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Risk modelling and management : an overview

Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013

Persistent link: https://www.econbiz.de/10009767001

Inter- and intra-regional analysis on spillover effects across international stock markets

Lau, Chi Keung; Sheng, Xin - In: Research in international business and finance 46 (2018), pp. 420-429

Persistent link: https://www.econbiz.de/10011983692

Intra- and inter-regional return and volatility spillovers across emerging and developed markets : evidence from stock indices and stock index futures

Yarovaya, Larisa; Brzeszczyński, Janusz; Lau, Chi Keung - In: International review of financial analysis 43 (2016), pp. 96-114

Persistent link: https://www.econbiz.de/10011623719

Volatility spillover and multivariate volatility impulse response analysis of GFC news events

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2016

This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken...

Persistent link: https://www.econbiz.de/10011556166

Commodity markets volatility transmission : roles of risk perceptions and uncertainty in financial markets

Gozgor, Giray; Lau, Chi Keung; Bilgin, Mehmet Huseyin - In: Journal of international financial markets, … 44 (2016), pp. 35-45

Persistent link: https://www.econbiz.de/10011690371

Volatility spillover and multivariate volatility impulse response analysis of GFC news events

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Applied economics 49 (2017) 31/33, pp. 3246-3262

Persistent link: https://www.econbiz.de/10011774739

Volatility spillovers from Australia's major trading partners across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: International review of economics & finance : IREF 47 (2017), pp. 159-175

Persistent link: https://www.econbiz.de/10011740133

Volatility spillover and multivariate volatility impulse response analysis of GFC news events

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2016

Persistent link: https://www.econbiz.de/10011823323

Return spillovers between white precious metal ETFs : the role of oil, gold, and global equity

Lau, Chi Keung; Vigne, Samuel A.; Wang, Shixuan; … - In: International review of financial analysis 52 (2017), pp. 316-332

Persistent link: https://www.econbiz.de/10011868764

Asymmetry in spillover effects : evidence for international stock index futures markets

Yarovaya, Larisa; Brzeszczyński, Janusz; Lau, Chi Keung - In: International review of financial analysis 53 (2017), pp. 94-111

Persistent link: https://www.econbiz.de/10011877850