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Citations for "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH"

by Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat

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  1. Chia-Lin Chang & Hui-Kuang Hsu & Michael McAleer, 2013. "Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism," Tinbergen Institute Discussion Papers 13-008/III, Tinbergen Institute.
  2. Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about the Dynamic Conditional Correlation Representation," Tinbergen Institute Discussion Papers 13-078/III, Tinbergen Institute.
  3. Chia-Lin Chang & Hui-Kuang Hsu & Michael McAleer, 2013. "Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism," Tinbergen Institute Discussion Papers 13-008/III, Tinbergen Institute.
  4. Chia-Lin Chang & Hui-Kuang Hsu & Michael McAleer, 2014. "A Tourism Conditions Index," Tinbergen Institute Discussion Papers 14-007/III, Tinbergen Institute.
  5. Mihaela NICOLAU & Giulio PALOMBA & Ilaria TRAINI, 2013. "Are Futures Prices Influenced by Spot;Prices or Vice-versa? An Analysis of Crude;Oil, Natural Gas and Gold Markets," Working Papers 394, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  6. Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about DCC," Tinbergen Institute Discussion Papers 13-048/III, Tinbergen Institute.
  7. Alexander, Carol & Prokopczuk, Marcel & Sumawong, Anannit, 2013. "The (de)merits of minimum-variance hedging: Application to the crack spread," Energy Economics, Elsevier, vol. 36(C), pages 698-707.
  8. Yen-Hsien Lee & Ya-Ling Huang & Chun-Yu Wu, 2014. "Dynamic Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns: The Implications for Optimal Portfolio Construction," International Journal of Energy Economics and Policy, Econjournals, vol. 4(3), pages 327-336.
  9. Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral, 2013. "Risk Modelling and Management: An Overview," Tinbergen Institute Discussion Papers 13-085/III, Tinbergen Institute, revised 08 Jul 2013.
  10. Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2013. "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," MPRA Paper 50940, University Library of Munich, Germany, revised 23 Oct 2013.
  11. El Hedi Arouri, Mohamed & Lahiani, Amine & Nguyen, Duc Khuong, 2015. "World gold prices and stock returns in China: Insights for hedging and diversification strategies," Economic Modelling, Elsevier, vol. 44(C), pages 273-282.
  12. Lv, Xiaodong & Shan, Xian, 2013. "Modeling natural gas market volatility using GARCH with different distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(22), pages 5685-5699.
  13. Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about the Dynamic Conditional Correlation Representation," Tinbergen Institute Discussion Papers 13-078/III, Tinbergen Institute.
  14. David C Broadstock & Hong Cao & Dayong Zhang, 2012. "Oil Shocks and their Impact on Energy Related Stocks in China," Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS) 137, Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey.
  15. Charalampous, Georgios & Madlener, Reinhard, 2013. "Risk Management and Portfolio Optimization for Gas- and Coal-fired Power Plants in Germany: A Multivariate GARCH Approach," FCN Working Papers 23/2013, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
  16. Chia-Lin Chang & Hui-Kuang Hsu & Michael McAleer, 2014. "A Tourism Conditions Index," Tinbergen Institute Discussion Papers 14-007/III, Tinbergen Institute.
  17. John Cotter & Jim Hanly, 2014. "Performance of Utility Based Hedges," Working Papers 201404, Geary Institute, University College Dublin.
  18. Chang, C-L. & Allen, D.E. & McAleer, M.J. & Pérez-Amaral, T., 2013. "Risk Modelling and Management: An Overview," Econometric Institute Research Papers EI 2013-22, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  19. Khalifa, Ahmed A.A. & Hammoudeh, Shawkat & Otranto, Edoardo, 2014. "Extracting portfolio management strategies from volatility transmission models in regime-changing environments: Evidence from GCC and global markets," Economic Modelling, Elsevier, vol. 41(C), pages 365-374.
  20. Matteo Manera & Marcella Nicolini & Ilaria Vignati, 2012. "Returns in commodities futures markets and financial speculation: a multivariate GARCH approach," Quaderni di Dipartimento 170, University of Pavia, Department of Economics and Quantitative Methods.
  21. Chang, Chia-Lin & Hsu, Hui-Kuang & McAleer, Michael, 2013. "Is small beautiful? Size effects of volatility spillovers for firm performance and exchange rates in tourism," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 519-534.
  22. Chang, Chia-Lin & González-Serrano, Lydia & Jimenez-Martin, Juan-Angel, 2013. "Currency hedging strategies using dynamic multivariate GARCH," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 164-182.
  23. Aguilar, Mike & Hill, Jonathan B., 2015. "Robust score and portmanteau tests of volatility spillover," Journal of Econometrics, Elsevier, vol. 184(1), pages 37-61.
  24. Marco Jacopo Lombardi, 2013. "On the correlation between commodity and equity returns: implications for portfolio allocation," BIS Working Papers 420, Bank for International Settlements.
  25. Arfaoui, Mongi & Ben Rejeb, Aymen, 2015. "Return dynamics and volatility spillovers between FOREX and MENA stock markets: what to remember for portfolio choice?," MPRA Paper 61520, University Library of Munich, Germany.
  26. Suenaga, Hiroaki, 2013. "Measuring bias in a term-structure model of commodity prices through the comparison of simultaneous and sequential estimation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 53-66.
  27. Walid Mensi & Shawkat Hammoudeh & Duc Khuong Nguyen & Seong-Min Yoon, 2014. "Dynamic spillovers among major energy and cereal commodity prices," Working Papers 2014-160, Department of Research, Ipag Business School.
  28. Turhan, M. Ibrahim & Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk, 2014. "A view to the long-run dynamic relationship between crude oil and the major asset classes," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 286-299.
  29. Wang, Yudong & Wu, Chongfeng, 2012. "Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?," Energy Economics, Elsevier, vol. 34(6), pages 2167-2181.
  30. Arreola Hernandez, Jose, 2014. "Are oil and gas stocks from the Australian market riskier than coal and uranium stocks? Dependence risk analysis and portfolio optimization," Energy Economics, Elsevier, vol. 45(C), pages 528-536.
  31. Mehmet Balcılar & Rıza Demirer & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Risk Spillovers across the Energy and Carbon Markets and Hedging Strategies for Carbon Risk," Working Papers 2014-552, Department of Research, Ipag Business School.
  32. Асатуров К.Г. & Теплова Т.В., 2014. "Построение Коэффициентов Хеджирования Для Высоколиквидных Акций Российского Рынка На Основе Моделей Класса Garch," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 50(1), pages 37-54, январь.
  33. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2015. "Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate," Energy Economics, Elsevier, vol. 48(C), pages 46-60.
  34. Revoredo-Giha, Cesar & Zuppiroli, Marco, 2014. "Hedging effectiveness of European wheat futures markets," 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia 182948, European Association of Agricultural Economists.
  35. Duc Khuong Nguyen & Ricardo M. Sousa & Gazi Salah Uddin, 2014. "Testing for asymmetric causality from U.S. equity returns to commodity futures returns," Working Papers 2014-545, Department of Research, Ipag Business School.
  36. Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about DCC," Tinbergen Institute Discussion Papers 13-048/III, Tinbergen Institute.
  37. Marco J. Lombardi & Francesco Ravazzolo, 2012. "Oil price density forecasts: exploring the linkages with stock markets," Working Paper 2012/24, Norges Bank.
  38. Jouini, Jamel, 2013. "Return and volatility interaction between oil prices and stock markets in Saudi Arabia," Journal of Policy Modeling, Elsevier, vol. 35(6), pages 1124-1144.
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