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検索結果 18 件

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
デジタル文書・図像類
Wang, Yu-Ann, Chang, Chia-LinInstitute of Economic Research, Kyoto University2024-09KIER Discussion Paper1108p.1-55
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  • 件名Renewable energy Volatility spillover Risk Transfer GFC COVID-19. C...

Networks of volatility spillovers among stock markets

Networks of volatility spillovers among stock markets
デジタル文書・図像類
Baumöhl, Eduard, Kočenda, Evžen, Lyócsa, Štefan, Výrost, TomášInstitute of Economic Research, Kyoto University2016-05KIER Discussion Paper941
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  • 要約等...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...
  • 件名volatility 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
デジタル文書・図像類
McAleer, Michael, Allen, David, Amram, RonInstitute of Economic Research, Kyoto University2011-12KIER Discussion Paper805
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  • 要約等...rrelations and volatility spillover effects across......me evidence of volatility spillovers across these markets in the ...
  • 件名Volatility 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
デジタル文書・図像類
Allen, David E., McAleer, Michael, Powell, Robert J., Singh, Abhay KumarInstitute of Economic Research, Kyoto University2012-12KIER Discussion Paper838
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  • 要約等...an analysis of volatility spillover effects from t......del to capture volatility spillovers from the US. We also apply a...
  • 件名Volatility 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
紙文書・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
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  • 件名return and volatility spillover Chinare related stock index h...
  • 一般注記... 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
デジタル文書・図像類
McAleer, MichaelInstitute of Economic Research, Kyoto University2010-09KIER Discussion Paper723
インターネットで読める全国の図書館
  • 要約等...he presence of volatility spillovers and asymmetric effects of po...
  • 件名Multivariate 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
デジタル文書・図像類
McAleer, MichaelInstitute of Economic Research, Kyoto University2010-08KIER Discussion Paper719
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  • 件名...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
紙文書・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
全国の図書館
  • 件名intraday return and volatility spillover effects high-frequency data i...
  • 一般注記...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
デジタル文書・図像類
McAleer, MichaelInstitute of Economic Research, Kyoto University2010-08KIER Discussion Paper717
インターネットで読める全国の図書館
  • 要約等...r analyses the volatility spillover and asymmetric......ts evidence of volatility spillovers and asymmetric effects on th...
  • 件名Volatility 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
デジタル文書・図像類
McAleer, MichaelInstitute of Economic Research, Kyoto University2010-08KIER Discussion Paper715
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  • 要約等...rrelations and volatility spillovers between the c......le evidence of volatility spillovers between the crude oil and fi...
  • 件名Multivariate 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
紙文書・図像類
齋藤, 周Graduate School of Economics, Osaka University2021-11Discussion Papers In Economics And Business21-20p.1-18
全国の図書館
  • 件名...Price SV model Volatility Spillover Market Anomaly (holiday effec...
  • 一般注記... 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
紙文書・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
全国の図書館
  • 件名...ivariate GARCH volatility spillovers interdependence economic dev...

Risk Modelling and Management: An Overview

Risk Modelling and Management: An Overview
デジタル文書・図像類
Chang, Chia-Lin, Allen, David E., McAleer, Michael, Perez Amaral, TeodosioInstitute of Economic Research, Kyoto University2013-07KIER Discussion Paper872
インターネットで読める全国の図書館
  • 要約等...methodologies, volatility spillovers from the Chinese stock marke...
  • 件名... 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
紙文書・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
全国の図書館
  • 件名Volatility 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
紙文書・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
全国の図書館
  • 件名Multivariate 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
紙文書・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
全国の図書館
  • 件名...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
紙文書・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
全国の図書館
  • 件名Multivariate 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
紙文書・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
全国の図書館
  • 件名Volatility spillovers multivariate GARCH condition...

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