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Are the S&P 500 index and crude oil, natural gas and Ethanol futures related for intra-day data?
Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - 2016 - Revised: February 2016
intra-day temporal aggregation in examining returns relationships and volatility spillovers across the equity and energy … futures markets, and the effects of overnight returns, volume, realized volatility, asymmetry, and spillovers across the four … spillovers, and dynamic conditional correlations and covariances, show that the relationships between the stock market and …
Persistent link: https://www.econbiz.de/10011441584
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Testing for a common volatility process and information spillovers in bivariate financial time series models
Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2016 - Revised: February 2016
The paper considers the problem as to whether financial returns have a common volatility process in the framework of stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH test proposed by Engle and Susmel (1993), who...
Persistent link: https://www.econbiz.de/10011441709
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Herding, Information Cascades and Volatility Spillovers in Futures Markets
McAleer, Michael; Radalj, Kim - Tinbergen Instituut - 2013
to analyse if volatility among small traders spills over into spot markets, it is found that spillovers occur only with …
Persistent link: https://www.econbiz.de/10011256404
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Herding, Information Cascades and Volatility Spillovers in Futures Markets
McAleer, Michael; Radalj, Radalj, K. - Faculteit der Economische Wetenschappen, Erasmus … - 2013
spillovers occur only with Nikkei 225 futures. The policy implications of the findings are also discussed. …
Persistent link: https://www.econbiz.de/10010731573
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Risk Management and Financial Derivatives: An Overview
Hammoudeh, Shawkat; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2012
correlations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform …
Persistent link: https://www.econbiz.de/10010731768
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Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations
Hoti, Suhejla; McAleer, Michael; Chan, Felix - In: Mathematics and Computers in Simulation (MATCOM) 69 (2005) 1, pp. 46-56
Atmospheric carbon dioxide concentrations (ACDC) are critical to the global temperature control system and climate change, with ACDC levels having increased rapidly since the start of the industrial revolution in the late 1700s, and the climate having become quite unstable with significant...
Persistent link: https://www.econbiz.de/10010870018
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Multivariate volatility in environmental finance
Hoti, Suhejla; McAleer, Michael; Pauwels, Laurent L. - In: Mathematics and Computers in Simulation (MATCOM) 78 (2008) 2, pp. 189-199
of risk spillovers across these four indexes as a mean to assess the impact of the different screening criteria. Finally …
Persistent link: https://www.econbiz.de/10010749814
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Risk Management and Financial Derivatives:An Overview
McAleer, Michael; Hammoudeh, Shawkat - Institute of Economic Research, Kyoto University - 2012
correlations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform …
Persistent link: https://www.econbiz.de/10010543596
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Risk Management and Financial Derivatives: An Overview
Hammoudeh, Shawkat; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2012
correlations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform …
Persistent link: https://www.econbiz.de/10010778693
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A Tourism Conditions Index
Chang, Chia-Lin; McAleer, Michael; Hsu, Hui-Kuang - Facultad de Ciencias Económicas y Empresariales, … - 2014
Index (MCI). The empirical findings show that TCI weighted by spillovers reveal greater significance in forecasting the …
Persistent link: https://www.econbiz.de/10010778702