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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....t the constant conditional correlations arising from t......gests that the conditional correlations can vary drama......l, the dynamic conditional correlations in rubber spot and futures re...
  • Subject HeadingMultivariate GARCH volatility spillovers conditional correlations spot returns futures returns

Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models

Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
Digital文書・図像類
Caporin, Massimiliano, McAleer, MichaelInstitute of Economic Research, Kyoto University2010-11KIER Discussion Paper738
Available onlineOther Libraries in Japan
  • Subject HeadingConditional correlations conditional covariances diago...

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 crude oil prices optimal hedg...

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....he 1-day ahead conditional correlations. The paper pre......, the forecast conditional correlations between pairs of crude oil re...

Dynamic Conditional Correlations for Asymmetric Processes

Dynamic Conditional Correlations for Asymmetric Processes
Digital文書・図像類
Asai, Manabu, McAleer, MichaelInstitute of Economic Research, Kyoto University2010-12KIER Discussion Paper747
Available onlineOther Libraries in Japan
  • Subject HeadingDynamic conditional correlations Matrix exponential model Wish...

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.This paper investigates the conditional correlations and volatility......e estimates of conditional correlations for returns ac......timates of the conditional correlations are always sig......on of constant conditional correlations is not supported empirically....
  • Subject Heading...ity spillovers conditional correlations crude oil prices spot forward...

VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds

VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds
Paper文書・図像類
Abdul, Hakim, McAleer, Michael日本経済国際共同センター2009-10Discussion paper series. CIRJE-FCIRJE-F-676
Other Libraries in Japan
  • Subject HeadingInterdependence dynamic conditional correlations spot futures stocks bonds VaR...

Ten Things You Should Know About the Dynamic Conditional Correlation Representation

Ten Things You Should Know About the Dynamic Conditional Correlation Representation
Digital文書・図像類
Caporin, Massimiliano, McAleer, MichaelInstitute of Economic Research, Kyoto University2013-06KIER Discussion Paper870
Available onlineOther Libraries in Japan
  • Summary, etc....g time-varying conditional correlations. The reasons g...... yield dynamic conditional correlations; DCC is stated rather than de...
  • Subject Heading...al covariances conditional correlations regularity conditions moments...

Ten Things You Should Know About DCC

Ten Things You Should Know About DCC
Digital文書・図像類
Caporin, Massimiliano, McAleer, MichaelInstitute of Economic Research, Kyoto University2013-03KIER Discussion Paper854
Available onlineOther Libraries in Japan
  • Summary, etc....g time-varying conditional correlations. The reasons g...... yield dynamic conditional correlations; DCC is stated rather than de...
  • Subject Heading...al covariances Conditional correlations Regularity conditions Moments...

Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets : Emerging Markets Evidence

Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets : Emerging Markets Evidence
Paper文書・図像類
Abdul, Hakim, McAleer, Michael日本経済国際共同センター2009-10Discussion paper series. CIRJE-FCIRJE-F-677
Other Libraries in Japan
  • Subject HeadingRisk conditional correlations emerging markets stocks bonds...

Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets

Modelling Conditional Correlations for Risk Diversification in Crude Oil 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-640
Other Libraries in Japan
  • Subject HeadingConditional correlations crude oil spot prices forward...

Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models

Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models
Paper文書・図像類
Caporin, Massimiliano, McAleer, Michael日本経済国際共同センター2009-08Discussion paper series. CIRJE-FCIRJE-F-638
Other Libraries in Japan
  • Subject HeadingConditional correlations conditional covariances diago...

Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models

Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
Paper文書・図像類
Caporin, Massimiliano, McAleer, Michael日本経済国際共同センター2010-02Discussion paper series. CIRJE-FCIRJE-F-713
Other Libraries in Japan
  • Subject HeadingConditional correlations conditional covariances diago...

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

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 Heading...ity spillovers conditional correlations Asian rubber prices spot retu...

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 Heading...ity spillovers conditional correlations crude oil prices spot forward...

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 crude oil prices optimal hedg...

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 Heading...ivariate GARCH conditional correlations crude oil spot prices spot re...

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