Similar Search Results

Identifying shocks in regionally integrated East Asian economies wih structural VaR and block exogeneity

Satō, Kiyotaka; Zhang, Zhaoyong; McAleer, Michael - 2009

Persistent link: https://www.econbiz.de/10003987291

Identifying shocks in regionally integrated East Asian economies with structural VAR and block exogeneity

Satō, Kiyotaka; Zhang, Zhaoyong; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10003987321

Volatility spillovers from the Chinese stock market to economic neighbours

Allena, David E.; Amrama, Ron; McAleer, Michael - 2011

Persistent link: https://www.econbiz.de/10009413631

Volatility spillovers from the US to Australia and China across the GFC

Allen, David E.; McAleer, Michael; Powell, R. J.; … - 2013

Persistent link: https://www.econbiz.de/10009724110

International banking and cross-border effects of regulation : lessons from the United States

Berróspide, José M.; Correa, Ricardo; Goldberg, Linda S. - 2016

Domestic prudential regulation can have unintended effects across borders and may be less effective in an environment where banks operate globally. Using U.S. micro-banking data for the first quarter of 2000 through the third quarter of 2013, this study shows that some regulatory changes indeed...

Persistent link: https://www.econbiz.de/10011547676

International banking and cross-border effects of regulation : lessons from the United States

Berróspide, José M.; Correa, Ricardo; Goldberg, Linda S. - 2016

Persistent link: https://www.econbiz.de/10011553274

Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances

Chang, Chia-Lin; McAleer, Michael; Wang, Yanghuiting - 2016 - Revised: June, 2016

natural gas spot and futures returns data from two major international natural gas derivatives markets, namely NYMEX (USA) and … ICE (UK), as well as ETF data of natural gas companies from the stock markets in the USA and UK. The empirical results … show that there are significant spillover effects in natural gas spot, futures and ETF markets for both USA and UK. Such a …

Persistent link: https://www.econbiz.de/10011490999

An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors

Chang, Chia-ling; McAleer, Michael; Wang, Chien-Hsun - 2016 - Revised: June, 2016

It is well known that that there is an intrinsic link between the financial and energy sectors, which can be analyzed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other's subsequent volatility in both spot and futures markets....

Persistent link: https://www.econbiz.de/10011520509

Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China

Chang, Chia-Lin; McAleer, Michael; Tian, Jiarong - 2016 - Revised: June, 2016

, namely North Sea, USA, Middle East, and South-East Asia. Associated with these regions are two major financial centers …, namely UK and USA. For these reasons, the data to be used are the returns on alternative crude oil markets, returns on crude … oil derivatives, specifically futures, and stock index returns in UK and USA. The paper will also analyze the Chinese …

Persistent link: https://www.econbiz.de/10011520514

Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China

Chang, Chia-Lin; McAleer, Michael; Tian, Jiarong - 2016 - Revised: June, 2016

Persistent link: https://www.econbiz.de/10011541151