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Multivariate volatility impulse response analysis of GFC news events
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
Persistent link: https://www.econbiz.de/10011432589
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Daily market news sentiment and stock prices
Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - 2015
Persistent link: https://www.econbiz.de/10011432600
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Market integration dynamics and asymptotic price convergence in distribution
García-Hiernaux, Alfredo; Guerrero, David E.; McAleer, … - 2015
Persistent link: https://www.econbiz.de/10011432674
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Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies
Allen, David E.; McAleer, Michael; Shelton, Peiris; … - 2015
Persistent link: https://www.econbiz.de/10011432736
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Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China
Chang, Chia-Lin; McAleer, Michael; Tian, Jiarong - 2016 - Revised: June, 2016
Persistent link: https://www.econbiz.de/10011541151
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Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances
Chang, Chia-Lin; McAleer, Michael; Wang, Yanghuiting - 2016 - Revised: June, 2016
Persistent link: https://www.econbiz.de/10011500276
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An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors
Chang, Chia-Lin; McAleer, Michael; Wang, Chien-Hsun - 2016 - Revised: June, 2016
Persistent link: https://www.econbiz.de/10011500282
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An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors
Chang, Chia-ling; McAleer, Michael; Wang, Chien-Hsun - 2016 - Revised: June, 2016
It is well known that that there is an intrinsic link between the financial and energy sectors, which can be analyzed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other's subsequent volatility in both spot and futures markets....
Persistent link: https://www.econbiz.de/10011520509
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Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China
Chang, Chia-Lin; McAleer, Michael; Tian, Jiarong - 2016 - Revised: June, 2016
, namely North Sea, USA, Middle East, and South-East Asia. Associated with these regions are two major financial centers …, namely UK and USA. For these reasons, the data to be used are the returns on alternative crude oil markets, returns on crude … oil derivatives, specifically futures, and stock index returns in UK and USA. The paper will also analyze the Chinese …
Persistent link: https://www.econbiz.de/10011520514
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Nonlinear time series and neural-network models of exchange rates between the US Dollar and major currencies
Allen, David E.; McAleer, Michael; Peiris, Shelton; … - 2015
This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...
Persistent link: https://www.econbiz.de/10011378229