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Portfolio management for insurers and pension funds and COVID19 : targeting volatility for equity, balanced and target-date funds with leverage constraints
Bao Doan; Reeves, Jonathan J.; Sherris, Michael - 2021
Persistent link: https://www.econbiz.de/10012585979
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Does the tail wag the dog? : evidence from fund flow to VIX ETFs and ETNs
Białkowski, Je̜drzej; Dang, Huong; Wei, Xiaopeng - 2017
Persistent link: https://www.econbiz.de/10011886575
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Equity market volatility and expected risk premium
Chen, Long (contributor); Guo, Hui (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003739618
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Long memory and FIGARCH models for daily and high frequency commodity prices
Baillie, Richard; Han, Young Wook; Myers, Robert J.; … - 2007
Persistent link: https://www.econbiz.de/10003740333
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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
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Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008669351
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Modelling and forecasting noisy realized volatility
Asai, Manuabu; McAleer, Michael; Medeiros, Marcelo C. - 2010
Persistent link: https://www.econbiz.de/10008669930
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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
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Risk management of precious metals
Hammoudeh, Shawkat; Malik, Farooq; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008689064
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Realized volatility risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - 2010
Persistent link: https://www.econbiz.de/10008689075