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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
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Volatility spillovers for spot, futures, and ETF prices in agriculture and energy
Chang, Chia-Lin; Liu, Chia-Ping; McAleer, Michael - In: Energy economics 81 (2019), pp. 779-792
Persistent link: https://www.econbiz.de/10012172983
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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
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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
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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
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Non-linear dynamics in futures prices : evidence from the coffee, sugar and cocoa exchange
Adrangi, Bahram; Chatrath, Arjun - In: Applied financial economics 13 (2003) 4, pp. 245-256
Persistent link: https://www.econbiz.de/10001748447
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Modeling dynamic conditional correlations in WTI oil forward and futures returns
Lanza, Alessandro; Manera, Matteo; McAleer, Michael - In: Finance research letters 3 (2006) 2, pp. 114-132
Persistent link: https://www.econbiz.de/10003333927
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Pricing of non-ferrous metals futures on the London metal exchange
Watkins, Clinton; McAleer, Michael - In: Applied financial economics 16 (2006) 12, pp. 853-880
Persistent link: https://www.econbiz.de/10003377835
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Forecasting volatility and co-volatility of crude oil and gold futures : effects of leverage, jumps, spillovers, and geopolitical risks
Asai, Manabu; Gupta, Rangan; McAleer, Michael - In: International journal of forecasting 36 (2020) 3, pp. 933-948
Persistent link: https://www.econbiz.de/10012497080
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Preferences of risk-averse and risk-seeking investors for oil spot and futures before, during and after the Global Financial Crisis
Hooi Hooi Lean; McAleer, Michael; Wong, Wing Keung - In: International review of economics & finance : IREF 40 (2015), pp. 204-216
Persistent link: https://www.econbiz.de/10011573581