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~language:"eng"
~person:"McAleer, Michael"
~person:"McKenzie, Andrew M."
~subject:"Commodity derivative"
~type_genre:"Article in journal"
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Commodity derivative
Theorie
84
Theory
84
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76
Volatilität
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ARCH model
50
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50
Estimation
46
Schätzung
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McAleer, Michael
McKenzie, Andrew M.
Irwin, Scott H.
41
Ma, Feng
30
García, Philip
25
Lien, Da-hsiang Donald
21
Sanders, Dwight R.
21
Chevallier, Julien
18
Kang, Sang Hoon
17
Prokopczuk, Marcel
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Bouri, Elie
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Wei, Yu
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Wang, Yudong
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13
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13
Zhang, Yaojie
13
Nguyen, Duc Khuong
12
Sauerbeck, A.
12
Tiwari, Aviral Kumar
12
Todorova, Neda
12
Uddin, Mohammed Gazi Salah
12
Benth, Fred Espen
11
Hamori, Shigeyuki
11
Karali, Berna
11
Bohl, Martin T.
10
Brorsen, B. Wade
10
Chatrath, Arjun
10
Fernandez-Perez, Adrian
10
Liu, Qingfu
10
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10
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10
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9
Fan, John Hua
9
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9
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9
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9
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9
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Energy economics
5
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4
International review of economics & finance : IREF
2
Journal of agricultural and applied economics
2
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Finance research letters
1
International journal of forecasting
1
Journal of applied econometrics
1
Journal of commodity markets
1
Review of agricultural economics : RAE
1
The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
24
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1
How do USDA announcements affect international commodity prices?
McKenzie, Andrew M.
;
Ke, Yangmin
- In:
Journal of commodity markets
28
(
2022
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014335236
Saved in:
2
Factor model index for commodity investment
Broby, Daniel
;
McKenzie, Andrew M.
;
Bautheac, Olivier
- In:
The journal of index investing : ETFs, ETPs, & indexing
12
(
2021
)
3
,
pp. 33-52
Persistent link: https://www.econbiz.de/10012698298
Saved in:
3
Forecasting volatility and co-volatility of crude oil and gold futures : effects of leverage, jumps, spillovers, and geopolitical risks
Asai, Manabu
;
Gupta, Rangan
;
McAleer, Michael
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 933-948
Persistent link: https://www.econbiz.de/10012497080
Saved in:
4
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
- In:
International review of economics & finance : IREF
59
(
2019
),
pp. 50-70
Persistent link: https://www.econbiz.de/10012202481
Saved in:
5
Volatility spillovers for spot, futures, and ETF prices in agriculture and energy
Chang, Chia-Lin
;
Liu, Chia-Ping
;
McAleer, Michael
- In:
Energy economics
81
(
2019
),
pp. 779-792
Persistent link: https://www.econbiz.de/10012172983
Saved in:
6
Preferences of risk-averse and risk-seeking investors for oil spot and futures before, during and after the Global Financial Crisis
Hooi Hooi Lean
;
McAleer, Michael
;
Wong, Wing Keung
- In:
International review of economics & finance : IREF
40
(
2015
),
pp. 204-216
Persistent link: https://www.econbiz.de/10011573581
Saved in:
7
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
Saved in:
8
Causality between market liquidity and depth for energy and grains
Sari, Ramazan
;
Hammoudeh, Shawkat
;
Chang, Chia-Lin
; …
- In:
Energy economics
34
(
2012
)
5
,
pp. 1683-1692
Persistent link: https://www.econbiz.de/10009687959
Saved in:
9
Crude oil hedging strategies using dynamic multivariate GARCH
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
- In:
Energy economics
33
(
2011
)
5
,
pp. 912-923
Persistent link: https://www.econbiz.de/10009382992
Saved in:
10
Hedging effectiveness around US department of agriculture crop reports
McKenzie, Andrew M.
;
Singh, Navinderpal
- In:
Journal of agricultural and applied economics
43
(
2011
)
1
,
pp. 77-94
Persistent link: https://www.econbiz.de/10009405356
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