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Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008669351
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Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10003987324
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Crude oil hedging strategies using dynamic multivariate GARCH
Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - In: Energy economics 33 (2011) 5, pp. 912-923
Persistent link: https://www.econbiz.de/10009382992
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Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
Tansuchat, Roengchai - 2010
The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to calculate optimal portfolio weights and optimal hedge ratios, and...
Persistent link: https://www.econbiz.de/10013149486
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A neural network demand system with heteroskedastic errors
McAleer, Michael; Medeiros, Marcelo C.; Slottje, Daniel … - In: Journal of econometrics 147 (2008) 2, pp. 359-371
Persistent link: https://www.econbiz.de/10003809381
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Spectrally-corrected estimation for high-dimensional Markowitz mean-variance optimization
Bai, Zhidong; Li, Hua; McAleer, Michael; Wong, Wing Keung - 2016
.We analyze the traditional Markowitz mean-variance (MV) portfolio by large dimension matrix theory, and find the spectral … findings are consistent with the theory developed in the paper. …
Persistent link: https://www.econbiz.de/10011456708
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Spectrally-corrected estimation for high-dimensional Markowitz mean-variance optimization
Bai, Zhidong; Li, Hua; McAleer, Michael; Wong, Wing Keung - 2016
Persistent link: https://www.econbiz.de/10011477196
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Review on efficiency and anomalies in stock markets
Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51
reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and …
Persistent link: https://www.econbiz.de/10012237439
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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 - In: The North American journal of economics and finance : a … 42 (2017), pp. 346-358
Persistent link: https://www.econbiz.de/10011938136
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A Portfolio Index GARCH model
Asai, Manabu; McAleer, Michael - In: International journal of forecasting 24 (2008) 3, pp. 449-461
Persistent link: https://www.econbiz.de/10003764112