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Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn
Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016
commodities and biofuel helps commodity suppliers hedge their portfolios, and manage the risk and co-risk of their biofuel and … should be considered as viable futures products in financial portfolios for risk management. …
Persistent link: https://www.econbiz.de/10011451531
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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
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Modelling volatility spillovers for bio-ethanol, sugarcane and corn
Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016
commodities and biofuel helps commodity suppliers hedge their portfolios, and manage the risk and co-risk of their biofuel and … should be considered as viable futures products in financial portfolios for risk management. …
Persistent link: https://www.econbiz.de/10011441704
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Identifying Shocks in Regionally Integrated East Asian Economies with Structural VAR and Block Exogeneity
McAleer, Michael; Sato, Sato, K.; Zhang, Zhang, Z. - Faculteit der Economische Wetenschappen, Erasmus … - 2010
In this paper we use a structural VAR model with block exogeneity to investigate if external shocks originating from the USA played a dominant role in influencing the macroeconomic fluctuations in East Asia during the period 1978-2007. The empirical results show a dynamic effect of external...
Persistent link: https://www.econbiz.de/10010837727
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Towards an East Asian Monetary Union: An Econometrics Analysis of Shocks
Sato, Kiyotaka; Zhang, Zhaoyong; McAleer, Michael - School of Business, Edith Cowan University - 2005
This paper examines the viability of regional monetary integration in East Asia by focusing on the symmetry of shocks, which is one of the preconditions for forming an optimum currency area (OCA). We extend the conventional 2-variable structural VAR model by incorporating foreign (namely, US)...
Persistent link: https://www.econbiz.de/10009642861
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Identifying Shocks in Regionally Integrated East Asian Economies with Structural VAR and Block Exogeneity
Sato, Kiyotaka; Zhang, Zhaoyong; McAleer, Michael - Department of Economics and Finance, College of … - 2010
In this paper we use a structural VAR model with block exogeneity to investigate if external shocks originating from the USA played a dominant role in influencing the macroeconomic fluctuations in East Asia during the period 1978-2007. The empirical results show a dynamic effect of external...
Persistent link: https://www.econbiz.de/10008552169
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Identifying shocks in regionally integrated East Asian economies with structural VAR and block exogeneity
Sato, Kiyotaka; Zhang, Zhaoyong; McAleer, Michael - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 7, pp. 1353-1364
In this paper we use a structural VAR model with block exogeneity to investigate if external shocks originating from the USA played a dominant role in influencing the macroeconomic fluctuations in East Asia during the period 1978–2007. The empirical results show a dynamic effect of external...
Persistent link: https://www.econbiz.de/10010870613
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Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies
Allen, David E.; McAleer, Michael; Peiris, Shelton; … - 2015
This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...
Persistent link: https://www.econbiz.de/10011403581
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - 2013
improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and …-market noise, stress testing correlation matrices for risk management, whether bank relationship matters for corporate risk taking … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using …
Persistent link: https://www.econbiz.de/10010326212
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Volatility Spillovers from the US to Australia and China across the GFC
Allen, David E.; McAleer, Michael; Powell, R.J.; Singh, A.K. - 2013
This paper features an analysis of volatility spillover effects from the US market, represented by the S&P500 index to the Australian capital market as represented by the Australian S&P200 for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global...
Persistent link: https://www.econbiz.de/10010326245