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Portfolio selection from risk transfer mechanisms in a time of crisis for renewable energy markets

Portfolio selection from risk transfer mechanisms in a time of crisis for renewable energy markets
Digital文書・図像類
Wang, Yu-Ann, Chang, Chia-LinInstitute of Economic Research, Kyoto University2024-09KIER Discussion Paper1108p.1-55
Available onlineOther Libraries in Japan
  • Subject HeadingRenewable energy Volatility spillover Risk Transfer GFC COVID-19. C...

Networks of volatility spillovers among stock markets

Networks of volatility spillovers among stock markets
Digital文書・図像類
Baumöhl, Eduard, Kočenda, Evžen, Lyócsa, Štefan, Výrost, TomášInstitute of Economic Research, Kyoto University2016-05KIER Discussion Paper941
Available onlineOther Libraries in Japan
  • Summary, etc....ribe and model volatility spillovers during both t......quity market - volatility spillovers decrease when......ral proximity. Volatility spillovers also present ......etwork) affect volatility spillovers more than changes in the giv...
  • Subject Headingvolatility spillovers stock markets shock transmis...

Volatility Spillovers from the Chinese Stock Market to Economic Neighbours

Volatility Spillovers from the Chinese Stock Market to Economic Neighbours
Digital文書・図像類
McAleer, Michael, Allen, David, Amram, RonInstitute of Economic Research, Kyoto University2011-12KIER Discussion Paper805
Available onlineOther Libraries in Japan
  • Summary, etc....rrelations and volatility spillover effects across......me evidence of volatility spillovers across these markets in the ...
  • Subject HeadingVolatility spillovers VARMA-GARCH VARMA-AGARCH Chi...

Volatility spillovers from the US to Australia and China across the GFC

Volatility spillovers from the US to Australia and China across the GFC
Digital文書・図像類
Allen, David E., McAleer, Michael, Powell, Robert J., Singh, Abhay KumarInstitute of Economic Research, Kyoto University2012-12KIER Discussion Paper838
Available onlineOther Libraries in Japan
  • Summary, etc....an analysis of volatility spillover effects from t......del to capture volatility spillovers from the US. We also apply a...
  • Subject HeadingVolatility spillovers Markov-switching GARCH Chole...

Intraday Return and Volatili Spillover Mechanism from Chinese to Japanese Stock Market

Intraday Return and Volatili Spillover Mechanism from Chinese to Japanese Stock Market
Paper文書・図像類
Nishimura, Yusaku, Tsutsui, Yoshiro, Hirayama, KenjiroGraduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University2014-01Discussion Papers In Economics And Business14-01p.1-36
Other Libraries in Japan
  • Subject Headingreturn and volatility spillover Chinare related stock index h...
  • Note (General)... of return and volatility spillover effects from the Chinese to t...

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....he presence of volatility spillovers and asymmetric effects of po...
  • Subject HeadingMultivariate GARCH volatility spillovers conditional correlations spo...

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 Heading...ivariate GARCH volatility spillovers interdependence economic dev...

Return and Volatility Spillovers between Japanese and Chinese Stock Markets : An Analysis of Overlapping Trading Hours with High-frequency Data

Return and Volatility Spillovers between Japanese and Chinese Stock Markets : An Analysis of Overlapping Trading Hours with High-frequency Data
Paper文書・図像類
Nishimura, Yusaku, Tsutsui, Yoshiro, Hirayama, KenjiroGraduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University2012-02Discussion Papers In Economics And Business12-01
Other Libraries in Japan
  • Subject Headingintraday return and volatility spillover effects high-frequency data i...
  • Note (General)...yze return and volatility spillovers during overlapping trading h...

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....r analyses the volatility spillover and asymmetric......ts evidence of volatility spillovers and asymmetric effects on th...
  • Subject HeadingVolatility spillovers multivariate GARCH condition...

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
  • Summary, etc....rrelations and volatility spillovers between the c......le evidence of volatility spillovers between the crude oil and fi...
  • Subject HeadingMultivariate GARCH volatility spillovers conditional correlations cru...

排出権価格 、株価、金利、外国為替レートの相互作用の分析

排出権価格 、株価、金利、外国為替レートの相互作用の分析
Paper文書・図像類
齋藤, 周Graduate School of Economics, Osaka University2021-11Discussion Papers In Economics And Business21-20p.1-18
Other Libraries in Japan
  • Subject Heading...Price SV model Volatility Spillover Market Anomaly (holiday effec...
  • Note (General)... interactions, volatility spillover or asymmetric effects were de...

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 Heading...ivariate GARCH volatility spillovers interdependence economic dev...

Risk Modelling and Management: An Overview

Risk Modelling and Management: An Overview
Digital文書・図像類
Chang, Chia-Lin, Allen, David E., McAleer, Michael, Perez Amaral, TeodosioInstitute of Economic Research, Kyoto University2013-07KIER Discussion Paper872
Available onlineOther Libraries in Japan
  • Summary, etc....methodologies, volatility spillovers from the Chinese stock marke...
  • Subject Heading... methodologies volatility spillovers Value-at-Risk country risk r...

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 condition...

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 conditional correlations cru...

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 Heading...CH Asymmetries Volatility spillovers Crude oil futures returns Oi...

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 conditional correlations Asi...

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 condition...

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