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Multivariate volatility impulse response analysis of GFC news events

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015

Persistent link: https://www.econbiz.de/10011432589

Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies

Allen, David E.; McAleer, Michael; Shelton, Peiris; … - 2015

Persistent link: https://www.econbiz.de/10011432736

A cointegration analysis of agricultural, energy and bio-fuel spot and futures prices

Allen, David E.; Chang, Chia-Lin; McAleer, Michael; … - 2016

This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing crude oil spot and futures prices. The use of grains for the creation of bio-fuels has sparked fears that these demands are inflating food prices. We analyse approximately 10...

Persistent link: https://www.econbiz.de/10011479769

Semiparametric autoregressive conditional duration model : theory and practice

Saart, Patrick W.; Gao, Jiti; Allen, David E. - In: Econometric reviews 34 (2015) 6/10, pp. 849-881

Persistent link: https://www.econbiz.de/10011483396

A cointegration analysis of agricultural, energy and bio-fuel spot and futures prices

Allen, David E.; Chang, Chia-Lin; McAleer, Michael; … - 2016

Persistent link: https://www.econbiz.de/10011500264

An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series

Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - 2016

Persistent link: https://www.econbiz.de/10011477211

A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 6-30

This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily return series and a similar...

Persistent link: https://www.econbiz.de/10011555743

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 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

An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series

Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - In: Applied economics 49 (2017) 7, pp. 677-692

Persistent link: https://www.econbiz.de/10011810876