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Herding, Information Cascades and Volatility Spillovers in Futures Markets
McAleer, Michael; Radalj, Kim - 2013
Economists and financial analysts have begun to recognise the importance of the actions of other agents in the decision-making process. Herding is the deliberate mimicking of the decisions of other agents. Examples of mimicry range from the choice of restaurant, fashion and financial market...
Persistent link: https://www.econbiz.de/10010326188
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Modelling conditional correlations in the volatility of Asian rubber spot and futures returns
Khamkaew, Tanchanok; Tansuchat, Roengchai; Chang, Chia-Lin - 2009
Persistent link: https://www.econbiz.de/10003908711
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Modelling long memory volatility in agricultural commodity futures returns
Tansuchat, Roengchai; Chang, Chia-Lin; McAleer, Michael - 2009
Persistent link: https://www.econbiz.de/10003909568
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Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10003987324
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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
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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
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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
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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
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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
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Modelling long memory volatility in agricultural commodity futures returns
Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - 2012 - Rev.
Persistent link: https://www.econbiz.de/10009619551