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subject:"Derivat"
~isPartOf:"Applied economics"
~isPartOf:"Applied financial economics"
~isPartOf:"Econometric Institute research papers"
~subject:"ARCH model"
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Derivat
ARCH model
ARCH-Modell
Commodity derivative
89
Rohstoffderivat
89
Volatility
44
Volatilität
44
Commodity price
35
Estimation
35
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35
Schätzung
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Welt
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McAleer, Michael
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Chang, Chia-Lin
9
Tansuchat, Roengchai
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García, Philip
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Goutte, Stéphane
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Hooi Hooi Lean
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Irwin, Scott H.
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Lee, Hsiang-tai
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Roengchai Tansuchat
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Abid, Ilyes
1
Adrangi, Bahram
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Alam, Md Rafayet
1
Anderson, David P.
1
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1
Boroumand, Raphaël Homayoun
1
Chatrath, Arjun
1
Deng, Jun
1
Dhaoui, Abderrazak
1
Diao, Xundi
1
Etienne, Xiaoli Liao
1
Fan, Hai
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Hammoudeh, Shawkat M.
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Applied economics
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Econometric Institute research papers
Energy economics
125
The journal of futures markets
29
Economic modelling
28
International review of financial analysis
27
Finance research letters
25
International review of economics & finance : IREF
21
Journal of commodity markets
16
International Journal of Energy Economics and Policy : IJEEP
15
Research in international business and finance
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Working paper
15
Journal of banking & finance
14
The energy journal
14
American journal of agricultural economics
11
Applied economics letters
11
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9
The North American journal of economics and finance : a journal of financial economics studies
8
International journal of finance & economics : IJFE
7
Journal of agricultural and resource economics : JARE ; the journal of the Western Agricultural Economics Association
7
The European journal of finance
7
Applied economic perspectives and policy
6
Cogent economics & finance
6
European journal of operational research : EJOR
6
International journal of forecasting
6
Journal of international financial markets, institutions & money
6
The empirical economics letters : a monthly international journal of economics
6
International journal of theoretical and applied finance
5
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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European review of agricultural economics : ERAE
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ECONIS (ZBW)
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1
Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA
Chang, Chia-Lin
;
McAleer, Michael
;
Zuo, Guangdong
-
2017
-
Revised: May 2017
Persistent link: https://www.econbiz.de/10011965722
Saved in:
2
Modelling long memory volatility in agricultural commodity futures returns
Tansuchat, Roengchai
;
Chang, Chia-Lin
;
McAleer, Michael
-
2009
Persistent link: https://www.econbiz.de/10003909568
Saved in:
3
A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios
Lee, Hsiang-tai
;
Yoder, Jonathan K.
- In:
Applied economics
39
(
2007
)
10/12
,
pp. 1253-1265
Persistent link: https://www.econbiz.de/10003511726
Saved in:
4
Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat
;
Chang, Chia-Lin
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10003987324
Saved in:
5
Conditional correlations and volatility spillovers between crude oil and stock index returns
Tansuchat, Roengchai
;
Chang, Chia-Lin
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10003987330
Saved in:
6
Analyzing and forecasting volatility spillovers and asymmetries in major crude oil spot, forward and futures markets
Chang, Chia-Lin
;
McAleer, Michael
;
Tansuchat, Roengchai
-
2010
Persistent link: https://www.econbiz.de/10003987336
Saved in:
7
Exchange rate and industrial commodity volatility transmissions, asymmetries and hedging strategies
Hammoudeh, Shawkat M.
;
Yuan, Yuan
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10003987666
Saved in:
8
Modelling conditional correlations for risk diversification in crude oil markets
Chang, Chia-Lin
;
McAleer, Michael
;
Tansuchat, Roengchai
-
2009
Persistent link: https://www.econbiz.de/10003877105
Saved in:
9
Forecasting volatility and spillovers in crude oil spot, forward and futures markets
Chang, Chia-Lin
;
McAleer, Michael
;
Tansuchat, Roengchai
-
2009
Persistent link: https://www.econbiz.de/10003877109
Saved in:
10
Estimating optimal hedge ratio : a multivariate skew-normal distribution approach
Lien, Da-hsiang Donald
;
Shrestha, Keshab
- In:
Applied financial economics
20
(
2010
)
7/9
,
pp. 627-636
Persistent link: https://www.econbiz.de/10009009324
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