Similar Search Results

Evaluating the efficiency of Vietnam banks using data envelopment analysis

Do Thi Thanh Nhan; Pho, Kim-Hung; Anh, Dang Thi Van; … - In: Annals of financial economics 16 (2021) 2, pp. 1-17

Persistent link: https://www.econbiz.de/10012657666

The Dynamics of Energy-Grain Prices with Open Interest

Hammoudeh, Shawkat; Sarafrazi, Soodabeh; Chang, Chia-Lin; … - Department of Economics and Finance, College of … - 2011

corn, crude oil, ethanol, gasoline, soybeans, and sugar, and their open interest. The empirical results demonstrate the …

Persistent link: https://www.econbiz.de/10009643472

The Dynamics of Energy-Grain Prices with Open Interest

Hammoudeh, Shawkat; Sarafrazi, Soodabeh; Chang, Chia-Lin; … - Institute of Economic Research, Kyoto University - 2011

corn, crude oil, ethanol, gasoline, soybeans, and sugar, and their open interest. The empirical results demonstrate the …

Persistent link: https://www.econbiz.de/10009131099

The Dynamics of Energy-Grain Prices with Open Interest

Chang, Chia-Lin; McAleer, Michael; Hammoudeh, Shawkat; … - Facultad de Ciencias Económicas y Empresariales, … - 2011

corn, crude oil, ethanol, gasoline, soybeans, and sugar, and their open interest. The empirical results demonstrate the …

Persistent link: https://www.econbiz.de/10009141348

Modelling volatility spillovers for bio-ethanol, sugarcane and corn

Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016

The recent and rapidly growing interest in biofuel as a green energy source has raised concerns about its impact on the prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural commodities and biofuel helps commodity suppliers hedge...

Persistent link: https://www.econbiz.de/10011441704

What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the full BEKK dynamic conditional covariance model

McAleer, Michael - In: Journal of risk and financial management : JRFM 12 (2019) 2/66, pp. 1-7

Persistently high negative covariances between risky assets and hedging instruments are intended to mitigate against … risk and subsequent financial losses. In the event of having more than one hedging instrument, multivariate covariances …

Persistent link: https://www.econbiz.de/10012022157

What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the Dynamic Conditional Correlation (DCC) model

McAleer, Michael - In: Journal of risk and financial management : JRFM 12 (2019) 2/61, pp. 1-9

assets and the hedging instruments are intended to mitigate against financial risk and subsequent losses. If there is more … than one hedging instrument, multivariate covariances and correlations have to be calculated. As optimal hedge ratios are …

Persistent link: https://www.econbiz.de/10012022209

Herding, Information Cascades and Volatility Spillovers in Futures Markets

McAleer, Michael; Radalj, Kim - 2013

Economists and financial analysts have begun to recognise the importance of the actions of other agents in the decision-making process. Herding is the deliberate mimicking of the decisions of other agents. Examples of mimicry range from the choice of restaurant, fashion and financial market...

Persistent link: https://www.econbiz.de/10010326188

Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn

Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016

Persistent link: https://www.econbiz.de/10011451531

What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the full BEKK dynamic conditional covariance model

McAleer, Michael - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-7

Persistent link: https://www.econbiz.de/10012611132