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Econometric analysis of financial derivatives: an overview

Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 403-407

Persistent link: https://www.econbiz.de/10011499624

Econometric analysis of financial derivatives : an overview

Chang, Chia-Lin; McAleer, Michael - 2014

One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special...

Persistent link: https://www.econbiz.de/10010465152

Econometric analysis of financial derivatives : an overview

Chang, Chia-Lin; McAleer, Michael - 2014

Persistent link: https://www.econbiz.de/10011296515

Econometric analysis of financial derivatives : an overview

Chang, Chia-Lin; McAleer, Michael - 2015

Persistent link: https://www.econbiz.de/10011346289

Tourism stocks in times of crisis : an econometric investigation of unexpected nonmacroeconomic factors

Zopiatis, Anastasios; Savva, Christos S.; Lambertides, … - In: Journal of travel research : a quarterly publication of … 58 (2019) 3, pp. 459-479

Persistent link: https://www.econbiz.de/10011983320

Confucius and Herding Behaviour in the Stock Markets in China and Taiwan

Batmunkh, Munkh-Ulzii - 2020

financial herding behaviour by examining index returns from the stock markets in China and Taiwan. The sample period is from 1 … Taiwan, both of which have Confucian cultures. The empirical results demonstrate significant herding behaviour under both … contributes to the herding literature by examining three different hypotheses regarding the stock markets in China and Taiwan, and …

Persistent link: https://www.econbiz.de/10012848763

Econometric analysis of financial derivatives

Chang, Chia-Lin (ed.); McAleer, Michael (ed.) - 2015

Persistent link: https://www.econbiz.de/10011499675

Do we need stochastic volatility and generalised autoregressive conditional heteroscedasticity? : Comparing squared end-of-day returns on ftse

Allen, David E.; McAleer, Michael - In: Risks : open access journal 8 (2020) 1/12, pp. 1-20

The paper examines the relative performance of Stochastic Volatility (SV) and Generalised Autoregressive Conditional Heteroscedasticity (GARCH) (1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we used the realized volatility (RV) of FTSE sampled at 5 min intervals taken...

Persistent link: https://www.econbiz.de/10012203997

Conditional correlations and volatility spillovers between crude oil and stock index returns

Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - In: The North American journal of economics and finance : a … 25 (2013), pp. 116-138

Persistent link: https://www.econbiz.de/10009777824

A Nonlinear Autoregressive Distributed Lag (NARDL) analysis of the FTSE and S&P500 indexes

Allen, David E.; McAleer, Michael - In: Risks : open access journal 9 (2021) 11, pp. 1-20

The paper features an examination of the link between the behaviour of the FTSE 100 and S&P500 Indexes in both an autoregressive distributed lag ARDL, plus a nonlinear autoregressive distributed lag NARDL framework. The attraction of NARDL is that it represents the simplest method available of...

Persistent link: https://www.econbiz.de/10012704014

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