Nothing Special   »   [go: up one dir, main page]
create a website
Multivariate Volatility Impulse Response Analysis of GFC News Events. (2015). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K.
In: Tinbergen Institute Discussion Papers.
RePEc:tin:wpaper:20150089.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 14

References cited by this document

Cocites: 36

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Stock markets’ bubbles burst and volatility spillovers in agricultural commodity markets. (2016). Baldi, Lucia ; Peri, Massimo ; Vandone, Daniela.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:38:y:2016:i:c:p:277-285.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Baba, Y., R.F. Engle, D. Kraft and K.F. Kroner (1985), Multivariate simultaneous generalized ARCH, Unpublished manuscript, Department of Economics, University of California, San Diego, CA, USA.
    Paper not yet in RePEc: Add citation now
  2. Black, F. (1976), Studies of stock market volatility changes, in Proceedings of the American Statistical Association, Business and Economic Statistics Section, Washington, DC, USA, 1976, pp. 177-181.
    Paper not yet in RePEc: Add citation now

  3. Chang, C.-L. Y.-Y. Li and M. McAleer (2015), Volatility spillovers between energy and agricultural markets: A critical appraisal of theory and practice, Econometric Institute Research Paper EI2015-18, Erasmus School of Economics, Erasmus University Rotterdam.

  4. Comte, F. and O. Lieberman (2003), Asymptotic theory for multivariate GARCH processes, Journal of Multivariate Analysis, 84, 61-84.

  5. Drost, F. and T. Nijman (1993), Temporal aggregation of GARCH processes, Econometrica, 61, 909927.

  6. Engle, R.F. and V.K. Ng (1993), Measuring and testing the impact of news on volatility, Journal of Finance, 48, 1749-1778 Engle, R.F. and K.F. Kroner (1995), Multivariate simultaneous generalized ARCH, Econometric Theory, 11, 122-150.

  7. Gallant, A.R., P.E. Rossi and G. Tauchen (1993), Nonlinear dynamic structures, Econometrica, 61, 871-907.

  8. Hafner, C.M. and H. Herwartz (2006), Volatility impulse responses for multivariate GARCH models: An exchange rate illustration, Journal of International Money and Finance, 25, 719-740.

  9. Jeantheau, T. (1998), Strong consistency of estimators for multivariate ARCH models, Econometric Theory, 14, 70-86.

  10. Koop, G., M.H. Pesaran and S.M. Potter (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, 74, 119-147.

  11. Lin, W.-L. (1997), Impulse response function for conditional volatility in GARCH models, Journal of Business & Economic Statistics, 15, 15-25.

  12. McAleer, M., S. Hoti and F. Chan (2009), Structure and asymptotic theory for multivariate asymmetric conditional volatility, Econometric Reviews, 28, 422-440.

  13. Sims, C. (1980), Macroeconomics and reality, Econometrica 48, 1-48.

  14. Tauchen, G., H. Zhang, and M. Liu (1996), Volume, volatility and leverage: A dynamic analysis, Journal of Econometrics, 74, 177-208. Allen et al., A multivariate volatility impulse response analysis

Cocites

Documents in RePEc which have cited the same bibliography

  1. Forecasting Oil and Gold Volatilities with Sentiment Indicators Under Structural Breaks. (2021). Demirer, Riza ; Ji, Qiang ; Gupta, Rangan ; Luo, Jiawen.
    In: Working Papers.
    RePEc:pre:wpaper:202130.

    Full description at Econpapers || Download paper

  2. Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?. (2019). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:59:y:2019:i:c:p:50-70.

    Full description at Econpapers || Download paper

  3. Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin .
    In: JRFM.
    RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:58-:d:172906.

    Full description at Econpapers || Download paper

  4. Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs. (2018). McAleer, Michael ; Chang, Chia-Lin ; Wang, Y-A., ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:107292.

    Full description at Econpapers || Download paper

  5. Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances. (2018). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yanghuiting .
    In: Energy.
    RePEc:eee:energy:v:151:y:2018:i:c:p:984-997.

    Full description at Econpapers || Download paper

  6. Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, Guangdong .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20170051.

    Full description at Econpapers || Download paper

  7. Connecting VIX and Stock Index ETF. (2017). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20160010.

    Full description at Econpapers || Download paper

  8. Volatility spillover and multivariate volatility impulse response analysis of GFC news events. (2017). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K.
    In: Applied Economics.
    RePEc:taf:applec:v:49:y:2017:i:33:p:3246-3262.

    Full description at Econpapers || Download paper

  9. Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, Guangdong .
    In: Sustainability.
    RePEc:gam:jsusta:v:9:y:2017:i:10:p:1789-:d:113954.

    Full description at Econpapers || Download paper

  10. An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors. (2017). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun.
    In: IJFS.
    RePEc:gam:jijfss:v:6:y:2017:i:1:p:2-:d:124175.

    Full description at Econpapers || Download paper

  11. Connecting VIX and Stock Index ETF. (2017). McAleer, Michael ; Chang, Chia-Lin.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:99516.

    Full description at Econpapers || Download paper

  12. Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, G ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:100331.

    Full description at Econpapers || Download paper

  13. Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events. (2016). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1616.

    Full description at Econpapers || Download paper

  14. Volatility spillovers for spot, futures, and ETF prices in energy and agriculture. (2016). McAleer, Michael ; Chang, Chia-Lin.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1611.

    Full description at Econpapers || Download paper

  15. Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?. (2016). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1601.

    Full description at Econpapers || Download paper

  16. Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events. (2016). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20160084.

    Full description at Econpapers || Download paper

  17. Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China. (2016). McAleer, Michael ; Chang, Chia-Lin ; Tian, Jiarong .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20160053.

    Full description at Econpapers || Download paper

  18. An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20160052.

    Full description at Econpapers || Download paper

  19. Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yanghuiting .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20160047.

    Full description at Econpapers || Download paper

  20. Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture. (2016). McAleer, Michael ; Chang, Chia-Lin.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20160046.

    Full description at Econpapers || Download paper

  21. A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices. (2016). McAleer, Michael ; Chang, Chia-Lin ; Allen, David ; Singh, Abhay K.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20160038.

    Full description at Econpapers || Download paper

  22. Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?. (2016). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20160006.

    Full description at Econpapers || Download paper

  23. Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events. (2016). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, A K.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:98037.

    Full description at Econpapers || Download paper

  24. An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors. (2016). McAleer, Michael ; Chang, Chia-Lin.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:93118.

    Full description at Econpapers || Download paper

  25. Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China. (2016). McAleer, Michael ; Chang, Chia-Lin ; Tian, J.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:93117.

    Full description at Econpapers || Download paper

  26. Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Y.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:93116.

    Full description at Econpapers || Download paper

  27. Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture. (2016). McAleer, Michael ; Chang, Chia-Lin.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:93115.

    Full description at Econpapers || Download paper

  28. A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices. (2016). McAleer, Michael ; Chang, Chia-Lin ; Allen, David ; Singh, AK.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:93112.

    Full description at Econpapers || Download paper

  29. How are VIX and Stock Index ETF Related?. (2016). McAleer, Michael ; Chang, Chia-Lin.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:79913.

    Full description at Econpapers || Download paper

  30. Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?. (2016). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:79731.

    Full description at Econpapers || Download paper

  31. Multivariate Volatility Impulse Response Analysis of GFC News Events. (2015). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1510.

    Full description at Econpapers || Download paper

  32. The Fundamental Equation in Tourism Finance. (2015). McAleer, Michael.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20150129.

    Full description at Econpapers || Download paper

  33. Multivariate Volatility Impulse Response Analysis of GFC News Events. (2015). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20150089.

    Full description at Econpapers || Download paper

  34. The Fundamental Equation in Tourism Finance. (2015). McAleer, Michael.
    In: JRFM.
    RePEc:gam:jjrfmx:v:8:y:2015:i:4:p:369-374:d:61108.

    Full description at Econpapers || Download paper

  35. The Fundamental Equation in Tourism Finance. (2015). McAleer, Michael.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:79221.

    Full description at Econpapers || Download paper

  36. Multivariate Volatility Impulse Response Analysis of GFC News Events. (2015). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, A K.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:78711.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-26 00:41:49 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.