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Volatility spillover and multivariate volatility impulse response analysis of GFC news events

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2016

). The third shock is 9 May 2010. Our modelling includes leverage and asymmetric effects undertaken in the context of a …

Persistent link: https://www.econbiz.de/10011556166

Risk spillovers in returns for Chinese and international tourists to Taiwan

Chang, Chia-Lin; Hsu, Shu-Han; McAleer, Michael - 2018

, maintaining a firm grasp of the relationship between the changes in the numbers of Chinese tourists and international travellers … international visitors to Taiwan is important, existing research has discussed the issue of the travel demand between Chinese … rate of change in the numbers of Chinese tourist arrivals and the rate of change in the numbers of international traveller …

Persistent link: https://www.econbiz.de/10011813417

Risk Spillovers in Returns for Chinese and International Tourists to Taiwan

Chang, Chia-Lin - 2018

Persistent link: https://www.econbiz.de/10012923309

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

Modelling volatility spillovers for bio-ethanol, sugarcane and corn

Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016

The recent and rapidly growing interest in biofuel as a green energy source has raised concerns about its impact on the prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural commodities and biofuel helps commodity suppliers hedge...

Persistent link: https://www.econbiz.de/10011441704

Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2016

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positivedefiniteness of the...

Persistent link: https://www.econbiz.de/10011536626