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Conditional correlations and volatility spillovers between crude oil and stock index returns

Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10008669344

Crude oil hedging strategies using dynamic multivariate GARCH

Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10008669351

Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets

Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - 2010

Persistent link: https://www.econbiz.de/10008669993

Crude oil hedging strategies using dynamic multivariate GARCH

Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10003987324

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

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

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

Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets

Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - In: Energy economics 32 (2010) 6, pp. 1445-1455

Persistent link: https://www.econbiz.de/10008935991

Volatility Spillovers between Returns on Crude Oil Futures and Oil Company Stocks

Chang, Chia-Lin - 2009

The purpose of this paper is to investigate the volatility spillovers between the returns on crude oil futures and oil company stocks using alternative multivariate GARCH models, namely the CCC model of Bollerslev (1990), VARMA-GARCH model of Ling and McAleer (2003), and VARMA-AGARCH model of...

Persistent link: https://www.econbiz.de/10013159693

A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices

Allen, David E. - 2016

This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing crude oil spot and futures prices. The use of grains for the creation of bio-fuels has sparked fears that these demands are inflating food prices. We analyse approximately 10...

Persistent link: https://www.econbiz.de/10012978237