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The fundamental equation in tourism finance

McAleer, Michael - 2015

The purpose of the paper is to present the fundamental equation in tourism finance that connects tourism research to empirical finance and financial econometrics. The energy industry, which includes, oil, gas and bio-energy fuels, together with the tourism industry, are two of the most important...

Persistent link: https://www.econbiz.de/10011391546

Modelling volatility spillovers for bio-ethanol, sugarcane and corn

Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016

prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …

Persistent link: https://www.econbiz.de/10011441704

The fundamental equation in tourism finance

McAleer, Michael - In: Journal of risk and financial management : JRFM 8 (2015) 4, pp. 369-374

Persistent link: https://www.econbiz.de/10011545065

Forecasting the volatility of Nikkei 225 futures

Asai, Manabu; McAleer, Michael - 2017 - Revised: January 2017

For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers … the stochastic volatility model with asymmetry and long memory, using high frequency data for the underlying asset …

Persistent link: https://www.econbiz.de/10011590424

Long run returns predictability and volatility with moving averages

Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18

This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...

Persistent link: https://www.econbiz.de/10011906234

Pricing carbon emissions in China

Chang, Chia-Lin; Mai, Te-Ke; McAleer, Michael - In: Annals of financial economics 13 (2018) 2, pp. 1-37

Persistent link: https://www.econbiz.de/10011958479

Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis

McAleer, Michael; Suen, John; Wong, Wing Keung - 2013

This paper explores the characteristics associated with the formation of bubbles that occurred in the Hong Kong stock market in 1997 and 2007, as well as the 2000 dot-com bubble of Nasdaq. It examines the profitability of Technical Analysis (TA) strategies generating buy and sell signals with...

Persistent link: https://www.econbiz.de/10010326340

Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility

Chen, Ping-Yu; Chang, Chia-Lin; Chen, Chi-Chung; … - 2013

mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models … price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in …

Persistent link: https://www.econbiz.de/10010326493

Realized volatility uncertainty

Allen, David E. (contributor); McAleer, Michael (contributor) - 2008

Persistent link: https://www.econbiz.de/10003760022

A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries

McAleer, Michael; Medeiros, Marcelo C. - In: Journal of econometrics 147 (2008) 1, pp. 104-119

Persistent link: https://www.econbiz.de/10003783790

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