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Autor Chang, Chia-Lin |
Documentos disponibles escritos por este autor (88)
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Chang, Chia-Lin ; McAleer, Michael | 2011-06Tourism is a major source of service receipts for many countries, including Taiwan. The two leading tourism countries for Taiwan are Japan and USA, which are sources of short and long haul tourism, respectively. As a strong domestic currency can[...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Wang, Chien-Hsun | Facultad de Ciencias Económicas. Instituto Complutense de Análisis Económico (ICAE) | 2016It is well known that that there is an intrinsic link between the financial and energy sectors, which can be analyzed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other’s subseq[...]![]()
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Chang, Chia-Lin ; Hsu, Shu-Han ; McAleer, Michael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2018The number of Chinese tourists visiting Taiwan has been closely related to the political relationship across the Taiwan Strait. The occurrence of political events and disasters or accidents have had, and will continue to have, a huge impact on t[...]![]()
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It is common practice to evaluate fixed-event forecast revisions in macroeconomics by regressing current forecast revisions on one-period lagged forecast revisions. Under weak-form (forecast) efficiency, the correlation between the current and o[...]![]()
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Franses, Philip Hans ; Chang, Chia-Lin ; McAleer, Michael | 2011-06It is common practice to evaluate fixed-event forecast revisions in macroeconomics by regressing current revisions on one-period lagged revisions. Under weak-form efficiency, the correlation between the current and one-period lagged revisions sh[...]![]()
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Chang, Chia-Lin ; Franses, Philip Hans ; McAleer, Michael | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-03Many macro-economic forecasts and forecast updates, such as those from the IMF and OECD, typically involve both a model component, which is replicable, as well as intuition (namely, expert knowledge possessed by a forecaster), which is non-repli[...]![]()
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Caporin, Massimiliano ; Chang, Chia-Lin ; McAleer, Michael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2016-02The energy sector is one of the most important in the world, so that time series fluctuations in leading energy sources have been analysed widely. As the leading energy commodities are traded on international stock exchanges, the analysis of the[...]![]()
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Chang, Chia-Lin ; Chen, Li-Hsueh ; Hammoudeh, Shawkat ; McAleer, Michael | 2012-04This paper examines the long- and short-run asymmetric adjustments and pairs trades for nine pairs of spot and futures prices, itemized as three own pairs for three different bio-fuel ethanol types, three own pairs for three related agricultural[...]![]()
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Chang, Chia-Lin ; Hsu, Shu-Han ; McAleer, Michael | 2018-05Since 2008, when Taiwan’s President Ma Ying-Jeou relaxed the Cross-Strait policy, China has become Taiwan’s largest source of international tourism. In order to understand the risk persistence of Chinese tourists, the paper investigates the shor[...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Wong, Wing-Keung | 2015-09This Opinion article briefly reviews some of the literature in behavioural and financial economics that are related to health & medical economics. We then discuss some of the research on behavioural and financial economics that could be extended[...]![]()
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Chang, Chia-Lin ; McAleer, Michael | 2015-03Virtually all rankings of journals are based on citations, including self citations by journals and individual academics. The gold standard for bibliometric rankings based on citations data is the widely-used Thomson Reuters Web of Science (2014[...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Wong, Wing-Keung | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2018The paper provides a review of the literature that connects Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology, and discusses some research that is related to the seven disciplines. Academics could develop[...]![]()
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Sari, Ramazan ; Hammoudeh, Shawkat ; Chang, Chia-Lin ; McAleer, Michael | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-04This paper examines the roles of futures prices of crude oil, gasoline, ethanol, corn, soybeans and sugar in the energy-grain nexus. It also investigates the own- and cross-market impacts for lagged grain trading volume and open interest in the [...]![]()
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Chang, Chia-Lin ; Ilomäki, Jukka ; Laurila, Hannu ; McAleer, Michael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2019The paper investigates the effects of central bank interventions in financial markets, composed of asymmetrically-informed rational investors and noise traders. If the central bank suspects a bubble, it should lift the real risk-free rate to def[...]![]()
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Chang, Chia-Lin ; McAleer, Michael | 2011-07The paper analyses the leading international journals in Tourism and Hospitality Research using quantifiable Research Assessment Measures (RAMs), highlights the similarities and differences in alternative RAMs, shows that several RAMs capture si[...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Oxley, Les | 2013-03This paper examines the issue of coercive journal self citations and the practical usefulness of two recent journal performance metrics, namely the Eigenfactor score, which may be interpreted as measuring “Journal Influence”, and the Article Inf[...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Tansuchat, Roengchai | 2011-11This paper investigates the conditional correlations and volatility spillovers between the crude oil and financial markets, based on crude oil returns and stock index returns. Daily returns from 2 January 1998 to 4 November 2009 of the crude oil[...]![]()
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Chang, Chia-Lin ; Hsieh, Tai-Lin ; McAleer, Michael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2017As stock market indexes are not tradeable, the importance and trading volume of Exchange Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a str[...]![]()
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Chang, Chia-Lin ; Hsieh, Tai-Lin ; McAleer, Michael | 2018-09As stock market indexes are not tradeable, the importance and trading volume of Exchange Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a str[...]![]()
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Chang, Chia-Lin ; González Serrano, Lydia ; Jiménez-Martín, Juan-Ángel | 2012-02This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of [...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Wong, Wing-Keung | 2018-03This paper provides a review of some connecting literature in Decision Sciences, Economics, Finance, Business, Computing, and Big Data. We then discuss some research that is related to the six cognate disciplines. Academics could develop theoret[...]![]()
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Chang, Chia-Lin ; McAleer, Michael | 2014-12One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and[...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Wong, Wing-Keung | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2019This note is concerned with an editorial statement of intent for Advances in Decision Sciences (ADS), which was founded in 1997, so that 2918 marks the 22nd Anniversary of the journal. The note discusses the aims and scope of ADS in Section 1, i[...]![]()
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Chang, Chia-Lin ; Mai, Te-Ke ; McAleer, Michael | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2018The purpose of the paper is to establish national carbon emissions prices for the People’s Republic of China, which is one of the world’s largest producers of carbon emissions. Several measures have been undertaken to address climate change in C[...]![]()
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Chang, Chia-Lin ; Khamkaew, Thanchanok ; McAleer, Michael | 2012-01-10This paper analyzes the responsiveness of Thai outbound tourism to East Asian destinations, namely China, Hong Kong, Japan, Taiwan and Korea, to changes in effective relative price of tourism, total real total tourism expenditure, and one-off ev[...]![]()
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Chang, Chia-Lin ; Franses, Philip Hans ; McAleer, Michael | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-04Macroeconomic forecasts are often based on the interaction between econometric models and experts. A forecast that is based only on an econometric model is replicable and may be unbiased, whereas a forecast that is not based only on an econometr[...]![]()
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Chaipornkaew, Piyanuch ; Prexawanprasut, Takorn ; Chang, Chia-Lin ; McAleer, Michael | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2017One of the most powerful internet communication channels is email. As employees and their clients communicate primarily via email, much crucial business data is conveyed via email content. Where businesses are understandably concerned, they need[...]![]()
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Chang, Chia-Lin ; Chen, Sung-Po ; McAleer, Michael | 2012-06This paper examines the impact of the three main channels of international trade on domestic innovation, namely outward direct investment (ODI), inward direct investment (IDI), and exports. The number of Triadic patents serves as a proxy for inn[...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Oxley, Les | 2011-05The paper discusses alternative Research Assessment Measures (RAM), with an emphasis on the Thomson Reuters ISI Web of Science database (hereafter ISI). Some analysis and comparisons are also made with data from the SciVerse Scopus database. The[...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Oxley, Les | 2011-06The paper analyses the leading journals in Neurosciences using quantifiable Research Assessment Measures (RAM), highlights the similarities and differences in alternative RAM, shows that several RAM capture similar performance characteristics of[...]![]()
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Chang, Chia-Lin ; Hsieh, Tai-Lin ; McAleer, Michael | 2016As stock market indexes are not tradeable, the importance and trading volume of Exchange Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a str[...]![]()
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Chang, Chia-Lin ; McAleer, Michael | 2011-12The Thomson Reuters ISI Web of Science citations database (hereafter ISI) category of Economics has one of the largest numbers of journals, at 304, of any ISI discipline, and hence has wide coverage. The paper analyses the leading international [...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Wu, Yu-Chieh | 2015-08Taiwan has been hailed as a world leader in the development of global innovation and industrial clusters for the past decade. This paper investigates the effects of industrial agglomeration on the use of the internet and internet intensity for T[...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Wu, Yu-Chieh | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2016This paper investigates the effect of industrial penetration and internet intensity for Taiwan manufacturing firms, and analyses whether the relationships are substitutes or complements. The sample observations are based on 153,081 manufacturing[...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Tang, Ju-Ting | 2013-07With the advent of globalization, economic and financial interactions among countries have become widespread. Given technological advancements, the factors of production can no longer be considered to be just labor and capital. In the pursuit of[...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Tang, Ju-Ting | 2015-05With the advent of globalization, economic and financial interactions among countries have become widespread. Given technological advancements, the factors of production can no longer be considered to be just labor and capital. In the pursuit of[...]![]()
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Chang, Chia-Lin ; Hsu, Hui-Kuang ; McAleer, Michael | 2013-01This paper examines the size effects of volatility spillovers for firm performance and exchange rates with asymmetry in the Taiwan tourism industry. The analysis is based on two conditional multivariate models, BEKK-AGARCH and VARMA-AGARCH, in t[...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Tang, Ju-Ting | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2017With the advent of globalization, economic and financial interactions among countries have become widespread. Given technological advancements, the factors of production can no longer be considered to be just labor and capital. In the pursuit of[...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Oxley, Les | 2012-06This paper examines the practical usefulness of two new journal performance metrics, namely the Eigenfactor score, which may be interpreted as measuring “Journal Influence”, and the Article Influence score, using the Thomson Reuters ISI Web of S[...]![]()
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Chang, Chia-Lin ; McAleer, Michael | 2014-05The paper is concerned with ranking academic journal quality and research impact in Finance, based on the widely-used Thomson Reuters ISI (2013) Web of Science citations database (hereafter ISI). The paper analyses the 89 leading international j[...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Wang, Yu-Ann | 2018The purpose of the paper is to examine latent volatility Granger causality for four renewable energy Exchange Traded Funds (ETFs) and crude oil ETF (USO), namely solar (TAN), wind (FAN), water (PIO), and nuclear (NLR). Data on the renewable ener[...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Wong, Wing-Keung | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2016-05This paper provides a brief review of the connecting literature in management science, economics and finance, and discusses some research that is related to the three disciplines. Academics could develop theoretical models and subsequent econome[...]![]()
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Chang, Chia-Lin ; Ilomäki, Jukka ; Laurila, Hannu ; McAleer, Michael | 2018-09The paper examines whether the moving average (MA) technique can beat random market timing in traditional and newer branches of an industrial sector. The sector considered is the energy sector, divided into balanced stock portfolios of fossil an[...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Tian, Jiarong | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2016The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers [...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Slottje, Dan | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2009-02International tourism is a major source of export receipts for many countries worldwide. Although it is not yet one of the most important industries in Taiwan (or the Republic of China), an island in East Asia off the coast of mainland China (or[...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Tansuchat, Roengchai | 2012-05This paper estimates a long memory volatility model for 16 agricultural commodity futures returns from different futures markets, namely corn, oats, soybeans, soybean meal, soybean oil, wheat, live cattle, cattle feeder, pork, cocoa, coffee, cot[...]![]()
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Chang, Chia-Lin ; Huang, Biing-Wen ; Chen, Meng-Gu ; McAleer, Michael | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2009-03-24The hog industry, where prices are determined according to an auction system, is of vital importance to the agricultural industry in Taiwan by providing significant production and employment. In particular, there were significant impacts on dail[...]![]()
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Chen, Ping-Yu ; Chang, Chia-Lin ; Chen, Chi-Chung ; McAleer, Michael | 2013-01The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, includin[...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Lim, Christine | 2011-08This paper estimates the effects of short and long haul volatility (or risk) in monthly Japanese tourist arrivals to Taiwan and New Zealand, respectively. In order to model appropriately the volatilities of international tourist arrivals, we use[...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Lim, Christine | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011This paper estimates the effects of short and long haul volatility (or risk) in monthly Japanese tourist arrivals to Taiwan and New Zealand, respectively. In order to model appropriately the volatilities of international tourist arrivals, we use[...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Wang, Yu-Ann | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2016The recent and rapidly growing interest in biofuel as a green energy source has raised concerns about its impact on the prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural commoditi[...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Wang, Yu-Ann | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2017The recent and rapidly growing interest in biofuel as a green energy source has raised concerns about its impact on the prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural commoditi[...]![]()
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Chang, Chia-Lin ; Mai, Te-Ke ; McAleer, Michael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2018The purpose of the paper is to provide a clear mechanism for determining carbon emissions pricing in China as a guide to how carbon emissions might be mitigated to reduce fossil fuel pollution. The Chinese Government has promoted the development[...]![]()
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Chang, Chia-Lin ; McAleer, Michael | 2014-02The paper analyses academic journal quality and research impact using quality weighted citations versus total citations, based on the widely-used Thomson Reuters ISI Web of Science citations database (ISI). A new Index of Citations Quality (ICQ)[...]![]()
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Chang, Chia-Lin ; McAleer, Michael | 2015-01The premise underlying the use of citations data is that higher quality journals generally have a higher number of citations. The impact of citations can be distorted in a number of ways. Journals can, and do, inflate the number of citations thr[...]![]()
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Chang, Chia-Lin ; McAleer, Michael | 2014-02The paper analyses academic journal quality and impact using quality weighted citations that are based on the widely-used Thomson Reuters ISI Web of Science citations database (ISI). A recently developed Index of Citations Quality (ICQ), based o[...]![]()
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Chang, Chia-Lin ; McAleer, Michael | 2012-05As the preponderance of journal rankings becomes increasingly more frequent and prominent in academic decision making, such rankings in broad discipline categories is taking on an increasingly important role. The paper focuses on the robustness [...]![]()
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Chang, Chia-Lin ; McAleer, Michael | 2013-10The paper focuses on the robustness of rankings of academic journal quality and research impact of 10 leading econometrics journals taken from the Thomson Reuters ISI Web of Science (ISI) Category of Economics, using citations data from ISI and [...]![]()
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Asai, Manabu ; Chang, Chia-Lin ; McAleer, Michael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2016The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformatio[...]![]()
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Chang, Chia-Lin ; Allen, David E. ; McAleer, Michael | 2013-01Research papers in empirical finance and financial econometrics are among the most widely cited, downloaded and viewed articles in the discipline of Finance. The special issue presents several papers by leading scholars in the field on “Recent D[...]![]()
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Chang, Chia-Lin ; McAleer, Michael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICEI) | 2017The paper presents an overview of recent topical research on global, energy, health & medical, and tourism economics, and global software. We have interpreted “global” in the title of the Journal of Reviews on Global Economics to cover contribut[...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Wong, Wing-Keung | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2019This note is concerned with an editorial statement of intent for Advances in Decision Sciences (ADS), which was founded in 1997, so that 2918 marks the 22nd Anniversary of the journal. The note discusses the aims and scope of ADS in Section 1, i[...]![]()
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Chang, Chia-Lin ; McAleer, Michael | 2015The purpose of this Opinion article is to discuss some ideas that might lead to papers that are suitable for publication in the Journal of Health and Medical Economics. The suggestions include the affordability and sustainability of universal he[...]![]()
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Casarin, Roberto ; Chang, Chia-Lin ; Jiménez-Martín, Juan-Ángel ; McAleer, Michael ; Pérez-Amaral, Teodosio | 2011-08It is well known that the Basel II Accord requires banks and other Authorized Deposit-taking Institutions (ADIs) to communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or[...]![]()
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Chang, Chia-Lin ; Jiménez-Martín, Juan-Ángel ; McAleer, Michael ; Pérez-Amaral, Teodosio | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-02The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to[...]![]()
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Chang, Chia-Lin ; Allen, David E. ; McAleer, Michael ; Pérez-Amaral, Teodosio | 2013-06The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers[...]![]()
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Hammoudeh, Shawkat ; Liu, Tengdong ; Chang, Chia-Lin ; McAleer, Michael | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2011-04This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004-2011 period and the 2009-2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil pri[...]![]()
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Chang, Chia-Lin ; Hsu, Shu-Han ; McAleer, Michael | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2018Fluctuations in the numbers of visitors directly affect the rates of return on tourism business activities. Therefore, maintaining a firm grasp of the relationship between the changes in the numbers of Chinese tourists and international travelle[...]![]()
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Chang, Chia-Lin ; Maasoumi, Esfandiar ; McAleer, Michael | 2012-03The paper focuses on the robustness of rankings of academic journal quality and research impact in general, and in Economics, in particular, based on the widely-used Thomson Reuters ISI Web of Science citations database (ISI). The paper analyses[...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Wu, Yu-Chieh | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2018This paper investigates the effect of industrial penetration (geographic concentration of industries) and internet intensity (the proportion of enterprises that use the internet) for Taiwan manufacturing firms, and analyses whether the relations[...]![]()
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The Basel III Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one of a range of alterna[...]![]()
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Chang, Chia-Lin ; Jiménez-Martín, Juan-Ángel ; Maasoumi, Esfandiar ; McAleer, Michael ; Pérez-Amaral, Teodosio | 2015-05The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that “a number of weaknesses have been identified[...]![]()
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Chang, Chia-Lin ; Chen, Wen-Chen ; McAleer, Michael | 2014-06This paper examines the determinants of very low birth weight infant (or neonatal) mortality using the Taiwan National Health Insurance Research database from 1997 to 2009. After infants are discharged from hospital, it is not possible to track [...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Wang, Yanghuiting | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2016There is substantial empirical evidence that energy and financial markets are closely connected. As one of the most widely-used energy resources worldwide, natural gas has a large daily trading volume. In order to hedge the risk of natural gas s[...]![]()
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Chang, Chia-Lin ; McAleer, Michael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2017In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten[...]![]()
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Hammoudeh, Shawkat ; Sarafrazi, Soodabeh ; Chang, Chia-Lin ; McAleer, Michael | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-05This paper examines the short- and long-run daily relationships for a grain-energy nexus that includes the prices of corn, crude oil, ethanol, gasoline, soybeans, and sugar, and their open interest. The empirical results demonstrate the presence[...]![]()
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Chang, Chia-Lin ; McAleer, Michael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2017The purpose of the paper is to show that univariate GARCH is not a special case of multivariate GARCH, specifically the Full BEKK model, except under parametric restrictions on the off-diagonal elements of the random coefficient autoregressive c[...]![]()
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Chang, Chia-Lin ; McAleer, Michael | 2018-03The purpose of the paper is to (i) show that univariate GARCH is not a special case of multivariate GARCH, specifically the Full BEKK model, except under parametric restrictions on the off-diagonal elements of the random coefficient autoregressi[...]![]()
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Chang, Chia-Lin ; Hsu, Hui-Kuang ; McAleer, Michael | 2013-08This paper investigates the stock returns and volatility size effects for firm performance in the Taiwan tourism industry, especially the impacts arising from the tourism policy reform that allowed mainland Chinese tourists to travel to Taiwan. [...]![]()
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Chang, Chia-Lin ; Jiménez-Martín, Juan-Ángel ; McAleer, Michael ; Pérez-Amaral, Teodosio | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011Volatility is an indispensible component of sensible portfolio risk management. The volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps, options and futures. The most pop[...]![]()
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Chang, Chia-Lin ; Hsu, Hui-Kuang ; McAleer, Michael | 2014-01This paper uses monthly data from April 2005 to August 2013 for Taiwan to propose a novel tourism indicator, namely the Tourism Conditions Index (TCI). TCI accounts for the spillover weights based on the Granger causality test and estimates of t[...]![]()
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Chang, Chia-Lin ; Hsu, Hui-Kuang ; McAleer, Michael | 2014The paper uses monthly data on financial stock index returns, tourism stock sub-index returns, effective exchange rate returns and interest rate differences from April 2005 – August 2013 for Taiwan that applies Chang’s (2014) novel approach for [...]![]()
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Chang, Chia-Lin ; Hsu, Hui-Kuang ; McAleer, Michael | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2017The paper uses monthly data on tourism related factors from April 2005 - June 2016 for Taiwan that applies factor analysis and Chang’s (2015) novel approach for constructing a tourism financial indicator, namely the Tourism Financial Conditions [...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Nguyen, Dang-Khoa | 2016-10The paper explores the trade competitiveness of seven major shrimp exporting countries, namely Vietnam, China, Thailand, Ecuador, India, Indonesia and Mexico, to the USA. Specifically, we investigate whether the United States (US) antidumping pe[...]![]()
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Chang, Chia-Lin ; McAleer, Michael ; Zuo, Guangdong | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2017Recent research shows that efforts to limit climate change should focus on reducing emissions of carbon dioxide over other greenhouse gases or air pollutants. Many countries are paying substantial attention to carbon emissions to improve air qua[...]![]()
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Chang, Chia-Lin ; Li, Yiying ; McAleer, Michael | 2015-06Energy and agricultural commodities and markets have been examined extensively, albeit separately, for a number of years. In the energy literature, the returns, volatility and volatility spillovers (namely, the delayed effect of a returns shock [...]![]()
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Chang, Chia-Lin ; Liu, Chia-Ping ; McAleer, Michael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2016The agricultural and energy industries are closely related, both biologically and financially. The paper discusses the relationship and the interactions on price and volatility, with special focus on the covolatility spillover effects for these [...]![]()
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What do Experts Know About Ranking Journal Quality? A Comparison with ISI Research Impact in Finance
Chang, Chia-Lin ; McAleer, Michael | 2012-01-10Experts possess knowledge and information that are not publicly available. The paper is concerned with the ranking of academic journal quality and research impact using a survey of experts from a national project on ranking academic finance jour[...]