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How are VIX and stock index ETF related?
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2016
Persistent link: https://www.econbiz.de/10011447222
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Modelling volatility spillovers for bio-ethanol, sugarcane and corn
Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016 - Revised
Persistent link: https://www.econbiz.de/10011448000
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Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015
Bank risk managers follow the Basel Committee on Banking Supervision (BCBS) recommendations that recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The Basel Committee on Banking Supervision (2013, p. 3) noted that: "a number of...
Persistent link: https://www.econbiz.de/10011431395
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Volatility spillovers between energy and agricultural markets : a critical appraisal of theory and practice
Chang, Chia-Lin; Li, Yiying; McAleer, Michael - 2015
Persistent link: https://www.econbiz.de/10011432558
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Industrial agglomeration and use of the internet
Chang, Chia-Lin; McAleer, Michael; Wu, Yu-Chieh - 2015
Persistent link: https://www.econbiz.de/10011432617
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Research ideas for the Journal of Health & Medical Economics : opinion
Chang, Chia-Lin; McAleer, Michael - 2015
Persistent link: https://www.econbiz.de/10011432622
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Behavioural, financial, and health & medical economics : a connection
Chang, Chia-Lin; McAleer, Michael; Wong, Wing Keung - 2015
Persistent link: https://www.econbiz.de/10011432633
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Informatics, data mining, econometrics and financial economics : a connection
Chang, Chia-Lin; McAleer, Michael; Wong, Wing Keung - 2015
Persistent link: https://www.econbiz.de/10011432740
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Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015
Persistent link: https://www.econbiz.de/10011432786
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Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - 2016
Persistent link: https://www.econbiz.de/10011432792