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Volatility spillover and multivariate volatility impulse response analysis of GFC news events
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2016
). The third shock is 9 May 2010. Our modelling includes leverage and asymmetric effects undertaken in the context of a …
Persistent link: https://www.econbiz.de/10011556166
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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
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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
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Identifying shocks in regionally integrated East Asian economies with structural VAR and block exogeneity
Satō, Kiyotaka; Zhang, Zhaoyong; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008688576
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Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets
Hammoudeh, Shawkat M.; Yuan, Yuan; McAleer, Michael - In: The quarterly review of economics and finance : journal … 49 (2009) 3, pp. 829-842
Persistent link: https://www.econbiz.de/10003873635
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Identifying shocks in regionally integrated East Asian economies wih structural VaR and block exogeneity
Satō, Kiyotaka; Zhang, Zhaoyong; McAleer, Michael - 2009
Persistent link: https://www.econbiz.de/10003987291
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Identifying shocks in regionally integrated East Asian economies with structural VAR and block exogeneity
Satō, Kiyotaka; Zhang, Zhaoyong; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10003987321
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Towards an East Asian monetary union : an econometrics analysis of shocks
Satō, Kiyotaka (contributor); Zhang, Zhaoyong (contributor) - 2005
Persistent link: https://www.econbiz.de/10003129624
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Shock and volatility spillovers among equity sectors of the gulf Arab stock markets
Hammoudeh, Shawkat M. (contributor); Yuan, Yuan (contributor) - 2008
Persistent link: https://www.econbiz.de/10003780792
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How are VIX and stock index ETF related?
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2016 - Revised: February 2016
As stock market indexes are not tradeable, the importance and trading volume of Exchange Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index...
Persistent link: https://www.econbiz.de/10011441620