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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
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 important issue regarding the predictability of returns is assessed. It …
Persistent link: https://www.econbiz.de/10011906234
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Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
Tansuchat, Roengchai - 2010
The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to calculate optimal portfolio weights and optimal hedge ratios, and...
Persistent link: https://www.econbiz.de/10013149486
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Modeling Conditional Correlations for Risk Diversification in Crude Oil Markets
Chang, Chia-Lin - 2009
aid in risk diversification. Conditional correlations are estimated using the CCC model of Bollerslev (1990), VARMA …
Persistent link: https://www.econbiz.de/10013159992
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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
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Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
Hammoudeh, Shawkat; Chang, Chia-Lin; McAleer, Michael; … - Faculteit der Economische Wetenschappen, Erasmus … - 2011
This paper examines risk transmission and migration among six US measures of credit and market risk during the full … price. There are more long-run equilibrium risk relationships and short-run causal relationships among the four oil … long run and also leads in the risk discovery process in the short run. On the other hand, the CDS spread of the highly …
Persistent link: https://www.econbiz.de/10010734035
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Risk spillovers in oil-related CDS, stock and credit markets
Hammoudeh, Shawkat; Liu, Tengdong; Chang, Chia-Lin; … - In: Energy Economics 36 (2013) C, pp. 526-535
This paper examines risk transmission and migration among six US measures of credit and market risk during the full … price. There are more long-run equilibrium risk relationships and short-run causal relationships among the four oil … long run and also leads in the risk discovery process in the short run. On the other hand, the CDS spread of the highly …
Persistent link: https://www.econbiz.de/10011039588
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Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
Hammoudeh, Shawkat; Liu, Tengdong; Chang, Chia-Lin; … - Department of Economics and Finance, College of … - 2011
This paper examines risk transmission and migration among six US measures of credit and market risk during the full … price. There are more long-run equilibrium risk relationships and short-run causal relationships among the four oil … long run and also leads in the risk discovery process in the short run. On the other hand, the CDS spread of the highly …
Persistent link: https://www.econbiz.de/10009002352
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Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
Hammoudeh, Shawkat; Liu, Tengdong; Chang, Chia-Lin; … - Institute of Economic Research, Kyoto University - 2011
This paper examines risk transmission and migration among six US measures of credit and market risk during the full … price. There are more long-run equilibrium risk relationships and short-run causal relationships among the four oil … long run and also leads in the risk discovery process in the short run. On the other hand, the CDS spread of the highly …
Persistent link: https://www.econbiz.de/10009002679
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Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
Chang, Chia-Lin; McAleer, Michael; Hammoudeh, Shawkat; … - Facultad de Ciencias Económicas y Empresariales, … - 2011
This paper examines risk transmission and migration among six US measures of credit and market risk during the full … price. There are more long-run equilibrium risk relationships and short-run causal relationships among the four oil … long run and also leads in the risk discovery process in the short run. On the other hand, the CDS spread of the highly …
Persistent link: https://www.econbiz.de/10009143386
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Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013
papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The … papers cover the following topics: currency hedging strategies using dynamic multivariate GARCH, risk management of risk … under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes …
Persistent link: https://www.econbiz.de/10010326135