Chia-Lin Chang

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

Professor

Taichung, Taiwan

China

SCHOLARLY PAPERS

50

DOWNLOADS
Rank 993

SSRN RANKINGS

Top 993

in Total Papers Downloads

24,736

CITATIONS
Rank 14,945

SSRN RANKINGS

Top 14,945

in Total Papers Citations

24

Scholarly Papers (50)

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 3,468 (2,730)

Abstract:

Loading...

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 1,190 (16,188)
Citation 1

Abstract:

Loading...

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 1,139 (17,314)
Citation 1

Abstract:

Loading...

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

4.

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 1,036 (19,918)
Citation 5

Abstract:

Loading...

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

5.

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 1,027 (20,162)
Citation 2

Abstract:

Loading...

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

6.

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 907 (24,266)

Abstract:

Loading...

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

7.

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 843 (26,982)

Abstract:

Loading...

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 840 (27,101)

Abstract:

Loading...

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

9.

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 836 (27,296)

Abstract:

Loading...

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

10.

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 835 (27,342)
Citation 1

Abstract:

Loading...

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

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 738 (32,384)

Abstract:

Loading...

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 710 (34,128)
Citation 1

Abstract:

Loading...

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

13.

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 633 (39,794)

Abstract:

Loading...

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

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 616 (41,277)
Citation 2

Abstract:

Loading...

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

15.

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 558 (46,985)

Abstract:

Loading...

Causality, market liquidity, depth, energy, grains

16.

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 547 (48,195)

Abstract:

Loading...

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 543 (48,609)
Citation 3

Abstract:

Loading...

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 530 (50,182)

Abstract:

Loading...

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

19.

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 524 (50,936)
Citation 3

Abstract:

Loading...

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

20.

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 517 (51,777)
Citation 1

Abstract:

Loading...

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

21.

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 454 (60,949)

Abstract:

Loading...

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

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 454 (60,949)

Abstract:

Loading...

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

23.

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 446 (62,272)

Abstract:

Loading...

24.

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 444 (62,603)
Citation 1

Abstract:

Loading...

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

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 423 (66,381)

Abstract:

Loading...

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

26.

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 419 (67,106)

Abstract:

Loading...

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

27.

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 413 (68,317)

Abstract:

Loading...

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

28.

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 355 (81,611)

Abstract:

Loading...

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

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 335 (86,603)
Citation 2

Abstract:

Loading...

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 (651,106)
Citation 2
  • Add to Cart

Abstract:

Loading...

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

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 334 (87,489)

Abstract:

Loading...

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

31.

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 309 (95,397)

Abstract:

Loading...

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

32.

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 302 (97,773)

Abstract:

Loading...

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

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 263 (113,279)
Citation 1

Abstract:

Loading...

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

34.

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 172 (170,134)

Abstract:

Loading...

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

35.

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 119 (229,291)

Abstract:

Loading...

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

36.

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 117 (232,209)

Abstract:

Loading...

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

37.

Management Information, Decision Sciences, and Financial Economics: A Connection

Tinbergen Institute Discussion Paper 2018-004/III
Number of pages: 33 Posted: 25 Jan 2018
Chia-Lin Chang, Michael McAleer and Wing-Keung Wong
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Asia University, Department of Finance
Downloads 110 (242,744)

Abstract:

Loading...

management information, decision sciences, financial economics, theoretical models, econometric models

38.

Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections

Tinbergen Institute Discussion Paper 2018-024/III
Number of pages: 60 Posted: 19 Mar 2018
Chia-Lin Chang, Michael McAleer and Wing-Keung Wong
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Asia University, Department of Finance
Downloads 108 (245,934)

Abstract:

Loading...

decision sciences, economics, finance, business, computing, and big data, theoretical models, econometric and statistical models, applications

39.

Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections

Tinbergen Institute Discussion Paper 2018-011/III
Number of pages: 57 Posted: 15 Feb 2018
Chia-Lin Chang, Michael McAleer and Wing-Keung Wong
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Asia University, Department of Finance
Downloads 105 (250,852)

Abstract:

Loading...

Big Data, Computational Science, Economics, Finance, Management, Theoretical Models, Econometric and Statistical Models, Applications

40.

Pricing Carbon Emissions in China

Tinbergen Institute Discussion Paper 2018-001/III
Number of pages: 58 Posted: 17 Jan 2018
Chia-Lin Chang, Te-Ke Mai and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance, National Tsing Hua University and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 105 (250,852)

Abstract:

Loading...

Pricing Chinese Carbon Emissions, National Pricing Policy, Energy, Volatility, Energy Finance, Provincial Decisions

41.

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 105 (250,852)

Abstract:

Loading...

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

42.

An Event Study of Chinese Tourists to Taiwan

Tinbergen Institute Discussion Paper 2018-003/III
Number of pages: 98 Posted: 17 Jan 2018
Chia-Lin Chang, Shu-Han Hsu and Michael McAleer
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 103 (254,195)

Abstract:

Loading...

Event study, Abnormal rate of change, Chinese tourists, OLS, GARCH, GJR, EGARCH, Tourism finance.

43.

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 103 (254,195)

Abstract:

Loading...

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

44.

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 102 (255,924)

Abstract:

Loading...

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

45.

A Statistical Analysis of Industrial Penetration and Internet Intensity in Taiwan

Tinbergen Institute Discussion Paper 2016-031/III
Number of pages: 51 Posted: 17 Jan 2018
Chia-Lin Chang, Michael McAleer and Yu-Chieh Wu
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and National Chung Hsing University
Downloads 100 (259,371)

Abstract:

Loading...

Industrial penetration, Internet intensity, Sample selection, Incidental truncation

46.

The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions

Number of pages: 26 Posted: 07 Mar 2018
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 94 (270,002)

Abstract:

Loading...

Random Coefficient Stochastic Process, Off-Diagonal Parametric Restrictions, Diagonal BEKK, Full BEKK, Regularity Conditions, Asymptotic Properties, Conditional Volatility, Univariate and Multivariate Models, Fossil Fuels and Carbon Emissions

47.

Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs

Tinbergen Institute Discussion Paper 2018-052/III
Number of pages: 57 Posted: 19 Jun 2018
Chia-Lin Chang, Michael McAleer and Yu-Ann Wang
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and National Chung Hsing University
Downloads 84 (289,819)

Abstract:

Loading...

Renewable Energy, Latent Volatility, Granger Causality, Co-volatility Spillovers, Solar, Wind, Water, Nuclear Power

48.

Establishing National Carbon Emission Prices for China

Tinbergen Institute Discussion Paper 2018-028/III
Number of pages: 59 Posted: 09 Apr 2018
Chia-Lin Chang, Te-Ke Mai and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance, National Tsing Hua University and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 77 (305,183)

Abstract:

Loading...

Pricing Chinese Carbon Emissions, National Pricing Policy, Energy, Volatility, Energy Finance, Provincial Decisions

49.

Risk Spillovers in Returns for Chinese and International Tourists to Taiwan

Tinbergen Institute Discussion Paper 2018-031/III
Number of pages: 43 Posted: 11 Apr 2018
Chia-Lin Chang, Shu-Han Hsu and Michael McAleer
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 73 (314,737)

Abstract:

Loading...

Risk spillovers, International tourism arrivals, Chinese tourist arrivals, Group tourists, Individual tourists, Medical tourists, Co-volatility effects, Diagonal BEKK model

50.

Asymmetric Risk Impacts of Chinese Tourists to Taiwan

Tinbergen Institute Discussion Paper 2018-047/III
Number of pages: 43 Posted: 30 May 2018
Chia-Lin Chang, Shu-Han Hsu and Michael McAleer
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 69 (324,566)

Abstract:

Loading...

asymmetric risk, leverage, risk persistence, tourist revenues, conditional volatility models, Heterogeneous AutoRegressive (HAR) models