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~language:"eng"
~person:"McAleer, Michael"
~subject:"Commodity derivative"
~type_genre:"Article in journal"
~type_genre:"Hochschulschrift"
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Commodity derivative
Theorie
81
Theory
81
Volatility
73
Volatilität
73
ARCH model
49
ARCH-Modell
49
Estimation
40
Schätzung
39
Time series analysis
37
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37
Estimation theory
35
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35
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McAleer, Michael
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
17
Miffre, Joëlle
16
Bouri, Elie
15
Wei, Yu
15
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14
Wang, Yudong
14
Hammoudeh, Shawkat
13
Tse, Yiuman
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
McKenzie, Andrew M.
11
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11
Bohl, Martin T.
10
Brorsen, B. Wade
10
Chatrath, Arjun
10
Fernandez-Perez, Adrian
10
Liu, Qingfu
10
Power, Gabriel J.
10
Cortazar, Gonzalo
9
Fan, John Hua
9
Fuertes, Ana María
9
Gong, Xu
9
Luo, Jiawen
9
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9
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9
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Energy economics
5
Applied financial economics
3
International review of economics & finance : IREF
2
Finance research letters
1
International journal of forecasting
1
The North American journal of economics and finance : a journal of financial economics studies
1
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ECONIS (ZBW)
13
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
- In:
Energy economics
32
(
2010
)
6
,
pp. 1445-1455
Persistent link: https://www.econbiz.de/10008935991
Saved in:
9
Market efficiency of oil spot and futures : a mean-variance and stochastic dominance approach
Hooi Hooi Lean
;
McAleer, Michael
;
Wong, Wing Keung
- In:
Energy economics
32
(
2010
)
5
,
pp. 979-986
Persistent link: https://www.econbiz.de/10008934355
Saved in:
10
Modeling dynamic conditional correlations in WTI oil forward and futures returns
Lanza, Alessandro
;
Manera, Matteo
;
McAleer, Michael
- In:
Finance research letters
3
(
2006
)
2
,
pp. 114-132
Persistent link: https://www.econbiz.de/10003333927
Saved in:
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