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Conditional correlations and volatility spillovers between crude oil and stock index returns
Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - In: The North American journal of economics and finance : a … 25 (2013), pp. 116-138
Persistent link: https://www.econbiz.de/10009777824
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Stationarity and invertibility of a dynamic correlation matrix
McAleer, Michael - 2017 - Revised: September 2017
One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC … conditional covariance model of the returns shocks rather than a dynamic conditional correlation model; (ii) provides the … correlation model; and (iii) shows that the appropriate ARCH or GARCH model for DCC is based on the standardized shocks rather …
Persistent link: https://www.econbiz.de/10011715983
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Modelling dynamic conditional correlations in WTI oil forward and futures returns
Lanza, Alessandro; Manera, Matteo; McAleer, Michael - 2004
estimate of constant conditional correlation being 0.975 between the volatilities of the three-month and six-month futures …
Persistent link: https://www.econbiz.de/10011602832
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Modelling dynamic conditional correlations in WTI oil forward and futures returns
Lanza, Alessandro; Manera, Matteo; McAleer, Michael - 2004
Persistent link: https://www.econbiz.de/10002127352
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VaR forecasts and dynamic conditional correlations for spot and futures returns on stocks and bonds
Hakim, Abdul; McAleer, Michael - 2009
Persistent link: https://www.econbiz.de/10003908707
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Modeling dynamic conditional correlations in WTI oil forward and futures returns
Lanza, Alessandro; Manera, Matteo; McAleer, Michael - In: Finance research letters 3 (2006) 2, pp. 114-132
Persistent link: https://www.econbiz.de/10003333927
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Stationarity and invertibility of a dynamic correlation matrix
McAleer, Michael - 2017 - Revised: September 2017
Persistent link: https://www.econbiz.de/10011734899
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Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares
Da Veiga, Bernardo; Chan, Felix; McAleer, Michael - In: Pacific-Basin finance journal 16 (2008) 4, pp. 453-475
Persistent link: https://www.econbiz.de/10003757401
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On the invertibility of EGARCH(p, q)
Martinet, Guillaume Gaetan; McAleer, Michael - In: Econometric reviews 37 (2018) 6/10, pp. 824-849
Persistent link: https://www.econbiz.de/10012040413
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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
The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, including GARCH, EGARCH, and GJR models, are used to...
Persistent link: https://www.econbiz.de/10011555888