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The rise and fall of S&P500 variance futures
Chang, Chia-Lin; Jimenez-Martin, Juan-Angel; McAleer, … - In: The North American journal of economics and finance : a … 25 (2013), pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
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A simple test for causality in volatility
Chang, Chia-Lin; McAleer, Michael - 2016
volatility) associated with financial returns, was the portmanteau statistic for non-causality in variance of Cheng and Ng (1996 … the paper is to derive a simple test for causality in volatility that provides regularity conditions arising from the …
Persistent link: https://www.econbiz.de/10011556246
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Recent developments in quantitative finance : an overview
Chang, Chia-Lin; Hu, Shing-yang; Yu, Shihti - In: Annals of financial economics 9 (2014) 2, pp. 1-7
Persistent link: https://www.econbiz.de/10010489125
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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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Asymptotic theory for rotated multivariate GARCH models
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; … - 2018
Persistent link: https://www.econbiz.de/10011920705
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Asymptotic and finite sample properties for multivariate rotated GARCH models
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; … - In: Econometrics : open access journal 9 (2021) 2, pp. 1-21
This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From the definition of RBEKK, the unconditional covariance matrix is estimated in the first step to rotate the observed variables in order to have the identity...
Persistent link: https://www.econbiz.de/10012547429
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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