Roengchai Tansuchat

Faculty of Economics - Chiang Mai University

Associate Professor

Thailand

SCHOLARLY PAPERS

10

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Top 13,845

in Total Papers Downloads

7,317

TOTAL CITATIONS
Rank 30,695

SSRN RANKINGS

Top 30,695

in Total Papers Citations

62

Scholarly Papers (10)

1.

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, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Faculty of Economics - Chiang Mai University
Downloads 1,275 (33,617)
Citation 13

Abstract:

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

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, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Faculty of Economics - Chiang Mai University
Downloads 1,256 (34,340)
Citation 2

Abstract:

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

3.

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 and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 1,200 (36,672)
Citation 26

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

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, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Faculty of Economics - Chiang Mai University
Downloads 1,115 (40,858)
Citation 2

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

5.

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 and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 789 (65,914)
Citation 11

Abstract:

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

6.

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 and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 676 (80,533)
Citation 6

Abstract:

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

7.

Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations

Number of pages: 36 Posted: 02 Nov 2009
National Chung Hsing University, Maejo University- Faculty of Economics, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Faculty of Economics - Chiang Mai University
Downloads 518 (112,738)
Citation 2

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

8.

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 and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 397 (154,407)

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

9.

Portfolio Optimization of Global Reits Returns: High-Dimensional Copula-Based Approach

Proceedings of the 18th International Academic Conference, London. International Institute of Social and Economic Sciences (IISES): pp. 698 - 709. DOI: 10.20472/IAC.2015.018.122. ISBN 978-80-87927-11-3
Number of pages: 12 Posted: 06 Mar 2017 Last Revised: 08 Mar 2017
Roengchai Tansuchat
Faculty of Economics - Chiang Mai University
Downloads 91 (581,862)

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REITs, Portfolio Optimization, Multivariate t Copula, CVaR

10.

The Analysis of Value at Risk for Precious Metal Returns by Applying Extreme Value Theory, Copula Model and GARCH Model

International Journal of Applied Business and Economic Research. 24, 2, p:1011 - 1025.
Posted: 27 Dec 2016
Kritsana Khemawanit and Roengchai Tansuchat
Faculty of Economics - Chiang Mai University and Faculty of Economics - Chiang Mai University

Abstract:

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Value at Risk, Precious metal price, GARCH-EVT-Copula, Portfolio Optimization