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Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2015). McAleer, Michael ; Li, Yong ; Chang, Chia-Lin ; Chang, C-L., .
In: Econometric Institute Research Papers.
RePEc:ems:eureir:78349.

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Cited: 35

Citations received by this document

Cites: 41

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Cocites: 50

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  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.

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  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.

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  3. Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs. (2018). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yu-Ann.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20180052.

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  4. Risk Spillovers in Returns for Chinese and International Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, Shu-Han.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20180031.

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  5. 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.

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  6. 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.

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  7. Risk Spillovers in Returns for Chinese and International Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, S.-H., ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:105884.

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  8. 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.

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  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: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20170051.

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

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  11. 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.

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  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, Guangdong .
    In: Sustainability.
    RePEc:gam:jsusta:v:9:y:2017:i:10:p:1789-:d:113954.

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  13. 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.

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

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  15. 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.

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  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.

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  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.

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

    Full description at Econpapers || Download paper

  32. 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

  33. 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

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

    Full description at Econpapers || Download paper

  35. 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

References

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  32. Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix). (2015). Sanhaji, Bilel ; PEGUIN-FEISSOLLE, Anne.
    In: AMSE Working Papers.
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  33. How smooth is the stock market integration of CEE-3?. (2014). Lyócsa, Štefan ; Baumohl, Eduard ; Lyocsa, Tefan.
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2014-1079.

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  34. A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process. (2014). McAleer, Michael ; Hafner, Christian.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20140087.

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  35. Dynamic spanning trees in stock market networks: The case of Asia-Pacific. (2014). Tabak, Benjamin ; Sensoy, Ahmet ; Åžensoy, Ahmet.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:414:y:2014:i:c:p:387-402.

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  36. Emerging markets in the global economic network: Real(ly) decoupling?. (2014). Trancoso, Tiago.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:395:y:2014:i:c:p:499-510.

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  37. A comparative analysis of the dynamic relationship between oil prices and exchange rates. (2014). Turhan, Ibrahim ; Sensoy, Ahmet ; Hacihasanoglu, Erk ; Åžensoy, Ahmet.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:32:y:2014:i:c:p:397-414.

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  38. Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market: The case of Turkey. (2014). Sobaci, Cihat ; Sensoy, Ahmet ; Åžensoy, Ahmet.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:43:y:2014:i:c:p:448-457.

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  39. Dynamic relationship between Turkey and European countries during the global financial crisis. (2014). Soytas, Ugur ; Sensoy, Ahmet ; Hacihasanoglu, Erk ; Åžensoy, Ahmet ; Yildirim, Irem .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:40:y:2014:i:c:p:290-298.

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  40. Modeling conditional covariance for mixed-asset portfolios. (2014). Zhou, Jian.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:40:y:2014:i:c:p:242-249.

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  41. Bayesian estimation of a dynamic conditional correlation model with multivariate Skew-Slash innovations. (2014). Galeano, Pedro ; de la Fuente, Cristina Garcia ; Wiper, Michael P..
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws141711.

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  42. The uncertainty of conditional returns, volatilities and correlations in DCC models. (2014). Ruiz, Esther ; Fresoli, Diego .
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws140202.

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  43. A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process. (2014). McAleer, Michael ; Hafner, Christian.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:14/19.

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  44. Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity. (2014). Quaedvlieg, Rogier ; Laurent, Sébastien ; Boudt, Kris ; Lunde, Asger.
    In: CREATES Research Papers.
    RePEc:aah:create:2014-05.

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  45. Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models. (2013). Lucas, Andre ; Blasques, Francisco ; Silde, Erkki .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130097.

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  46. Ten Things you should know about the Dynamic Conditional Correlation Representation. (2013). McAleer, Michael ; Caporin, Massimiliano.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130078.

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  47. Ten Things you should know about DCC. (2013). McAleer, Michael ; Caporin, Massimiliano.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130048.

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  48. Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises. (2013). Jimenez-Martin, Juan ; Caporin, Massimiliano ; Gonzalez-Serrano, Lydia .
    In: MPRA Paper.
    RePEc:pra:mprapa:50940.

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  49. Dynamic relationship between precious metals. (2013). Sensoy, Ahmet ; Åžensoy, Ahmet.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:38:y:2013:i:4:p:504-511.

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  50. On the Stationarity of Dynamic Conditional Correlation Models. (2013). Malongo, Hassan ; Fermanian, Jean-David.
    In: Working Papers.
    RePEc:crs:wpaper:2013-26.

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