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~person:"Chang, Chia-Lin"
~person:"Kerstan, Friedhelm"
~person:"Lien, Da-hsiang Donald"
~subject:"Cointegration"
~subject:"Zeitreihenanalyse"
~type_genre:"Article in journal"
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Cointegration
Zeitreihenanalyse
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86
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54
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38
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38
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Chang, Chia-Lin
Kerstan, Friedhelm
Lien, Da-hsiang Donald
Hammoudeh, Shawkat
14
Gupta, Rangan
12
Tiwari, Aviral Kumar
11
Kisswani, Khalid M.
10
Arouri, Mohamed
9
Gil-Alaña, Luis A.
8
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7
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6
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6
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Nonejad, Nima
6
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Wu, Chongfeng
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Liu, Li
5
Mignon, Valérie
5
Sharma, Susan Sunila
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Solarin Sakiru Adebola
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Wang, Shouyang
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4
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Chevallier, Julien
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Chiu, Mei Choi
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4
Fasanya, Ismail Olaleke
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Guesmi, Khaled
4
Jawadi, Fredj
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4
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The journal of futures markets
2
Advances in investment analysis and portfolio management : a research annual
1
Energy economics
1
International review of economics & finance : IREF
1
Review of quantitative finance and accounting
1
The North American journal of economics and finance : a journal of financial economics studies
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
8
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1
Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
Caporin, Massimiliano
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
International review of economics & finance : IREF
59
(
2019
),
pp. 50-70
Persistent link: https://www.econbiz.de/10012202481
Saved in:
2
Conditional correlations and volatility spillovers between crude oil and stock index returns
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 116-138
Persistent link: https://www.econbiz.de/10009777824
Saved in:
3
Crude oil hedging strategies using dynamic multivariate GARCH
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
- In:
Energy economics
33
(
2011
)
5
,
pp. 912-923
Persistent link: https://www.econbiz.de/10009382992
Saved in:
4
Hedging performance of volatility index futures : a partial cointegration approach
Lee, Hsiu-chuan
;
Lien, Da-hsiang Donald
;
Sheu, Her-jiun
- In:
Review of quantitative finance and accounting
61
(
2023
)
1
,
pp. 265-294
Persistent link: https://www.econbiz.de/10014342031
Saved in:
5
A further note on the optimality of the OLS hedge strategy
Lien, Da-hsiang Donald
- In:
The journal of futures markets
28
(
2008
)
3
,
pp. 308-311
Persistent link: https://www.econbiz.de/10003699396
Saved in:
6
Estimating the optimal hedge ratio with focus information criterion
Lien, Da-hsiang Donald
;
Shrestha, Keshab
- In:
The journal of futures markets
25
(
2005
)
10
,
pp. 1011-1024
Persistent link: https://www.econbiz.de/10003185641
Saved in:
7
Cointegration and the optimal hedge ratio : the general case
Lien, Da-hsiang Donald
- In:
The quarterly review of economics and finance : journal …
44
(
2004
)
5
,
pp. 654-658
Persistent link: https://www.econbiz.de/10002468164
Saved in:
8
Optimal hedge ratios and temporal aggregation of cointegrated systems
Lien, Da-hsiang Donald
;
Leggio, Karyl
- In:
Advances in investment analysis and portfolio …
9
(
2002
),
pp. 31-40
Persistent link: https://www.econbiz.de/10001695508
Saved in:
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