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Recent topical research on global, energy, health & medical, and tourism economics, and global software

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

Persistent link: https://www.econbiz.de/10011823312

Connecting VIX and stock index ETF

Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2017 - Revised: January 2017

Persistent link: https://www.econbiz.de/10011823316

The fiction of full BEKK

Chang, Chia-Lin; McAleer, Michael - 2017

Persistent link: https://www.econbiz.de/10011823320

Forecasting the volatility of Nikkei 225 futures

Asai, Manabu; McAleer, Michael - 2017 - Revised: January 2017

Persistent link: https://www.econbiz.de/10011823321

Tourism stocks in times of crises : an econometric investigation of non-macro factors

Zopiatis, Anastasios; Savva, Christos S.; Lambertides, … - 2016

Persistent link: https://www.econbiz.de/10011823329

A simple test for causality in volatility

Chang, Chia-ling; McAleer, Michael - In: Econometrics : open access journal 5 (2017) 1, pp. 1-5

An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns was the portmanteau statistic for non-causality in the variance of Cheng and Ng (1996). A subsequent development was the Lagrange...

Persistent link: https://www.econbiz.de/10011654183