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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

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

Persistent link: https://www.econbiz.de/10011500276

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

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

Persistent link: https://www.econbiz.de/10011500282

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

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

. For the USA, daily spot and futures prices are available for crude oil and coal, but there are no daily spot or futures …

Persistent link: https://www.econbiz.de/10011658757

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

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

Volatility spillovers from Australia's major trading partners across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2014

This paper features an analysis of volatility spillover effects from Australia's major trading partners, namely, China, Japan, Korea and the United States, for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global Financial Crisis (GFC). These...

Persistent link: https://www.econbiz.de/10010391535

Volatility spillovers from Australia's major trading partners across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2014

Persistent link: https://www.econbiz.de/10010410189