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Modelling the effects of oil prices on global fertilizer prices and volatility
Chen, Ping-yu; Chang, Chia-lin; Chen, Chi-chung; … - In: Journal of Risk and Financial Management 5 (2012) 1, pp. 78-114
, including GARCH, EGARCH, and GJR models, are used to investigate the relationship between crude oil price and six global …
Persistent link: https://www.econbiz.de/10011843234
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Modelling the effects of oil prices on global fertilizer prices and volatility
Chen, Ping-yu; Chang, Chia-ling; Chen, Chi-chung; … - In: Journal of risk and financial management : JRFM 5 (2012) 1, pp. 78-114
, including GARCH, EGARCH, and GJR models, are used to investigate the relationship between crude oil price and six global …
Persistent link: https://www.econbiz.de/10011555888
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Risk measures with applications in finance and economics
McAleer, Michael (ed.); Wong, Wing Keung (ed.) - 2019
Risk measures play a vital role in many subfields of economics and finance. It has been proposed that risk measures could be analysed in relation to the performance of variables extracted from empirical real-world data. For example, risk measures may help inform effective monetary and fiscal...
Persistent link: https://www.econbiz.de/10012058776
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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2011
Tourism is a major source of service receipts for many countries, including Taiwan. The two leading tourism countries for Taiwan are Japan and USA, which are sources of short and long haul tourism, respectively. As a strong domestic currency can have adverse effects on international tourist...
Persistent link: https://www.econbiz.de/10009141353
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How Volatile is ENSO?
McAleer, Michael; Chu, LanFen; Chen, Chi-Chung - Facultad de Ciencias Económicas y Empresariales, … - 2011
results show that both the ARMA(1,1)-GARCH(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility …
Persistent link: https://www.econbiz.de/10009141355
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How Volatile is ENSO?
Chu, LanFen; McAleer, Michael; Chen, Chi-Chung - Institute of Economic Research, Kyoto University - 2010
results show that both the ARMA(1,1)-GARCH(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility …
Persistent link: https://www.econbiz.de/10008677573
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Dynamic Conditional Correlations for Asymmetric Processes
Asai, Manabu; McAleer, Michael - Department of Economics and Finance, College of … - 2010
-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to … estimating and forecasting the WDCC-EGARCH and WDCC-GJR models, and compares the performance with the asymmetric BEKK model. The … empirical results show that AIC and BIC favour the WDCC-EGARCH model to the WDCC-GJR and asymmetric BEKK models. Moreover, the …
Persistent link: https://www.econbiz.de/10008764018
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Dynamic Conditional Correlations for Asymmetric Processes
Asai, Manabu; McAleer, Michael - Institute of Economic Research, Kyoto University - 2010
-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to … estimating and forecasting the WDCC-EGARCH and WDCC-GJR models, and compares the performance with the asymmetric BEKK model. The … empirical results show that AIC and BIC favour the WDCC-EGARCH model to the WDCC-GJR and asymmetric BEKK models. Moreover, the …
Persistent link: https://www.econbiz.de/10008764127
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Dynamic Conditional Correlations for Asymmetric Processes
Asai, Manabu; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2011
applies the wDCC approach to the exponential GARCH (EGARCH) and GJR models to propose asymmetric DCC models. We use the … trivariate data of the Nikkei 225, Hang Seng and Straits Times Indices for estimating and forecasting the wDCC-EGARCH and wDCC … wDCC-EGARCH model to the wDCC-GJR, asymmetric BEKK and alternative conventional DCC models. Moreover, the empirical results …
Persistent link: https://www.econbiz.de/10009291890
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Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009
the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …
Persistent link: https://www.econbiz.de/10010732596