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Conditional correlations and volatility spillovers between crude oil and stock index returns

Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10008669344

Crude oil hedging strategies using dynamic multivariate GARCH

Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10008669351

Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets

Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - 2010

Persistent link: https://www.econbiz.de/10008669993

Modelling conditional correlations in the volatility of Asian rubber spot and futures returns

Chang, Chia-Lin; Khamkaew, Thanchanok; McAleer, Michael; … - 2010 - Rev.

Persistent link: https://www.econbiz.de/10008689063

Modelling long memory volatility in agricultural commodity futures returns

Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - 2012

Persistent link: https://www.econbiz.de/10009562958

Modelling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian disturbances

Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2021

Persistent link: https://www.econbiz.de/10012605022

Does money growth predict inflation? : evidence from vector autoregressions using four centuries of data

Edvinsson, Rodney; Karlsson, Sune; Österholm, Pär - 2023

estimation methods. Specifically, we employ VAR models with drifting parameters and stochastic volatility which are used to …

Persistent link: https://www.econbiz.de/10014233967

A note of caution on the relation between money growth and inflation

Berger, Helge; Karlsson, Sune; Österholm, Pär - 2023

We assess the bivariate relation between money growth and inflation in the euro area and the United States using hybrid time-varying parameter Bayesian VAR models. Model selection based on marginal likelihoods suggests that the relation is statistically unstable across time in both regions. The...

Persistent link: https://www.econbiz.de/10014252440

US interest rates : are relations stable?

Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024

estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury …

Persistent link: https://www.econbiz.de/10014490330