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Risk Spillovers in Oil-Related CDS, Stock and Credit Markets

Hammoudeh, Shawkat; Liu, Tengdong; Chang, Chia-Lin; … - Department of Economics and Finance, College of … - 2011

This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004-2011 period and the 2009-2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil price. There are more long-run equilibrium risk...

Persistent link: https://www.econbiz.de/10009002352

Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures

Lean, Hooi Hooi; McAleer, Michael; Wong, Wing-Keung - Department of Economics and Finance, College of … - 2013

This paper examines risk-averse and risk-seeking investor preferences for oil spot and futures prices by using the mean-variance (MV) criterion and stochastic dominance (SD) approach. The MV findings cannot distinguish between the preferences of spot and futures markets. However, the SD tests...

Persistent link: https://www.econbiz.de/10010698691

Volatility Spillovers from Australia's major trading partners across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert J.; … - Department of Economics and Finance, College of … - 2014

This paper features an analysis of volatility spillover effects from Australia's major trading partners, namely, China, Japan, Korea and the United States, for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global Financial Crisis (GFC). These...

Persistent link: https://www.econbiz.de/10010931739

Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach

Lean, Hooi Hooi; McAleer, Michael; Wong, Wing-Keung - Department of Economics and Finance, College of … - 2010

This paper examines the market efficiency of oil spot and futures prices by using both mean-variance (MV) and stochastic dominance (SD) approaches. Based on the West Texas Intermediate crude oil data for the sample period 1989-2008, we find no evidence of any MV and SD relationships between oil...

Persistent link: https://www.econbiz.de/10008516068

Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance

Lean, Hooi Hooi; McAleer, Michael; Wong, Wing-Keung - Department of Economics and Finance, College of … - 2010

This paper examines investor preferences for oil spot and futures based on mean-variance (MV) and stochastic dominance (SD). The mean-variance criterion cannot distinct the preferences of spot and market whereas SD tests leads to the conclusion that spot dominates futures in the downside risk...

Persistent link: https://www.econbiz.de/10008552168

Recent Developments in Financial Economics and Econometrics: An Overview

Chang, Chia-Lin; Allen, David; McAleer, Michael - Department of Economics and Finance, College of … - 2013

regulation in an economy under credit risk and liquidity shock, separating informa-tion maximum likelihood estimation of the … bank relation-ship matters for corporate risk taking, with evidence from listed firms in Taiwan, pricing op-tions on stocks …-free implied vola-tility surfaces for options on single stock futures, the non-uniform pricing effect of employee stock options …

Persistent link: https://www.econbiz.de/10010907402

Asymmetric Realized Volatility Risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - Department of Economics and Finance, College of … - 2014

In this paper we document that realized variation measures constructed from highfrequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...

Persistent link: https://www.econbiz.de/10010907404

Herding, Information Cascades and Volatility Spillovers in Futures Markets

McAleer, Michael; Radalj, Kim - Department of Economics and Finance, College of … - 2013

Economists and financial analysts have begun to recognise the importance of the actions of other agents in the decision-making process. Herding is the deliberate mimicking of the decisions of other agents. Examples of mimicry range from the choice of restaurant, fash-ion and financial market...

Persistent link: https://www.econbiz.de/10010907422

Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures

Lean, Hooi Hooi; McAleer, Michael; Wong, Wing-Keung - Department of Economics and Finance, College of … - 2013

Persistent link: https://www.econbiz.de/10010907429

Risk Management and Financial Derivatives: An Overview

Hammoudeh, Shawkat; McAleer, Michael - Department of Economics and Finance, College of … - 2012

cor-relations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang …

Persistent link: https://www.econbiz.de/10010907433