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Risk and financial management of COVID-19 in business, economics and finance

Chang, Chia-Lin; McAleer, Michael; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 5/102, pp. 1-5

The SARS-CoV-2 coronavirus that causes the COVID-19 disease led to the most significant change in the world order over … that have been discussed in tourism, global health security and risk management in business as well as the social and …

Persistent link: https://www.econbiz.de/10012304962

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

Conditional correlations and volatility spillovers between crude oil and stock index returns

Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10008669344

Alternative asymmetric stochastic volatility models

Asai, Manabu; McAleer, Michael - 2010

The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model, based on the leverage and size effects. The model is a...