Similar Search Results

Conditional correlations and volatility spillovers between crude oil and stock index returns

Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10008669344

Crude oil hedging strategies using dynamic multivariate GARCH

Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10008669351

Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets

Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - 2010

Persistent link: https://www.econbiz.de/10008669993

Crude oil hedging strategies using dynamic multivariate GARCH

Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10003987324

Conditional correlations and volatility spillovers between crude oil and stock index returns

Tansuchat, Roengchai; Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10003987330

Analyzing and forecasting volatility spillovers and asymmetries in major crude oil spot, forward and futures markets

Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - 2010

Persistent link: https://www.econbiz.de/10003987336

Risk spillovers in oil-related CDS, stock and credit markets

Hammoudeh, Shawkat; Liu, Tengdong; Chang, Chia-Lin; … - In: Energy economics 36 (2013), pp. 526-535

Persistent link: https://www.econbiz.de/10009724647

Risk spillovers in oil-related CDS, stock and credit markets

Hammoudeh, Shawkat; Liu, Tengdong; Chang, Chia-Lin; … - 2011

Persistent link: https://www.econbiz.de/10009619368

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

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