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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 Australia's major trading partners across the GFC

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

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

How are VIX and stock index ETF related?

Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2016

Persistent link: https://www.econbiz.de/10011447222

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

Towards an East Asian monetary union : an econometrics analysis of shocks

Satō, Kiyotaka (contributor); Zhang, Zhaoyong (contributor) - 2005

Persistent link: https://www.econbiz.de/10003129624

Connecting VIX and stock index ETF with VAR and diagonal BEKK

Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-25

heteroskedasticity in the VAR estimates of ETF returns. Daily data on ETF returns that follow different stock indexes in the USA and …

Persistent link: https://www.econbiz.de/10011961446

Connecting VIX and stock index ETF with VAR and diagonal BEKK

Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2018 - Revised: September 2018

Persistent link: https://www.econbiz.de/10011920700

Connecting VIX and stock index ETF

Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2017 - Revised: January 2017

Persistent link: https://www.econbiz.de/10011823316