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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 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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The Journal of Risk and Financial Management in open access
McAleer, Michael - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 1-3
Persistent link: https://www.econbiz.de/10011553413
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Editorial note : review papers for Journal of Risk and Financial Management (JRFM)
McAleer, Michael - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-2
The Journal of Risk and Financial Management (JRFM) was inaugurated in 2008 and has continued publishing successfully with Volume 11 in 2018. Since the journal was established, JRFM has published in excess of 110 topical and interesting theoretical and empirical papers in financial economics,...
Persistent link: https://www.econbiz.de/10011855244
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What happened to risk management during the 2008 - 09 financial crisis?
McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - 2009
Persistent link: https://www.econbiz.de/10003877129
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The Ten Commandments for managing value at risk under the Basel II accord
Jiménez-Martín, Juan-Ángel; McAleer, Michael; Pérez … - In: Issues in finance : credit, crises and policies, (pp. 59-64). 2010
Persistent link: https://www.econbiz.de/10009010317
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Simple market timing with moving averages
Ilomäki, Jukka; Laurila, Hannu; McAleer, Michael - 2018
Consider using the simple moving average (MA) rule of Gartley (1935) to determine when to buy stocks, and when to sell them and switch to the risk-free rate. In comparison, how might the performance be affected if the frequency is changed to the use of MA calculations? The empirical results show...
Persistent link: https://www.econbiz.de/10011848115
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Simple market timing with moving averages
Ilomäki, Jukka; Laurila, Hannu; McAleer, Michael - 2018
Persistent link: https://www.econbiz.de/10011863543
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Market timing with moving averages
Ilomäki, Jukka; Laurila, Hannu; McAleer, Michael - 2018 - Revised: June 2018
Persistent link: https://www.econbiz.de/10011915058
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Simple Market Timing with Moving Averages
Ilomäki, Jukka - 2018
Consider using the simple moving average (MA) rule of Gartley (1935) to determine when to buy stocks, and when to sell them and switch to the risk-free rate. In comparison, how might the performance be affected if the frequency is changed to the use of MA calculations? The empirical results show...
Persistent link: https://www.econbiz.de/10012918978