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~isPartOf:"KIER Working Papers"
~source:"repec"
~subject:"ENSO"
~subject:"volatility spillovers"
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ENSO
volatility spillovers
GARCH
3
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Volatility spillovers
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conditional correlations
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crude oil prices
3
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2
GJR
2
futures returns
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spot returns
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McAleer, Michael
4
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3
Tansuchat, Roengchai
3
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2
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1
Chu, LanFen
1
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Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
Chang, Chia-Lin
;
Khamkaew, Thanchanok
;
McAleer, Michael
; …
-
Institute of Economic Research, Kyoto University
-
2010
, Japan and Singapore. The analysis is conducted using several alternative multivariate
GARCH
models. The empirical results … the VARMA-
GARCH
model and the VARMA-AGARCH model suggest the presence of volatility spillovers and asymmetric effects of …
Persistent link: https://www.econbiz.de/10008642392
Saved in:
2
How Volatile is ENSO?
Chu, LanFen
;
McAleer, Michael
;
Chen, Chi-Chung
-
Institute of Economic Research, Kyoto University
-
2010
results show that both the ARMA(1,1)-
GARCH
(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility …
Persistent link: https://www.econbiz.de/10008677573
Saved in:
3
Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
Chang, Chia-Lin
;
McAleer, Michael
;
Tansuchat, Roengchai
-
Institute of Economic Research, Kyoto University
-
2010
index returns, are analysed using the CCC model of Bollerslev (1990), VARMA-
GARCH
model of Ling and McAleer (2003), VARMA … supported empirically. Surprisingly, the empirical results from the VARMA-
GARCH
and VARMA-AGARCH models provide little evidence … positive shocks of equal magnitude on the conditional variances suggests that VARMA-AGARCH is superior to VARMA-
GARCH
and CCC. …
Persistent link: https://www.econbiz.de/10008490236
Saved in:
4
Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations
Chang, Chia-Lin
;
Khamkaew, Thanchanok
;
McAleer, Michael
; …
-
Institute of Economic Research, Kyoto University
-
2010
International and domestic tourism are leading economic activities in the world today. Tourism has been known to generate goods and services directly and indirectly, attract foreign currency, stimulate employment, and provide opportunities for investment. It has also been recognized as an...
Persistent link: https://www.econbiz.de/10008506264
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