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Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations

Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations
Digital文書・図像類
McAleer, MichaelInstitute of Economic Research, Kyoto University2010-08KIER Discussion Paper719
Available onlineOther Libraries in Japan
  • Subject HeadingTourism demand ASEAN multivariate GARCH volatility spillovers interde...

Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns

Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
Digital文書・図像類
McAleer, MichaelInstitute of Economic Research, Kyoto University2010-09KIER Discussion Paper723
Available onlineOther Libraries in Japan
  • Summary, etc....al alternative multivariate GARCH models. The empirical results...
  • Subject HeadingMultivariate GARCH volatility spillovers conditi...

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
Digital文書・図像類
Chang, Chia-Lin, McAleer, Michael, Tansuchat, RoengchaiInstitute of Economic Research, Kyoto University2010-11KIER Discussion Paper743
Available onlineOther Libraries in Japan
  • Subject HeadingMultivariate GARCH conditional correlations crud...

Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets

Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets
Digital文書・図像類
McAleer, MichaelInstitute of Economic Research, Kyoto University2010-08KIER Discussion Paper717
Available onlineOther Libraries in Japan
  • Summary, etc....s, using three multivariate GARCH models, namely the constant c...
  • Subject HeadingVolatility spillovers multivariate GARCH conditional correlation crude...

Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies

Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies
Paper文書・図像類
Hammoudeh, Shawkat M., Yuan, Yuan, McAleer, Michael日本経済国際共同センター2009-09Discussion paper series. CIRJE-FCIRJE-F-668
Other Libraries in Japan
  • Subject HeadingJEL: C51, E27, Q43 Multivariate GARCH shocks volatility transmissio...

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

Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
Digital文書・図像類
McAleer, MichaelInstitute of Economic Research, Kyoto University2010-08KIER Discussion Paper715
Available onlineOther Libraries in Japan
  • Subject HeadingMultivariate GARCH volatility spillovers conditi...

Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations

Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations
Paper文書・図像類
Chang, Chia-Ling, Khamkaew, Thanchanok, McAleer, Michael, Tansuchat, Roengchai日本経済国際共同センター2009-11Discussion paper series. CIRJE-FCIRJE-F-687
Other Libraries in Japan
  • Subject HeadingTourism demand ASEAN multivariate GARCH volatility spillovers interde...

Scanning Multivariate Conditional Densities with Probability Integral Transforms

Scanning Multivariate Conditional Densities with Probability Integral Transforms
Paper文書・図像類
Ishida, Isao日本経済国際共同センター2005-09Discussion paper series. CIRJE-FCIRJE-F-369
Other Libraries in Japan
  • Subject Heading...gral transform multivariate GARCH

Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets

Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets
Paper文書・図像類
Chang, Chialin Michael McAleer and Roengchai Tansuchat日本経済国際共同センター2010-02Discussion paper series. CIRJE-FCIRJE-F-718
Other Libraries in Japan
  • Subject HeadingVolatility spillovers multivariate GARCH conditional correlation crude...

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

Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
Paper文書・図像類
Tansuchat, Roengchai, Chang, Chia-Lin, McAleer, Michael日本経済国際共同センター2010-01Discussion paper series. CIRJE-FCIRJE-F-706
Other Libraries in Japan
  • Subject HeadingMultivariate GARCH volatility spillovers conditi...

Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return

Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return
Paper文書・図像類
Chang, Chia-Lin, McAleer, Michael, Roengchai, Tansuchat日本経済国際共同センター2009-08Discussion paper series. CIRJE-FCIRJE-F-639
Other Libraries in Japan
  • Subject HeadingMultivariate GARCH Asymmetries Volatility spillo...

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
Paper文書・図像類
Tansuchat, Roengchai, Chang, Chia-Lin, McAleer, Michael日本経済国際共同センター2010-01Discussion paper series. CIRJE-FCIRJE-F-704
Other Libraries in Japan
  • Subject HeadingMultivariate GARCH conditional correlations crud...

Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns

Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
Paper文書・図像類
Tanchanok, Khamkaew, McAleer, Michael, Tansucha, Roengchai日本経済国際共同センター2009-10Discussion paper series. CIRJE-FCIRJE-F-675
Other Libraries in Japan
  • Subject HeadingMultivariate GARCH volatility spillovers conditi...

Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets

Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets
Paper文書・図像類
Chang, Chia-Lin, McAleer, Michael, Roengchai, Tansuchat日本経済国際共同センター2009-08Discussion paper series. CIRJE-FCIRJE-F-641
Other Libraries in Japan
  • Subject HeadingVolatility spillovers multivariate GARCH conditional correlations crud...

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