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Hammoudeh, Shawkat ; McAleer, Michael | 2014-06Financial risk management is difficult at the best of times, but especially so in the presence of economic uncertainty and financial crises. The purpose of this special issue on “Advances in Financial Risk Management and Economic Policy Uncertai[...]texto impreso
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[...]texto impreso
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 [...]texto impreso
Hammoudeh, Shawkat ; McAleer, Michael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2012-04Risk management is crucial for optimal portfolio management. One of the fastest growing areas in empirical finance is the expansion of financial derivatives. The purpose of this special issue on “Risk Management and Financial Derivatives” is to [...]texto impreso
Hammoudeh, Shawkat ; Malik, Farooq ; McAleer, Michael | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-03This paper examines volatility and correlation dynamics in price returns of gold, silver, platinum and palladium, and explores the corresponding risk management implications for market risk and hedging. Value-at-Risk (VaR) is used to analyze the[...]texto impreso
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[...]texto impreso
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[...]
