Similar Search Results

Risk-averse and risk-seeking investor preferences for oil spot and futures

Hooi Hooi Lean; McAleer, Michael; Wong, Wing Keung - 2013

Persistent link: https://www.econbiz.de/10010191274

Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA

Chang, Chia-Lin; McAleer, Michael; Zuo, Guangdong - 2017 - Revised: May 2017

properties under the null hypothesis of zero off-diagonal elements. Dynamic hedging strategies using optimal hedge ratios will be …

Persistent link: https://www.econbiz.de/10011658757

Herding, information cascades and volatility spillovers in futures markets

McAleer, Michael; Radalj, Kim - 2013

Persistent link: https://www.econbiz.de/10009784945

Econometric analysis of financial derivatives : an overview

Chang, Chia-Lin; McAleer, Michael - 2014

One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special...

Persistent link: https://www.econbiz.de/10010465152

Modelling volatility spillovers for bio-ethanol, sugarcane and corn

Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016

The recent and rapidly growing interest in biofuel as a green energy source has raised concerns about its impact on the prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural commodities and biofuel helps commodity suppliers hedge...

Persistent link: https://www.econbiz.de/10011441704

Testing for a common volatility process and information spillovers in bivariate financial time series models

Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2016 - Revised: February 2016

process. The paper also checks the hypothesis of frictionless cross-market hedging, which implies perfectly correlated …

Persistent link: https://www.econbiz.de/10011441709

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

results, dynamic hedging strategies will be suggested to analyze market fluctuations in crude oil prices and associated …

Persistent link: https://www.econbiz.de/10011520514

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

gas spot markets, a large number of hedging strategies can be used, especially with the rapid development of natural gas … derivatives markets. These hedging instruments include natural gas futures and options, as well as Exchange Traded Fund (ETF … aspect of constructing optimal dynamic hedging strategies. The paper tests and calculates spillover effects among natural gas …

Persistent link: https://www.econbiz.de/10011490999

Power comparisons of tests of linear and loglinear regression models

Kobayashi, Masahito - 1995

Persistent link: https://www.econbiz.de/10000909006

The significance of empirical tourism models

Ong, Christine - 1995

Persistent link: https://www.econbiz.de/10000909007