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How are VIX and stock index ETF related?
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2016 - Revised: February 2016
relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the …. Daily data on ETF returns that follow different stock indexes in the USA and Europe are used in the empirical analysis. The …
Persistent link: https://www.econbiz.de/10011441620
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Connecting VIX and stock index ETF
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2017 - Revised: January 2017
Persistent link: https://www.econbiz.de/10011823316
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Connecting VIX and stock index ETF with VAR and diagonal BEKK
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2018 - Revised: September 2018
Persistent link: https://www.econbiz.de/10011920700
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Connecting VIX and stock index ETF with VAR and diagonal BEKK
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-25
relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the … Europe are used in the empirical analysis, which is presented for the full data set, as well as for the three sub …
Persistent link: https://www.econbiz.de/10011961446
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How are VIX and stock index ETF related?
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2016
Persistent link: https://www.econbiz.de/10011447222
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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
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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
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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
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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
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Volatility spillovers between energy and agricultural markets : a critical appraisal of theory and practice
Chang, Chia-Lin; Li, Yiying; McAleer, Michael - 2015
Persistent link: https://www.econbiz.de/10011432558