Similar Search Results - EconBiz

Conditional Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns

Roengchai Tansuchat - 2010

This paper investigates the conditional correlations and volatility spillovers between crude oil returns and stock index returns. Daily returns from 2 January 1998 to 4 November 2009 of the crude oil spot, forward and futures prices from the WTI and Brent markets, and the FTSE100, NYSE, Dow...

Persistent link: https://www.econbiz.de/10013149274

Crude oil hedging strategies using dynamic multivariate GARCH

Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10003987324

Conditional correlations and volatility spillovers between crude oil and stock index returns

Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10003987330

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

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

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

Conditional correlations and volatility spillovers between crude oil and stock index returns

Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10008669344

Crude oil hedging strategies using dynamic multivariate GARCH

Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10008669351

Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets

Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - 2010

Persistent link: https://www.econbiz.de/10008669993

Analyzing the contribution of ASEAN stock markets to systemic risk

Roengchai Tansuchat; Woraphon Yamaka; Kritsana Khemawanit; … - In: Robustness in econometrics, (pp. 649-666). 2017

Persistent link: https://www.econbiz.de/10011802003

A service of the