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Pricing options by simulation using realized volatility
Allen, David E.; McAleer, Michael; Scharth, Marcel - 2009
Persistent link: https://www.econbiz.de/10003869596
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Risk management and financial derivatives : an overview
Hammoudeh, Shawkat; McAleer, Michael - In: The North American journal of economics and finance : a … 25 (2013), pp. 109-115
Persistent link: https://www.econbiz.de/10009777841
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The rise and fall of S&P500 variance futures
Chang, Chia-Lin; Jimenez-Martin, Juan-Angel; McAleer, … - In: The North American journal of economics and finance : a … 25 (2013), pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
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Efficient estimation and testing of alternative models of currency futures contracts
Sequeira, John M.; McAleer, Michael; Chow, Ying-Foon - In: The economic record : er 77 (2001), pp. 270-282
Persistent link: https://www.econbiz.de/10001752337
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Pricing of forward and futures contracts
Chow, Ying-foon; McAleer, Michael; Sequeira, John M. - In: Journal of economic surveys 14 (2000) 2, pp. 215-253
Persistent link: https://www.econbiz.de/10001466688
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Modelling volatility spillovers for bio-ethanol, sugarcane and corn
Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016
prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …
Persistent link: https://www.econbiz.de/10011441704
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The fundamental equation in tourism finance
McAleer, Michael - In: Journal of risk and financial management : JRFM 8 (2015) 4, pp. 369-374
The purpose of the paper is to present the fundamental equation in tourism finance that connects tourism research to empirical finance and financial econometrics. The energy industry, which includes, oil, gas and bio-energy fuels, together with the tourism industry, are two of the most important...
Persistent link: https://www.econbiz.de/10011545065
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The fundamental equation in tourism finance
McAleer, Michael - 2015
The purpose of the paper is to present the fundamental equation in tourism finance that connects tourism research to empirical finance and financial econometrics. The energy industry, which includes, oil, gas and bio-energy fuels, together with the tourism industry, are two of the most important...
Persistent link: https://www.econbiz.de/10011391546
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Forecasting the volatility of Nikkei 225 futures
Asai, Manabu; McAleer, Michael - 2017 - Revised: January 2017
For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers … the stochastic volatility model with asymmetry and long memory, using high frequency data for the underlying asset …
Persistent link: https://www.econbiz.de/10011590424
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Pricing carbon emissions in China
Chang, Chia-Lin; Mai, Te-Ke; McAleer, Michael - In: Annals of financial economics 13 (2018) 2, pp. 1-37
Persistent link: https://www.econbiz.de/10011958479