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