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Autor Chang, Chia-Lin |
Documentos disponibles escritos por este autor (88)
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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[...]