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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 - In: International review of economics & finance : IREF 59 (2019), pp. 50-70

Persistent link: https://www.econbiz.de/10012202481

Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51

The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...

Persistent link: https://www.econbiz.de/10012237439

Review papers for journal of risk and financial management (JRFM)

McAleer, Michael - In: Journal of risk and financial management : JRFM 13 (2020) 8/185, pp. 1-18

This paper evaluates an editorial and seven invaluable and interesting review papers for the Journal of Risk and Financial Management (JRFM). The topics covered include the rising complexity of bank regulatory capital requirements from global guidelines to their United States (US)...

Persistent link: https://www.econbiz.de/10012321338

Confucius and Herding Behaviour in the Stock Markets in China and Taiwan

Batmunkh, Munkh-Ulzii - 2020

financial herding behaviour by examining index returns from the stock markets in China and Taiwan. The sample period is from 1 … finishes in 2014, the data are more than sufficient to test the three hypotheses relating to the stock markets in China and … contributes to the herding literature by examining three different hypotheses regarding the stock markets in China and Taiwan, and …

Persistent link: https://www.econbiz.de/10012848763

The impact of China on stock returns and volatility in the Taiwan tourism industry

Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10010191310

The impact of China on stock return and volatility

Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10010354381

The impact of China on stock returns and volatility in the Taiwan tourism industry

Chang, Chia-Lin; Hsu, Hui-kuang; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10010188543

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

Persistent link: https://www.econbiz.de/10011432792

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

The energy sector is one of the most important in the world, so that time series fluctuations in leading energy sources have been analysed widely. As the leading energy commodities are traded on international stock exchanges, the analysis of the fluctuations in stock and financial derivatives...

Persistent link: https://www.econbiz.de/10011441584

GFC-Robust Risk Management Strategies under the Basel Accord

McAleer, Michael - 2010

A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility...

Persistent link: https://www.econbiz.de/10013137384