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The stochastic volatility on mean model : empirical evidence from international stock markets
Koopman, Siem Jan; Uspensky, Eugenie Hol - 2000
Persistent link: https://www.econbiz.de/10001472890
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Comparative analysis of litigation system : an auction-theoretic approach
Baye, Michael R.; Kovenock, Daniel J.; Vries, Casper G. de - 2000
Persistent link: https://www.econbiz.de/10001534826
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Interaction between supply and demand shocks in production and employment
Butter, Frank A. G. den; Koopman, Siem Jan - 1997
Persistent link: https://www.econbiz.de/10000961559
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A cointegration study of aggregate imports using likelihood based testing principles
Kleibergen, Frank; Urbain, Jean-Pierre; Dijk, Herman K. van - 1995
Persistent link: https://www.econbiz.de/10000916991
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Volatility clustering in stock returns at low frequencies
Jacobsen, Ben; Dannenburg, Dennis Ramon - 1995
Persistent link: https://www.econbiz.de/10000918266
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A non-linear model of the long-run real US, UK exchange rate
Creedy, John; Lye, Jenny; Martin, Vance L. - 1994
Persistent link: https://www.econbiz.de/10000151641
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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
, 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
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Nonlinear time series and neural-network models of exchange rates between the US Dollar and major currencies
Allen, David E.; McAleer, Michael; Peiris, Shelton; … - 2015
This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...
Persistent link: https://www.econbiz.de/10011378229
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Multivariate volatility impulse response analysis of GFC news events
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
This paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multivariate GARCH models using volatility impulse response analysis. The data set features ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index from the London...
Persistent link: https://www.econbiz.de/10011301206
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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