Chia-Lin Chang

National Chung Hsing University - Department of Applied Economics, Department of Finance

Professor

Taichung, Taiwan

China

SCHOLARLY PAPERS

39

DOWNLOADS
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Top 892

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22,977

CITATIONS
Rank 15,021

SSRN RANKINGS

Top 15,021

in Total Papers Citations

24

Scholarly Papers (39)

1.

Risk Management of Risk Under the Basel Accord: Forecasting Value-at-Risk of VIX Futures

Number of pages: 31 Posted: 21 Feb 2011
National Chung Hsing University - Department of Applied Economics, Department of Finance, Complutense University of Madrid, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 1,900 (2,223)

Abstract:

Median strategy, Value-at-Risk (VaR), daily capital charges, violation penalties, optimizing strategy, aggressive risk management, conservative risk management, Basel II Accord, VIX futures, global financial crisis (GFC)

2.

Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets

Number of pages: 23 Posted: 12 May 2009
Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Faculty of Economics - Chiang Mai University
Downloads 1,112 (13,893)
Citation 1

Abstract:

Volatility spillovers, multivariate GARCH, conditional correlations, crude oil spot prices, spot returns, forward returns, futures returns

3.

Volatility Spillovers between Returns on Crude Oil Futures and Oil Company Stocks

Number of pages: 18 Posted: 22 May 2009
Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Faculty of Economics - Chiang Mai University
Downloads 1,035 (14,926)
Citation 1

Abstract:

Multivariate GARCH, Asymmetries, Volatility spillovers, Crude oil futures returns, Oil company stock returns

4.

Modeling Conditional Correlations for Risk Diversification in Crude Oil Markets

Number of pages: 26 Posted: 10 May 2009
Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Faculty of Economics - Chiang Mai University
Downloads 937 (17,243)
Citation 2

Abstract:

conditional correlations, crude oil spot prices, forward prices, futures prices, risk diversification

5.

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

Number of pages: 33 Posted: 05 Jan 2010
Roengchai Tansuchat, Chia-Lin Chang and Michael McAleer
Faculty of Economics - Chiang Mai University, National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 913 (17,243)
Citation 5

Abstract:

Multivariate GARCH, conditional correlations, crude oil prices, optimal hedge ratio, optimal portfolio weights, hedging strategies

6.

How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan

Number of pages: 18 Posted: 07 Jul 2009
Chia-Lin Chang, Philip Hans Franses and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 834 (22,454)

Abstract:

7.

Modeling the Effect of Oil Price on Global Fertilizer Prices

Number of pages: 36 Posted: 17 Sep 2010
affiliation not provided to SSRN, National Chung Hsing University - Department of Applied Economics, Department of Finance, National Chung Hsing University and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 826 (20,783)

Abstract:

Volatility, Global fertilizer price, Crude oil price, Non-renewable fertilizers, Structural breakpoint unit root test

8.

Estimating the Impact of Avian Flu on International Tourism Demand Using Panel Data

Number of pages: 20 Posted: 19 Mar 2009
Chaoyang University of Technology, National Chung Hsing University - Department of Applied Economics, Department of Finance, National Chung Hsing University, National Chung Hsing University - Department of Applied Economics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 808 (23,082)

Abstract:

Avian Flu, International Tourist Demand, Dynamic Panel Data Model, Fixed Effects

9.

Industrial Agglomeration, Geographic Innovation and Total Factor Productivity: The Case of Taiwan

Number of pages: 30 Posted: 11 Mar 2009
Chia-Lin Chang and Leslie T. Oxley
National Chung Hsing University - Department of Applied Economics, Department of Finance and University of Canterbury
Downloads 770 (23,542)
Citation 1

Abstract:

Industry agglomeration, Geographic innovation, Total factor productivity, Cluster, Research and Development

10.

A Panel Threshold Model of Tourism Specialization and Economic Development

Number of pages: 42 Posted: 01 Nov 2009
Chia-Lin Chang, Thanchanok Khamkaew and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance, Maejo University- Faculty of Economics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 732 (23,804)

Abstract:

international tourism, economic development, tourism specialization, threshold variable, panel data

11.

Asymmetric Adjustments in the Ethanol and Grains Markets

Number of pages: 39 Posted: 21 Dec 2010
National Chung Hsing University - Department of Applied Economics, Department of Finance, California State University, Los Angeles - College of Business & Economics, Montpellier Business School and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 722 (27,473)

Abstract:

12.

An Econometric Analysis of SARS and Avian Flu on International Tourist Arrivals to Asia

Number of pages: 28 Posted: 08 Mar 2009 Last Revised: 18 May 2009
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, National Chung Hsing University - Department of Applied Economics, Chaoyang University of Technology, National Chung Hsing University and National Chung Hsing University - Department of Applied Economics, Department of Finance
Downloads 702 (29,052)
Citation 1

Abstract:

SARS, Avian Flu, International Tourism, Static Fixed Effects Model, Dynamic Panel Data Model

13.

Causality Between Market Liquidity and Depth for Energy and Grains

Number of pages: 43 Posted: 18 May 2011
Middle East Technical University (METU), Montpellier Business School, National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 534 (40,827)

Abstract:

Causality, market liquidity, depth, energy, grains

14.

Conditional Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns

Number of pages: 44 Posted: 11 Jan 2010
Roengchai Tansuchat, Chia-Lin Chang and Michael McAleer
Faculty of Economics - Chiang Mai University, National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 531 (35,517)
Citation 2

Abstract:

Multivariate GARCH, volatility spillovers, conditional correlations, crude oil prices, spot, forward and futures prices , stock indices

15.

The Dynamics of Energy-Grain Prices with Open Interest

Number of pages: 35 Posted: 29 May 2011
Montpellier Business School, Drexel University - Bennett S. LeBow College of Business, National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 527 (41,457)

Abstract:

16.

Modelling Long Memory Volatility in Agricultural Commodity Futures Returns

Number of pages: 34 Posted: 24 Oct 2009
Roengchai Tansuchat, Chia-Lin Chang and Michael McAleer
Faculty of Economics - Chiang Mai University, National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 518 (35,851)

Abstract:

Long memory, agricultural commodity futures, fractional integration, asymmetric, conditional volatility

17.

Modelling International Tourist Arrivals and Volatility: An Application to Taiwan

Number of pages: 23 Posted: 09 Mar 2009 Last Revised: 18 Mar 2009
Chia-Lin Chang, Michael McAleer and Daniel J. Slottje
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Southern Methodist University (SMU) - Department of Economics
Downloads 517 (41,843)
Citation 3

Abstract:

asymmetry, conditional volatility, EGARCH, GARCH, GJR, heterogeneous autoregressive model, international tourism, international tourist arrivals, leverage, long memory

18.

Knowledge Sourcing and Firm Performance in an Industrializing Economy: The Case of Taiwan (1992-2003)

Number of pages: 39 Posted: 07 May 2009
Chia-Lin Chang and Stéphane Robin
National Chung Hsing University - Department of Applied Economics, Department of Finance and University of Strasbourg - Bureau of Economic Theory and Application (BETA)
Downloads 513 (42,530)

Abstract:

R&D, Manufacturing Industries, Newly Industrialized Countries, Technology Imports, Stochastic Frontier Estimation, Total Factor Productivity

19.

Modelling Short and Long Haul Volatility in Japanese Tourist Arrivals to New Zealand and Taiwan

Number of pages: 31 Posted: 11 Mar 2009
Chia-Lin Chang, Michael McAleer and Christine Lim
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and University of Waikato
Downloads 501 (44,330)
Citation 1

Abstract:

Tourist arrivals, risk, conditional volatility, asymmetric effect, leverage

20.

Are Forecast Updates Progressive?

Number of pages: 23 Posted: 14 Apr 2010
Chia-Lin Chang, Philip Hans Franses and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 443 (51,744)

Abstract:

Macro-economic forecasts, econometric models, intuition, initial forecast, primary forecast, revised forecast, actual value, progressive forecast updates, forecast errors.

21.

Risk Spillovers in Oil-Related CDS, Stock and Credit Markets

Number of pages: 42 Posted: 29 May 2011
Montpellier Business School, Drexel University - Bennett S. LeBow College of Business, National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 437 (52,745)

Abstract:

22.

Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations

Number of pages: 36 Posted: 02 Nov 2009
National Chung Hsing University - Department of Applied Economics, Department of Finance, Maejo University- Faculty of Economics, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Faculty of Economics - Chiang Mai University
Downloads 417 (53,143)

Abstract:

tourism demand, ASEAN, multivariate GARCH, volatility spillovers, interdependence, economic development

23.

Currency Hedging Strategies Using Dynamic Multivariate GARCH

Number of pages: 36 Posted: 02 Nov 2011 Last Revised: 14 Feb 2012
National Chung Hsing University - Department of Applied Economics, Department of Finance, Universidad Rey Juan Carlos and Complutense University of Madrid
Downloads 414 (46,018)
Citation 3

Abstract:

multivariate GARCH, conditional correlations, exchange rates, optimal hedge ratio, optimal portfolio weights, hedging strategies

24.

Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO

Number of pages: 37 Posted: 11 Mar 2009
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, National Chung Hsing University and National Chung Hsing University - Department of Applied Economics
Downloads 414 (57,120)

Abstract:

Hog prices, joining the WTO, conditional volatility models, asymmetry, leverage, moment conditions

25.

Great Expectatrics: Great Papers, Great Journals, Great Econometrics

Number of pages: 46 Posted: 01 Jun 2010
Chia-Lin Chang, Michael McAleer and Leslie T. Oxley
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and University of Canterbury
Downloads 410 (56,921)

Abstract:

Research Assessment Measures, Impact Factors, Immediacy, Eigenfactor Score, Article Influence, H-Index, C3PO, Zinfluence, PI-BETA

26.

Combining Non-Replicable Forecasts

Number of pages: 32 Posted: 03 Jun 2010
Chia-Lin Chang, Philip Hans Franses and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 405 (57,944)

Abstract:

Combined forecasts, efficient estimation, generated regressors, replicable forecasts, non-replicable forecasts, expert’s intuition

27.

Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan

Number of pages: 28 Posted: 14 Nov 2009
Chia-Lin Chang and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 374 (56,251)
Citation 1

Abstract:

Korean tourist arrivals, exchange rates, approximate price effects, global financial crisis, Asian economic and financial crises, GARCH, GJR, EGARCH, HAR, long memory, asymmetry, leverage

What Makes a Great Journal Great in Economics? The Singer Not the Song

Number of pages: 36 Posted: 08 Jul 2010
Chia-Lin Chang, Michael McAleer and Leslie T. Oxley
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and University of Canterbury
Downloads 331 (74,499)
Citation 2

Abstract:

Research assessment measures, impact factors, Immediacy, Eigenfactor, Article Influence, h-index, C3PO, Zinfluence, PI-BETA, STAR, IFI

What Makes a Great Journal Great in Economics? The Singer Not the Song

Journal of Economic Surveys, Vol. 25, Issue 2, pp. 326-361, 2011
Number of pages: 36 Posted: 07 Mar 2011
Chia-Lin Chang, Michael McAleer and Les Oxley
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and University of Canterbury - Economics and Finance
Downloads 2 (568,600)
Citation 2
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Abstract:

Article influence, C3PO, Eigenfactor, h-index, IFI, Immediacy, Impact factors, PI-BETA, Research assessment measures, STAR, Zinfluence

29.

Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns

Number of pages: 18 Posted: 01 Nov 2009
Maejo University- Faculty of Economics, Faculty of Economics - Chiang Mai University, National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 325 (70,530)

Abstract:

multivariate GARCH, volatility spillovers, conditional correlations, Asian rubber prices, spot returns, futures returns

30.

Globalization and Knowledge Spillover: International Direct Investment, Exports and Patents

Number of pages: 39 Posted: 16 Sep 2010
Chia-Lin Chang, Sung-Po Chen and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance, affiliation not provided to SSRN and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 315 (76,553)

Abstract:

International direct investment, Export, Triadic Patent, Outward Direct Investment, Inward Direct Investment, R&D, negative binomial model

31.

Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates

Number of pages: 45 Posted: 16 Feb 2010
Chia-Lin Chang and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 256 (87,027)

Abstract:

International tourist arrivals, exchange rates, global financial crisis, GARCH, GJR, EGARCH, HAR, approximate long memory, temporal aggregation, spatial aggregation, daily effects, weekly effects, asymmetry, leverage

32.

IV Estimation of a Panel Threshold Model of Tourism Specialization and Economic Development

Number of pages: 49 Posted: 05 Apr 2010
Chia-Lin Chang, Thanchanok Khamkaew and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance, Maejo University- Faculty of Economics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 255 (83,749)

Abstract:

International tourism, economic development, tourism specialization, threshold regression, instrumental variables, panel data, cross-sectional data

33.

Estimating Price Effects in an Almost Ideal Demand Model of Outbound Thai Tourism to East Asia

Number of pages: 43 Posted: 11 Apr 2010
Chia-Lin Chang, Thanchanok Khamkaew and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance, Maejo University- Faculty of Economics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 225 (102,576)
Citation 1

Abstract:

Almost Ideal Demand (AID) Model, Tourism Demand, Price Competitiveness, Compensated Prices, Uncompensated Prices, Substitutes, Complements, Budget Shares, Error Correction, Monthly Frequency

34.

A Stochastic Dominance Approach to Financial Risk Management Strategies

Journal of Econometrics, Forthcoming
Number of pages: 14 Posted: 02 Jul 2015
National Chung Hsing University - Department of Applied Economics, Department of Finance, Complutense University of Madrid, Emory University and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 46 (210,055)

Abstract:

Stochastic dominance, Value-at-Risk, daily capital charges, violation penalties, optimizing strategy, Basel III Accord, VIX futures, global financial crisis

35.

The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH

Number of pages: 10 Posted: 21 Jul 2017
Chia-Lin Chang and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 0 (485,985)

Abstract:

Conditional volatility models, random coefficient complex nonlinear moving average process, EGARCH, asymmetry, leverage, regularity condition

36.

The Fiction of Full BEKK

Number of pages: 10 Posted: 20 Jul 2017
Chia-Lin Chang and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 0 (480,860)

Abstract:

Random coefficient stochastic process, Off-diagonal parametric restrictions, Diagonal BEKK, Full BEKK, Regularity conditions, Asymptotic properties, Conditional volatility, Univariate and multivariate models.

37.

Realized Stochastic Volatility with General Asymmetry and Long Memory

TI 2017-038/III Tinbergen Institute Discussion Paper
Number of pages: 38 Posted: 19 Apr 2017
Manabu Asai, Chia-Lin Chang and Michael McAleer
Soka University - Faculty of Economics, National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 0 (227,797)

Abstract:

Stochastic Volatility; Realized Measure; Long Memory; Asymmetry; Whittle likelihood

38.

A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices

Number of pages: 24 Posted: 03 Dec 2016
School of Mathematics and Statistics, The University of Sydney, National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Edith Cowan University
Downloads 0 (211,445)

Abstract:

Bio-fuels , time series, cointegration , Markov-switching , VECM, Impulse Responses, Volatility

39.

Choosing Expected Shortfall Over VaR in Basel III Using Stochastic Dominance

USC-INET Research Paper No. 16-05
Number of pages: 42 Posted: 13 Mar 2016
National Chung Hsing University - Department of Applied Economics, Department of Finance, Complutense University of Madrid, Emory University, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 0 (195,732)

Abstract:

Stochastic dominance, Welfare, Value-at-Risk, Expected Shortfall, Optimizing strategy, Basel III Accord