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subject:"Derivat"
~person:"McAleer, Michael"
~subject:"ARCH model"
~subject:"Oil price"
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Derivat
ARCH model
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Rohstoffderivat
57
Commodity derivative
55
Volatilität
38
Volatility
37
ARCH-Modell
32
Ölpreis
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McAleer, Michael
Ma, Feng
30
Chang, Chia-Lin
27
Manera, Matteo
22
Wei, Yu
16
Irwin, Scott H.
15
Chevallier, Julien
14
Kilian, Lutz
14
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14
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14
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13
Ji, Qiang
13
Zhang, Yaojie
13
Tansuchat, Roengchai
11
Kang, Sang Hoon
10
Prokopczuk, Marcel
10
Baffes, John
9
Bouri, Elie
9
García, Philip
9
Luo, Jiawen
9
Nicolini, Marcella
9
Roengchai Tansuchat
9
Sévi, Benoît
9
Benth, Fred Espen
8
Karali, Berna
8
Nguyen, Duc Khuong
8
Nikitopoulos, Christina Sklibosios
8
Peersman, Gert
8
Schlögl, Erik
8
Serletis, Apostolos
8
Vigfusson, Robert J.
8
Cheng, Benjamin
7
Cortazar, Gonzalo
7
Ghoshray, Atanu
7
Gupta, Rangan
7
Li, Bingxin
7
Lu, Xinjie
7
Mensi, Walid
7
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7
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Modelling the relationship between crude oil and agricultural commodity prices
Duc Hong Vo
;
Tan Ngoc Vu
;
Anh The Vo
;
McAleer, Michael
-
2018
Persistent link: https://www.econbiz.de/10011987133
Saved in:
2
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:
3
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
Saved in:
4
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:
5
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
Saved in:
6
Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat
;
Chang, Chia-Lin
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008669351
Saved in:
7
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
Saved in:
8
Exchange rate and industrial commodity volatility transmissions, asymmetries and hedging strategies
Hammoudeh, Shawkat
;
Yuan, Yuan
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008689068
Saved in:
9
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:
10
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:
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