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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
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Daily market news sentiment and stock prices
Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - 2015
Persistent link: https://www.econbiz.de/10011432600
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Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China
Chang, Chia-Lin; McAleer, Michael; Tian, Jiarong - 2016 - Revised: June, 2016
Persistent link: https://www.econbiz.de/10011541151
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An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors
Chang, Chia-Lin; McAleer, Michael; Wang, Chien-Hsun - 2016 - Revised: June, 2016
Persistent link: https://www.econbiz.de/10011500282
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An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors
Chang, Chia-ling; McAleer, Michael; Wang, Chien-Hsun - 2016 - Revised: June, 2016
It is well known that that there is an intrinsic link between the financial and energy sectors, which can be analyzed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other's subsequent volatility in both spot and futures markets....
Persistent link: https://www.econbiz.de/10011520509
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Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China
Chang, Chia-Lin; McAleer, Michael; Tian, Jiarong - 2016 - Revised: June, 2016
, namely North Sea, USA, Middle East, and South-East Asia. Associated with these regions are two major financial centers …, namely UK and USA. For these reasons, the data to be used are the returns on alternative crude oil markets, returns on crude … oil derivatives, specifically futures, and stock index returns in UK and USA. The paper will also analyze the Chinese …
Persistent link: https://www.econbiz.de/10011520514
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Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2017 - Revised: April 2017
The paper develops a novel realized stochastic volatility model of asset returns and realized volatility that incorporates general asymmetry and long memory (hereafter the RSV-GALM model). The contribution of the paper ties in with Robert Basmann's seminal work in terms of the estimation of...
Persistent link: https://www.econbiz.de/10011636455
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Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA
Chang, Chia-Lin; McAleer, Michael; Zuo, Guangdong - 2017 - Revised: May 2017
. For the USA, daily spot and futures prices are available for crude oil and coal, but there are no daily spot or futures …
Persistent link: https://www.econbiz.de/10011658757
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Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2017 - Revised: April 2017
Persistent link: https://www.econbiz.de/10011659228
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Daily market news sentiment and stock prices
Allen, David E.; McAleer, Michael; Singh, Abhay K - 2015
In recent years there has been a tremendous growth in the influx of news related to traded assets in international financial markets. This financial news is now available via print media but also through real-time online sources such as internet news and social media sources. The increase in the...
Persistent link: https://www.econbiz.de/10011301201