Creighton University College of Business College of Business Building Renovation/Expansion 1996 Complete Northern Kentucky University Haile/US Bank College of Business unknown unknown 1996 Complete University of Georgia The Terry College of Business Brooks Hall Renovation/Expansion 1996 Complete William and Rosemary Gallagher University of Montana School of Business Administration Business Building New Building 1996 Complete University of Virginia-Darden Darden Graduate School of Business Saunders Hall New Building 1996 Complete The Arnold and Mabel Beckman Chapman University Argyros School of Business and Economics Business and Technology Hall New Building 1997 Complete Peter F. Drucker & Masatoshi Ito Graduate Claremont Graduate
    [Show full text]
  • Download PDF (46.6
    Contributors Edward I. Altman, Stern School of Business, New York University, New York, USA; [email protected]. Manuel Ammann, Swiss Institute of Banking and Finance, University of St Gallen, Switzerland; [email protected]. Keith Anderson, The York Management School, University of York, UK; keith. [email protected]. Adrian R. Bell, ICMA Centre, Henley Business School, University of Reading, UK; [email protected]. Chris Brooks, ICMA Centre, Henley Business School, University of Reading, UK; c.brooks@ icmacentre.ac.uk. David A. Carter, Department of Finance, College of Business Administration, Oklahoma State University, USA; [email protected]. Geraldo Cerqueiro, Universidade Católica Portuguesa Católica – Lisbon School of Business and Economics, Portugal; [email protected]. Ke Chen, Manchester Business School, University of Manchester, UK; kechen1998@ gmail.com. Hans Degryse, Department of Accountancy, Finance and Insurance, KU Leuven, Belgium, CentER – Tilburg University, The Netherlands, CEPR, and CESifo; hans. [email protected]. Deniz Erdemlioglu, University of Namur – FUNDP, Belgium; deniz.erdemlioglu@ fundp.ac.be. Andrey Golubov, Cass Business School, City University London, UK; andrey.golubov.1@ city.ac.uk. Massimo Guidolin, CAIR, Manchester Business School, University of Manchester, UK and IGIER, Bocconi University, Italy; [email protected]. Ólan T. Henry, University of Liverpool Management School, University of Liverpool, UK; [email protected]. Thomas Johann, University of Mannheim,
    [Show full text]
  • Editor-In-Chief Naveen Donthu Georgia State University
    Editor-in-Chief Naveen Donthu Anders Gustafsson Georgia State University, [email protected] Norwegian Business School, [email protected] Senior Editors Domingo Enrique Ribeiro-Soriano Hongwei He University of Valencia, Valencia, Spain The University of Manchester, Manchester, United Kingdom Consumer behavior Associate Editors Kalpesh Desai, University of Missouri, [email protected] Claas Christian Germelmann, Universität Bayreuth, [email protected] Colleen Kirk, New York Institute of Technology, [email protected] Colleen Bee, Oregon State University, Corvallis, Oregon, United States Ashok Lalwani, Indiana University at Bloomington, [email protected] Hope Jensen Schau, The University of Arizona Eller College of Management, Tucson, Andrew Murphy, Massey University, [email protected] Arizona, United States Gopal Das, IIM Bangalore, [email protected] Lan Xia, Bentley University, Waltham, Massachusetts, United States Editorial Review Board Annika Abell Teresa Davis Adwait Khare Patricia Norberg Assistant Prof at Univ of Tennessee, Knoxvillea Sydney University Business School University of Texas (Arlington) Quinnipiac University Aaron Ahuvia Nathalie Dens Ann-Kristin Knapp Ulrich Orth University of Michigan Dearborn University of Antwerp University of Muenster University of Kiel Dana Alden Pierre Desmet Minkyung Koo Elfriede Penz University of Hawaii ESSEC Business School University of Illinois at Urbana-Champaignu Economics University of Vienna Nisreen Ameen Alexabder Fedorikhin Daniel Korschun Maria Piacentini
    [Show full text]
  • European Financial Management Association 2012
    EUROPEAN FINANCIAL MANAGEMENT ASSOCIATION 2012 Annual Conference June 27 - 30, 2012 School of Economics and Business, University of Barcelona Barcelona, Spain Dear colleagues and friends of the European Financial Management Association (EFMA), On behalf of the School of Economics and Business, of the University of Barcelona, we have the great pleasure, and privilege, to welcome you to Barcelona and the 21th Annual Meeting of the EFMA. A very large number of high quality papers were received, making the refereeing process a very challenging task. All submitted papers were blindly reviewed by the outstanding members of the program committee from top academic institutions, on several continents, including: New York University, Harvard University, London Business School, The University of Chicago, INSEAD, Cass Business School, UCLA, Fordham University, Yale University, Columbia University, Oxford University, London School of Economics, European Central Bank, Banco de España, CEMFI, Universidad Carlos III and Universitat Pompeu Fabra. To all of them, as well as to all who submitted papers, accepted to discuss them and to chair sessions, go our heartfelt thanks. The highly competitive refereeing process led to a selection of 246 papers out of more than 700 papers received. The program consists of 82 parallel sessions and 4 special sessions, with very renown academic specialists in each topic. The EFM “Merton H. Miller” Doctoral Seminar, sponsored by the EFM Journal, is an excellent outlet for PhD students to enhance their research skills through specific tutorials under the guidance of great academics. Professor B. Espen Eckbo from Dartmouth College, Tuck School of Business and Professor Stijn Van Nieuwerburgh, NYU Stern School of Business are the Distinguished Doctoral Seminar Keynote Lectures of the 2012 program.
    [Show full text]
  • Dr Luca Angelo CACCIOLATTI
    Dr Luca Angelo CACCIOLATTI Westminster Business School Date of Birth: 25.11.1980 University of Westminster Nationality: Italian and British 35 Marylebone Road London, NW1 5LS (UK) [email protected] +44 (0) 7791 633 851 (UK) +86 (0) 150 551 67375 (China) +39 339 56 58 380 (Italy) Main Professional Skills Main Domains of Research good communication skills SME marketing / Entrepreneurship problem solving oriented Innovation / Sociological Institutionalism good analytical skills Multivariate data analysis applied to marketing Main Personal Skills Main Professional Goals inquisitive, fast learner, determined continuous personal learning through the expression creative, sociable of my creativity in research, teaching and external engagement Current Working Experience Senior Lecturer Westminster Business School, University of Westminster, London (UK) (Associate Professor) in Marketing RESEARCH (Full Time – Permanent Position) Main Research Interests in Aug 2015 – Current (i) SME Marketing, Market Orientation and Marketing Capabilities, Value Chains (marketing information utilisation, Programme co-director for marketing intelligence, value chains, pull strategies to add MSc in Entrepreneurship, value). Innovation and SME Development (ii) Entrepreneurship and Innovation (Regional innovation systems and innovation capabilities, Chinese indigenous innovation, Entrepreneurial Cognition and Learning, SME growth and firm performance, SMEs business development), (iii) Sociological Institutionalism (institutional mechanisms in marketing
    [Show full text]
  • If You Have Passion and Focus You Can Accomplish Anything
    The UK’s European university UNIVERSITY OF KENT OPEN DAYS IN 2013/14 Postgraduate events Wed 27 November 2013 Sat 1 February 2014 General Open Days / Canterbury Medway GRADUATE PROSPECTUS Wed 18 September 2013 Sat 12 October 2013 Sat 5 October 2013 Sat 21 June 2014 Sat 12 July 2014 www.kent.ac.uk/opendays University of Kent, The Registry, Canterbury, Kent CT2 7NZ T: +44 (0)1227 764000 E: [email protected] / 2014 IF YOU HAVE PASSION AND FOCUS YOU CAN ACCOMPLISH ANYTHING Graduate 2014 Prospectus By rail The nearest train station to the AUR campus is Trastevere Station on the Pisa-Livorno-Rome, Rome- NOW IT GETS Capranica-Viterbo and Rome-Fiumicino lines. By bus and tram On leaving Trastevere station, take tram 8 towards Largo Argentina. Get off at Via E Morosini and INTERESTING catch bus 44 (in the direction of Montalcini) or bus 75 (in the direction of Poerio/Marino). The campus is located between two stops: Via Our postgraduate programmes are informed Dandolo/Calandrelli and Via Giacinto Carini; both by a commitment to research excellence. As a stops are less than 100 metres from the AUR campus. highly ranked UK university, Kent provides a Campus map dynamic and challenging academic environment. www.kent.ac.uk/maps/rome The University offers students a wide choice of well-structured and ambitious postgraduate programmes. At every stage, students are supported by inspirational teaching and supervision, first-class library and IT facilities and a diverse schedule of seminars, workshops and events. www.kent.ac.uk 1 2 University of Kent / Graduate Prospectus 2014 WELCOME FROM THE DEAN This is an exciting time to be a postgraduate student at the University of Kent.
    [Show full text]
  • Locationseurope Excl
    Istanbul, Turkey Global Conference 2019 13-15 May 2019 4% 2% 3% Job role 14% Director, Associate Director North America/3% UK/15% LocationsEurope excl. UK/36% Dean, Associate Dean Other President, Vice President, Chairman, Chief, Rector Manager Head 32% 45% Oceania/3% Countries Schools 49 179 Africa/6% Latin America/10% Asia & Middle Attending Schools East/27% Aberdeen Business School, Robert Chongqing University Essex Business School Henley Business School, University of Reading International Management Institute (MIM-Kyiv) Leeds University Business School Paris School of Business Sheffield University Management School Universidad Adolfo Ibañez University of Science and Technology of China Gordon University School of Management Chuo University Graduate School of Facultdad de Economia y Negocios, Higher Business School, State International Management Institute of Maastricht School of Management Peking University HSBC Business School SKEMA Business School Universidad de Los Andes Adam Smith Business School, Strategic Management Universidad Andres Bello University of Management St. Petersburg (IMISP) University of South Pacific Graduate School University of Glasgow of Business Maastricht University School of Porto Business School Southwest Jiaotong University, School of Universidad EAFIT CITY College, International Faculty of the Faculty of Economics & Business, Higher School of Business, Kazan International University of Monaco Business and Economics Economics and Management ALBA Graduate Business School University of Sheffield University
    [Show full text]
  • The Kent Mba
    THE KENT MBA Canterbury Graduate study EFMD www.kentmba.com 1 WHY CHOOSE THE KENT MBA? AN AMBA- RESEARCH ACCREDITED EXCELLENCE Kent Business School is proud of its strong PROGRAMME research environment. In the Research The Kent MBA carries the Association Excellence Framework (REF) 2014, an of MBAs (AMBA) accreditation, which impressive 98% of our research was judged represents the highest standard of to be of international quality, with 67% of achievement in postgraduate business that being ‘world-leading’ or ‘internationally education and is awarded to only the best excellent’. We were ranked 25th for research MBA programmes in the world. Students intensity in the UK by the Times Higher and employers consistently recognise that Education. Our world-class research informs an MBA with AMBA accreditation is an teaching on our MBA programme through the assurance of global quality. latest business and management topics and data from our six centres of applied research. CORPORATE EUROPEAN CONNECTIONS STUDY TOUR Kent Business School prides itself on As a student of the Kent MBA, you have delivering first-class academic degrees the opportunity to visit Brussels and Paris combined with real-world business on a five-day European Study Tour. While connections. During the Kent MBA in Brussels, you attend workshops and programme, global organisations present seminars on policy, law and business within live case studies and projects. You also the EU, and in Paris, you work with European engage in a week of consultancy with organisations on the practicalities of doing businesses and have access to a diverse business in Europe. range of private and public sector experience.
    [Show full text]
  • Business and Management Research Themes and Impact [Version 1; Peer Review: 1 Approved, 1 Not Approved]
    Emerald Open Research Emerald Open Research 2020, 2:67 Last updated: 10 SEP 2021 RESEARCH ARTICLE Business and management research themes and impact [version 1; peer review: 1 approved, 1 not approved] Evidence from REF 2014 Paul A. Phillips 1, Stephen Page2, Joshua Sebu 3 1Kent Business School,, University of Kent, UK, Canterbury, Kent, CT2 7AJ, United Kingdom 2Hertfordshire Business School, University of Hertfordshire, UK, Hatfield, United Kingdom 3School of Economics, University of Cape Coast, Ghana, University of Cape Coast,, Ghana, Ghana v1 First published: 24 Nov 2020, 2:67 Open Peer Review https://doi.org/10.35241/emeraldopenres.13987.1 Latest published: 24 Nov 2020, 2:67 https://doi.org/10.35241/emeraldopenres.13987.1 Reviewer Status Invited Reviewers Abstract This paper examines the theoretical issues and research themes of 1 2 business and management impact. Our empirical setting is the UK Research Excellence Framework 2014 (REF 2014) and the focus is on version 1 the nature of research impact. Stakeholders, including Governments, 24 Nov 2020 report report now expect academic outputs to translate to real world benefits beyond the narrow bibliometric type metrics. 1. Julie Davies , Manchester Metropolitan Despite decades of academic literature devoted to business and management research impact, current theories cannot explain the University, Manchester, United Kingdom apparent disconnect between academic, economic and societal practice. Adopting a UK Business and Management perspective to 2. Ludo Waltman , Leiden University, frame our investigation, we consider the highly contested rhetorical Leiden, Netherlands question – what are the current themes and impacts of Business and Management research? Any reports and responses or comments on the We propose a definition for research impact and consider its article can be found at the end of the article.
    [Show full text]