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Risk-averse and risk-seeking investor preferences for oil spot and futures
Hooi Hooi Lean; McAleer, Michael; Wong, Wing Keung - 2013
Persistent link: https://www.econbiz.de/10010191274
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Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
Hammoudeh, Shawkat; Chang, Chia-Lin; McAleer, Michael; … - Faculteit der Economische Wetenschappen, Erasmus … - 2011
This paper examines risk transmission and migration among six US measures of credit and market risk during the full … price. There are more long-run equilibrium risk relationships and short-run causal relationships among the four oil … long run and also leads in the risk discovery process in the short run. On the other hand, the CDS spread of the highly …
Persistent link: https://www.econbiz.de/10010734035
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Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
Hammoudeh, Shawkat; Liu, Tengdong; Chang, Chia-Lin; … - Department of Economics and Finance, College of … - 2011
This paper examines risk transmission and migration among six US measures of credit and market risk during the full … price. There are more long-run equilibrium risk relationships and short-run causal relationships among the four oil … long run and also leads in the risk discovery process in the short run. On the other hand, the CDS spread of the highly …
Persistent link: https://www.econbiz.de/10009002352
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Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
Hammoudeh, Shawkat; Liu, Tengdong; Chang, Chia-Lin; … - Institute of Economic Research, Kyoto University - 2011
This paper examines risk transmission and migration among six US measures of credit and market risk during the full … price. There are more long-run equilibrium risk relationships and short-run causal relationships among the four oil … long run and also leads in the risk discovery process in the short run. On the other hand, the CDS spread of the highly …
Persistent link: https://www.econbiz.de/10009002679
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Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
Chang, Chia-Lin; McAleer, Michael; Hammoudeh, Shawkat; … - Facultad de Ciencias Económicas y Empresariales, … - 2011
This paper examines risk transmission and migration among six US measures of credit and market risk during the full … price. There are more long-run equilibrium risk relationships and short-run causal relationships among the four oil … long run and also leads in the risk discovery process in the short run. On the other hand, the CDS spread of the highly …
Persistent link: https://www.econbiz.de/10009143386
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Risk spillovers in oil-related CDS, stock and credit markets
Hammoudeh, Shawkat; Liu, Tengdong; Chang, Chia-Lin; … - In: Energy Economics 36 (2013) C, pp. 526-535
This paper examines risk transmission and migration among six US measures of credit and market risk during the full … price. There are more long-run equilibrium risk relationships and short-run causal relationships among the four oil … long run and also leads in the risk discovery process in the short run. On the other hand, the CDS spread of the highly …
Persistent link: https://www.econbiz.de/10011039588
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Measuring the volatility in US treasury benchmarks and debt instruments
Hoti, Suhejla; Maasoumi, Esfandiar; McAleer, Michael; … - In: Econometric reviews 28 (2009) 6, pp. 522-554
Persistent link: https://www.econbiz.de/10003881186
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Market integration dynamics and asymptotic price convergence in distribution
García-Hiernaux, Alfredo; Guerrero, David E.; McAleer, … - 2015
Persistent link: https://www.econbiz.de/10011432674
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Market integration dynamics and asymptotic price convergence in distribution
García-Hiernaux, Alfredo; Guerrero, David E.; McAleer, … - 2013
Persistent link: https://www.econbiz.de/10010191280
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Cointegrated dynamics for a generalized long memory process : application to interest rates
Asai, Manabu; Peiris, Shelton; McAleer, Michael; Allen, … - In: Journal of time series econometrics 12 (2020) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10012258310