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volatility spillovers
4
Multivariate GARCH
2
Spillovers
2
Volatility spillovers
2
conditional correlations
2
hedging
2
multivariate GARCH
2
ASEAN
1
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1
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1
Basel Accord
1
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1
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1
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1
Financial Conditions Index (FCI)
1
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Granger causality
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Herding
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Monetary Conditions Index (MCI)
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Optimal portfolios
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Risk management
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Risk premia
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Tourism Conditions Index (TCI)
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Tourism demand
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VARMA-AGARCH
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VARMA-GARCH
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VIX futures
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Value-at-Risk
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Volatility
1
asymmetries
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causality-in-variance
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conditional correlation
1
country risk ratings
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crude oil prices
1
currency and commodity markets
1
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4
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McAleer, Michael
9
Chang, Chia-Lin
6
Tansuchat, Roengchai
4
Khamkaew, Thanchanok
2
Allen, David E.
1
Allena, David E.
1
Amaral, Teodosio Perez
1
Amrama, Ron
1
Hammoudeh, Shawkat
1
Hsu, Hui-Kuang
1
Radalj, Kim
1
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Department of Economics and Finance, College of Business and Economics
National Bureau of Economic Research
250
International Monetary Fund (IMF)
246
International Monetary Fund
126
C.E.P.R. Discussion Papers
124
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
108
CESifo
43
Institute for the Study of Labor (IZA)
38
Fondazione ENI Enrico Mattei (FEEM)
28
HAL
28
London School of Economics (LSE)
28
Centre of Excellence for Science and Innovation Studies, Kungliga Tekniska Högskolan (KTH)
26
EconWPA
25
Tinbergen Instituut
21
Centre for Economic Performance, LSE
19
Institut für Weltwirtschaft (IfW)
18
DIW Berlin (Deutsches Institut für Wirtschaftsforschung)
17
Zentrum für Europäische Wirtschaftsforschung (ZEW)
17
William Davidson Institute, University of Michigan
14
Wirtschaftswissenschaftliche Fakultät, Friedrich-Schiller-Universität Jena
14
European Central Bank
13
KITeS, Centre for Knowledge, Internationalization and Technology Studies, Universita' Bocconi, Milano, Italy
12
Université Paris-Dauphine (Paris IX)
12
de Nederlandsche Bank
12
Institute of Economic Research, Kyoto University
11
Tilburg University, Center for Economic Research
11
United Nations University-Maastricht Economic Research Institute of Innovation and Technology (UNU-MERIT)
11
Department of International and European Economic Studies, Athens University of Economics and Business (AUEB)
10
Disciplinegroep Economische Geografie, Faculteit Ruimtelijke Wetenschappen
10
Edward Elgar Publishing
10
FIW
10
Tinbergen Institute
10
United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology
10
Banca d'Italia
9
Faculdade de Economia, Universidade do Porto
9
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
9
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9
LICOS Centre for Institutions and Economic Performance, Faculteit Economie en Bedrijfswetenschappen
9
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1
A Tourism Conditions Index
Chang, Chia-Lin
;
Hsu, Hui-Kuang
;
McAleer, Michael
-
Department of Economics and Finance, College of …
-
2014
Index (MCI). The empirical findings show that TCI weighted by
spillovers
reveal greater significance in forecasting the …
Persistent link: https://www.econbiz.de/10010907424
Saved in:
2
Herding, Information Cascades and Volatility
Spillovers
in Futures Markets
McAleer, Michael
;
Radalj, Kim
-
Department of Economics and Finance, College of …
-
2013
spillovers
occur only with Nikkei 225 futures. The policy implications of the findings are also discussed. …
Persistent link: https://www.econbiz.de/10010907422
Saved in:
3
Risk Modeling and Management: An Overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
Department of Economics and Finance, College of …
-
2013
, volatility
spillovers
from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the …
Persistent link: https://www.econbiz.de/10010907434
Saved in:
4
Risk Management and Financial Derivatives: An Overview
Hammoudeh, Shawkat
;
McAleer, Michael
-
Department of Economics and Finance, College of …
-
2012
cor-relations and volatility
spillovers
between crude oil and stock index returns, pricing exotic options using the Wang …
Persistent link: https://www.econbiz.de/10010907433
Saved in:
5
Volatility
Spillovers
from the Chinese Stock Market to Economic Neighbours
Allena, David E.
;
Amrama, Ron
;
McAleer, Michael
-
Department of Economics and Finance, College of …
-
2011
This paper examines whether there is evidence of
spillovers
of volatility from the Chinese stock market to its … 17 November 2010. The empirical results show some evidence of volatility
spillovers
across these markets in the pre …
Persistent link: https://www.econbiz.de/10009398256
Saved in:
6
Analyzing and Forecasting Volatility
Spillovers
, Asymmetries and Hedging in Major Oil Markets
Chang, Chia-Lin
;
McAleer, Michael
;
Tansuchat, Roengchai
-
Department of Economics and Finance, College of …
-
2010
forecast the 1-day ahead conditional correlations. The paper presents evidence of volatility
spillovers
and asymmetric effects …
Persistent link: https://www.econbiz.de/10008552171
Saved in:
7
Conditional Correlations and Volatility
Spillovers
Between Crude Oil and Stock Index Returns
Tansuchat, Roengchai
;
Chang, Chia-Lin
;
McAleer, Michael
-
Department of Economics and Finance, College of …
-
2010
This paper investigates the conditional correlations and volatility
spillovers
between crude oil returns and stock … empirical results from the VARMA-GARCH and VARMA-AGARCH models provide little evidence of volatility
spillovers
between the …
Persistent link: https://www.econbiz.de/10010627488
Saved in:
8
Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
Chang, Chia-Lin
;
Khamkaew, Thanchanok
;
McAleer, Michael
; …
-
Department of Economics and Finance, College of …
-
2010
the VARMA-GARCH model and the VARMA-AGARCH model suggest the presence of volatility
spillovers
and asymmetric effects of …
Persistent link: https://www.econbiz.de/10008568097
Saved in:
9
Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations
Chang, Chia-Lin
;
Khamkaew, Thanchanok
;
McAleer, Michael
; …
-
Department of Economics and Finance, College of …
-
2010
International and domestic tourism are leading economic activities in the world today. Tourism has been known to generate goods and services directly and indirectly, attract foreign currency, stimulate employment, and provide opportunities for investment. It has also been recognized as an...
Persistent link: https://www.econbiz.de/10008568098
Saved in:
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