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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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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, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co …
Persistent link: https://www.econbiz.de/10011520514
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The impact of jumps and leverage in forecasting the co-volatility of oil and gold futures
Asai, Manabu; Gupta, Rangan; McAleer, Michael - 2019
Persistent link: https://www.econbiz.de/10011986953
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Modelling dynamic conditional correlations in WTI oil forward and futures returns
Lanza, Alessandro; Manera, Matteo; McAleer, Michael - 2004
This paper estimates the dynamic conditional correlations in the returns on WTI oil one-month forward prices, and one-, three-, six-, and twelve-month futures prices, using recently developed multivariate conditional volatility models. The dynamic correlations enable a determination of whether...
Persistent link: https://www.econbiz.de/10011602832
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Modelling dynamic conditional correlations in WTI oil forward and futures returns
Lanza, Alessandro; Manera, Matteo; McAleer, Michael - 2004
Persistent link: https://www.econbiz.de/10002127352
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Modeling dynamic conditional correlations in WTI oil forward and futures returns
Lanza, Alessandro; Manera, Matteo; McAleer, Michael - In: Finance research letters 3 (2006) 2, pp. 114-132
Persistent link: https://www.econbiz.de/10003333927
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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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A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises
Guo, Xu; McAleer, Michael; Wong, Wing Keung; Zhu, Lixing - 2016
Persistent link: https://www.econbiz.de/10011432790
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A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises
Guo, Xu; McAleer, Michael; Wong, Wing Keung; Zhu, Lixing - 2016
subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to … incorporate the impact of financial crises. We further assume the earning shock follows an exponential family distribution to take … expected earnings shock and its volatility, and establish properties of investor behavior on the stock price and its volatility …
Persistent link: https://www.econbiz.de/10011441491
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Modelling the relationship between crude oil and agricultural commodity prices
Duc Hong Vo; Tan Ngoc Vu; Anh The Vo; McAleer, Michael - 2018
Persistent link: https://www.econbiz.de/10011987133