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Modelling conditional correlations for risk diversification in crude oil markets
Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - 2009
Persistent link: https://www.econbiz.de/10003877105
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Forecasting volatility and spillovers in crude oil spot, forward and futures markets
Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - 2009
Persistent link: https://www.econbiz.de/10003877109
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Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets
Chang, Chia-Lin - 2009
a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the … international oil market, namely West Texas Intermediate (USA), Brent (North Sea), Dubai/Oman (Middle East), and Tapis (Asia …
Persistent link: https://www.econbiz.de/10013159943
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Modeling Conditional Correlations for Risk Diversification in Crude Oil Markets
Chang, Chia-Lin - 2009
aid in risk diversification. Conditional correlations are estimated using the CCC model of Bollerslev (1990), VARMA …
Persistent link: https://www.econbiz.de/10013159992
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Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices
Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016 - Revised: December 2016
Persistent link: https://www.econbiz.de/10011631784
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Risk modelling and management : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013
Persistent link: https://www.econbiz.de/10009767001
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Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2012 - Rev.
Persistent link: https://www.econbiz.de/10009619566
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Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009767006
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What happened to risk management during the 2008 - 09 financial crisis?
McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - 2009
Persistent link: https://www.econbiz.de/10003877129
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Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2012 - Rev.
Persistent link: https://www.econbiz.de/10009562985