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