Roengchai Tansuchat : Citation Profile


Are you Roengchai Tansuchat?

Chiang Mai University

8

H index

8

i10 index

456

Citations

RESEARCH PRODUCTION:

5

Articles

41

Papers

RESEARCH ACTIVITY:

   6 years (2009 - 2015). See details.
   Cites by year: 76
   Journals where Roengchai Tansuchat has often published
   Relations with other researchers
   Recent citing documents: 145.    Total self citations: 17 (3.59 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pta326
   Updated: 2020-05-16    RAS profile: 2019-04-06    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Roengchai Tansuchat.

Is cited by:

McAleer, Michael (89)

Chang, Chia-Lin (73)

Nguyen, Duc Khuong (22)

Hammoudeh, Shawkat (16)

Filis, George (15)

Chkili, Walid (13)

Wang, Yudong (12)

Caporin, Massimiliano (12)

Hsu, Hui-Kuang (10)

Degiannakis, Stavros (9)

AROURI, Mohamed (9)

Cites to:

McAleer, Michael (78)

Chan, Felix (22)

Bollerslev, Tim (15)

Ling, Shiqing (14)

Chang, Chia-Lin (14)

Hoti, Suhejla (13)

Caporin, Massimiliano (12)

Hammoudeh, Shawkat (11)

Engle, Robert (10)

Ratti, Ronald (6)

Spagnolo, Fabio (5)

Main data


Where Roengchai Tansuchat has published?


Journals with more than one article published# docs
Energy Economics2

Working Papers Series with more than one paper published# docs
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute9
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo9
CARF F-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo7
KIER Working Papers / Kyoto University, Institute of Economic Research6
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Econmicas y Empresariales, Instituto Complutense de Anlisis Econmico2
Proceedings of International Academic Conferences / International Institute of Social and Economic Sciences2

Recent works citing Roengchai Tansuchat (2018 and 2017)


YearTitle of citing document
2017Managing Energy Price Risk using Futures Contracts: A Comparative Analysis. (2017). Hanly, Jim. In: The Energy Journal. RePEc:aen:journl:ej38-3-hanly.

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2018Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence. (2018). Filis, George ; Degiannakis, Stavros ; Arora, Vipin. In: The Energy Journal. RePEc:aen:journl:ej39-5-filis.

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2019Total, asymmetric and frequency connectedness between oil and forex markets. (2019). Kocenda, Evzen ; Baruník, Jozef ; Kovcenda, Evvzen. In: Papers. RePEc:arx:papers:1805.03980.

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2018What is the Spillover Effect of the U.S. Equity and Money Market on the Key Latin American Agricultural Exports?. (2018). Andres, Giron ; Victor, Giron ; Eduardo, Giron Luis ; Paola, Sierra Lya. In: Global Economy Journal. RePEc:bpj:glecon:v:18:y:2018:i:4:p:9:n:4.

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2017Modeling the spillovers between stock market and money market in Nigeria. (2017). Salisu, Afees ; Isah, Kazeem. In: Working Papers. RePEc:cui:wpaper:0023.

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2019Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach. (2019). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Zevallos, Mauricio ; Trucios-Maza, Carlos Cesar. In: Working Papers ECARES. RePEc:eca:wpaper:2013/288066.

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2017Does Oil Prices Uncertainty Affect Stock Returns in Russia: A Bivariate Generalized Autoregressive Conditional Heteroskedasticity-in-Mean Approach. (2017). Bass, Alexander. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2017-04-27.

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2020Dynamic Linkages Between the Oil Spot, Oil Futures, and Stock Markets: Evidence from Dubai. (2020). Alawi, Suha Mahmoud ; Lamouchi, Rim Ammar. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-01-50.

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2017Modelling the interdependence of tourism demand: The global vector autoregressive approach. (2017). Cao, Zheng ; Li, Gang ; Song, Haiyan. In: Annals of Tourism Research. RePEc:eee:anture:v:67:y:2017:i:c:p:1-13.

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2017The contagion effect of international crude oil price fluctuations on Chinese stock market investor sentiment. (2017). Zhang, Yuejun ; Ding, Zhihua ; Long, Ruyin ; Liu, Zhenhua. In: Applied Energy. RePEc:eee:appene:v:187:y:2017:i:c:p:27-36.

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2018Financial risk network architecture of energy firms. (2018). Uribe, Jorge ; Manotas, Diego ; Restrepo, Natalia . In: Applied Energy. RePEc:eee:appene:v:215:y:2018:i:c:p:630-642.

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2018New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries. (2018). Tsuji, Chikashi. In: Applied Energy. RePEc:eee:appene:v:229:y:2018:i:c:p:1202-1217.

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2019Effective energy commodity risk management: Econometric modeling of price volatility. (2019). HALKOS, GEORGE ; Tsirivis, Apostolos S. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:63:y:2019:i:c:p:234-250.

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2017Financial contagion and volatility spillover: An exploration into Indian commodity derivative market. (2017). Sinha Roy, Saikat ; Sinharoy, Saikat. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:368-380.

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2018The macroeconomic determinants of commodity futures volatility: Evidence from Chinese and Indian markets. (2018). Gupta, Rakesh ; Singh, Tarlok ; Li, Bin ; Mo, DI. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:543-560.

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2018Time-varying efficiency in food and energy markets: Evidence and implications. (2018). Roubaud, David ; Jebabli, Ikram . In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:97-114.

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2018Optimal hedge ratios for clean energy equities. (2018). Ahmad, Wasim ; Sharma, Amit ; Sadorsky, Perry. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:278-295.

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2018Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses. (2018). Tsuji, Chikashi. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:167-185.

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2020Dynamic frequency connectedness between oil and natural gas volatilities. (2020). Perez-Laborda, Alejandro ; Lovcha, Yuliya. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:181-189.

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2018Public information arrival, price discovery and dynamic correlations in the Chinese renminbi markets. (2018). Zhang, Zhaoyong ; Shi, Yanlin ; Ho, Kin-Yip. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:168-186.

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2019Evaluation of multivariate GARCH models in an optimal asset allocation framework. (2019). Hasim, Haslifah M ; Vrontos, Spyridon ; Abdul, Nor Syahilla. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:568-596.

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2019Oil price shocks, economic policy uncertainty and China’s trade: A quantitative structural analysis. (2019). Wei, Yanfeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:20-31.

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2019Can investors attention on oil markets predict stock returns?. (2019). Feng, Jiabao ; Yin, Libo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:786-800.

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2017Volatility spillover and hedging effectiveness among China and emerging Asian Islamic equity indexes. (2017). Majdoub, Jihed ; ben Sassi, Salim . In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:16-31.

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2018Extreme dependence and risk spillovers between oil and Islamic stock markets. (2018). Shahzad, Syed Jawad Hussain ; Hussain, Syed Jawad ; Al-Yahyaee, Khamis H ; Ur, Mobeen ; Hammoudeh, Shawkat ; Mensi, Walid. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:42-63.

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2018International financial integration: Stock return linkages and volatility transmission between Vietnam and advanced countries. (2018). Vo, Xuan Vinh ; Ellis, Craig . In: Emerging Markets Review. RePEc:eee:ememar:v:36:y:2018:i:c:p:19-27.

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2018Volatility and shock interactions and risk management implications: Evidence from the U.S. and frontier markets. (2018). Ngene, Geoffrey ; Mungai, Ann N ; Post, Jordin A. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:181-198.

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2017The impact of crude oil prices on financial market indicators: copula approach. (2017). KÜÇÜKÖZMEN, CUMHUR ; Selcuk-Kestel, Sevtap A ; Kuukozmen, Cokun C ; Kayalar, Derya Ezgi . In: Energy Economics. RePEc:eee:eneeco:v:61:y:2017:i:c:p:162-173.

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2017Pure martingale and joint normality tests for energy futures contracts. (2017). Shrestha, Keshab ; Rassiah, Puspavathy ; Subramaniam, Ravichandran. In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:174-184.

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2017Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?. (2017). Baruník, Jozef ; Apergis, Nicholas ; Keung, Marco Chi. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:108-115.

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2017Hedging downside risk of oil refineries: A vine copula approach. (2017). Sukcharoen, Kunlapath ; Leatham, David. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:493-507.

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2017Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression. (2017). You, Wanhai ; Tang, Yong ; Zhu, Huiming ; Guo, Yawei. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:1-18.

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2018Oil volatility, oil and gas firms and portfolio diversification. (2018). Pérez de Gracia, Fernando ; Gabauer, David ; Filis, George ; Cuñado, Juncal ; Antonakakis, Nikolaos ; Cunado, Juncal. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:499-515.

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2018Quantile hedge ratio for energy markets. (2018). Shrestha, Keshab ; Suresh, Sheena Sara ; Peranginangin, Yessy ; Subramaniam, Ravichandran. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:253-272.

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2018Risk transmission mechanism between energy markets: A VAR for VaR approach. (2018). Shi, Xunpeng ; Padinjare, Hari Malamakkavu ; Shen, Yifan. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:377-388.

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2018The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems. (2018). Chai, Shanglei ; Zhou, P. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:64-75.

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2019Decoding the Australian electricity market: New evidence from three-regime hidden semi-Markov model. (2019). Wang, Shixuan ; Gözgör, Giray ; Apergis, Nicholas ; Marco, Chi Keung. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:129-142.

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2019The importance of oil assets for portfolio optimization: The analysis of firm level stocks. (2019). Tiwari, Aviral ; Shahbaz, Muhammad ; Anwar, Awais ; Sarwar, Suleman. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:217-234.

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2019Are alternative energies a real alternative for investors?. (2019). Miralles-Quiros, Maria Mar. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:535-545.

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2019Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States. (2019). Ma, Feng ; Xu, Weiju ; Zhang, Bing ; Chen, Wang. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:310-320.

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2019Price risk and hedging strategies in Nord Pool electricity market evidence with sector indexes. (2019). Heni, Boubaker ; Souhir, Ben Amor ; Lotfi, Belkacem. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:635-655.

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2019Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective. (2019). Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:995-1009.

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2019Crude oil price shocks and hedging performance: A comparison of volatility models. (2019). Cho, Hoon ; Chun, Dohyun ; Kim, Jihun. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:1132-1147.

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2019Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach. (2019). Wen, Fenghua ; Li, Steven ; Hou, Yang. In: Energy Economics. RePEc:eee:eneeco:v:83:y:2019:i:c:p:119-143.

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2019The effect of economic policy uncertainty on stock-commodity correlations and its implications on optimal hedging. (2019). Demirer, Riza ; Badshah, Ihsan ; Suleman, Muhammad Tahir. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303482.

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2018Hedging spark spread risk with futures. (2018). Torro, Hipolit ; Martinez, Beatriz. In: Energy Policy. RePEc:eee:enepol:v:113:y:2018:i:c:p:731-746.

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2019Transmission of shocks and contagion from U.S. to MENA equity markets: The role of oil and gas markets. (2019). Goutte, Stéphane ; Jamali, Ibrahim ; Guesmi, Khaled ; Abid, Ilyes. In: Energy Policy. RePEc:eee:enepol:v:134:y:2019:i:c:s0301421519305403.

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2018Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances. (2018). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yanghuiting . In: Energy. RePEc:eee:energy:v:151:y:2018:i:c:p:984-997.

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2018Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds. (2018). Molnár, Peter ; Lyócsa, Štefan. In: Energy. RePEc:eee:energy:v:155:y:2018:i:c:p:462-473.

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2019Dynamic linkages and spillover effects between CET market, coal market and stock market of new energy companies: A case of Beijing CET market in China. (2019). Lin, Boqiang ; Chen, Yufang. In: Energy. RePEc:eee:energy:v:172:y:2019:i:c:p:1198-1210.

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2019Dynamic transmission mechanisms in global crude oil prices: Estimation and implications. (2019). Zhang, Dayong ; Ji, Qiang ; Kutan, Ali M. In: Energy. RePEc:eee:energy:v:175:y:2019:i:c:p:1181-1193.

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2019Analyzing the economic sources of oil price volatility: An out-of-sample perspective. (2019). Liu, LI ; Meng, Fanyi . In: Energy. RePEc:eee:energy:v:177:y:2019:i:c:p:476-486.

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2019Futures hedging in crude oil markets: A comparison between minimum-variance and minimum-risk frameworks. (2019). Wang, Yudong ; Meng, Fanyi ; Geng, Qianjie. In: Energy. RePEc:eee:energy:v:181:y:2019:i:c:p:815-826.

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2019Volatility spillover impact of world oil prices on leading Asian energy exporting and importing economies’ stock returns. (2019). Maqbool, Rashid ; Tang, Yong ; Ashfaq, Saleha. In: Energy. RePEc:eee:energy:v:188:y:2019:i:c:s0360544219316962.

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2017Oil shocks and stock markets: Dynamic connectedness under the prism of recent geopolitical and economic unrest. (2017). Filis, George ; Antonakakis, Nikolaos ; Chatziantoniou, Ioannis. In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:1-26.

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2018Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks. (2018). Uddin, Gazi ; Shahzad, Syed Jawad Hussain ; Yoon, Seong-Min ; Hussain, Syed Jawad ; Hernandez, Jose Areola. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:167-180.

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2018The relationship among China’s fuel oil spot, futures and stock markets. (2018). Ping, LI ; Qingchao, Zeng ; Tianna, Yang ; Ziyi, Zhang. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:151-162.

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2019Realized correlations, betas and volatility spillover in the agricultural commodity market: What has changed?. (2019). Bonato, Matteo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:62:y:2019:i:c:p:184-202.

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2019Modelling the volatility of international visitor arrivals to New Zealand. (2019). Balli, Hatice ; Kan, Wai Hong. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:75:y:2019:i:c:p:204-214.

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2017Sovereign risk and the impact of crisis: Evidence from Latin AmericaAuthor-Name: Batten, Jonathan A.. (2017). Gannon, Gerard L ; Thuraisamy, Kannan S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:328-350.

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2017Are correlations constant? Empirical and theoretical results on popular correlation models in finance. (2017). Füss, Roland ; Gluck, Thorsten ; Adams, Zeno ; Fuss, Roland ; ROLAND FSS, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:9-24.

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2019Characteristics of petroleum product prices: A survey. (2019). Linn, Scott ; Ederington, Louis H ; Lee, Thomas K ; Hoelscher, Seth A ; Fernando, Chitru S. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:14:y:2019:i:c:p:1-15.

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2017Asymmetric tail dependence between oil price shocks and sectors of Saudi Arabia System. (2017). Trabelsi, Nader. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:16:y:2017:i:c:p:26-41.

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2018Do commodities effectively hedge real estate risk? A multi-scale asymmetric DCC approach. (2018). Shahzad, Syed Jawad Hussain ; Raza, Syed ; Hussain, Syed Jawad ; Ali, Sajid. In: Resources Policy. RePEc:eee:jrpoli:v:57:y:2018:i:c:p:10-29.

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2019Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: Evidence from Mexico. (2019). Biswal, Pratap Chandra ; Choudhary, Sangita ; Singhal, Shelly . In: Resources Policy. RePEc:eee:jrpoli:v:60:y:2019:i:c:p:255-261.

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2019Can alternative hedging assets add value to Islamic-conventional portfolio mix: Evidence from MGARCH models. (2019). Ali, Sajid ; Raza, Naveed ; Salman, Aneel ; Ur, Mobeen ; Hussain, Syed Jawad. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:210-230.

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2019Association between the energy and emission prices: An analysis of EU emission trading system. (2019). Nasir, Muhammad ; Soliman, Alaa M. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:369-374.

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2019Correlations and volatility spillovers between oil, natural gas, and stock prices in India. (2019). Tiwari, Aviral ; Pradhan, Ashis ; Kumar, Satish ; Kang, Sang Hoon. In: Resources Policy. RePEc:eee:jrpoli:v:62:y:2019:i:c:p:282-291.

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2019Hedging U.S. metals & mining Industrys credit risk with industrial and precious metals. (2019). Shahzad, Syed Jawad Hussain ; Kenourgios, Dimitris ; Hussain, Syed Jawad ; Umar, Zaghum. In: Resources Policy. RePEc:eee:jrpoli:v:63:y:2019:i:c:9.

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2019Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets. (2019). Brooks, Robert ; Dash, Saumya Ranjan ; Maitra, Debasish ; Kang, Sang Hoon. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:58:y:2019:i:c:s0927538x18305912.

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2017The evolution of spillover effects between oil and stock markets across multi-scales using a wavelet-based GARCH–BEKK model. (2017). Huang, Shupei ; Liu, Xueyong ; Wen, Shaobo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:465:y:2017:i:c:p:374-383.

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2017Features of spillover networks in international financial markets: Evidence from the G20 countries. (2017). Liu, Xueyong ; Wen, Shaobo ; Feng, Sida ; Chen, Zhihua ; An, Haizhong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:479:y:2017:i:c:p:265-278.

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2018Is stock market volatility asymmetric? A multi-period analysis for five countries. (2018). Bentes, Sonia R. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:499:y:2018:i:c:p:258-265.

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2018Oil–gold time varying nexus: A time–frequency analysis. (2018). Khalfaoui, Rabeh . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:86-104.

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2018The interactions between OPEC oil price and sectoral stock returns: Evidence from China. (2018). Kirkulak-Uludag, Berna ; Safarzadeh, Omid. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:508:y:2018:i:c:p:631-641.

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2019Energy shocks pricing model: A non-linear US sectoral based analysis. (2019). Ur, Mobeen. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119313196.

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2019The dynamic behavior of evolving efficiency: Evidence from the UAE stock markets. (2019). Al-Shboul, Mohammad ; Alsharari, Nizar. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:73:y:2019:i:c:p:119-135.

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2018Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices. (2018). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yu-Ann. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:81:y:2018:i:p1:p:1002-1018.

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2017Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mechanism. (2017). Lv, Xin ; Bouri, Elie ; Xin Lv, ; Lien, Donald ; Chen, Qian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:34-48.

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2017Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches. (2017). Yang, KE ; Li, Steven ; Chen, Langnan ; Tian, Fengping. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:276-291.

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2018The effect of the rebalancing horizon on the tradeoff between hedging effectiveness and transaction costs. (2018). Jitmaneeroj, Boonlert. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:282-298.

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2019A futures pricing model with long-term and short-term traders. (2019). Jia, Yun ; Xie, Jun ; Gao, Bin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:9-28.

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2017Investigating the leverage effect in commodity markets with a recursive estimation approach. (2017). Ielpo, Florian ; Chevallier, Julien. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pb:p:763-778.

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2020Handling financial risks in crude oil imports: Taking into account crude oil prices as well as country and transportation risks. (2020). Gu, Yewen ; Lu, Jing ; Wallace, Stein W ; Wang, Shuang. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:133:y:2020:i:c:s1366554519311883.

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2017Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, G ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:100331.

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2017Stationarity and Invertibility of a Dynamic Correlation Matrix. (2017). McAleer, Michael. In: Econometric Institute Research Papers. RePEc:ems:eureir:101761.

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2018Risk Spillovers in Returns for Chinese and International Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, S.-H., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:105884.

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2018Long Run Returns Predictability and Volatility with Moving Averages. (2018). McAleer, Michael ; Chang, Chia-Lin ; Laurila, H ; Ilomaki, J ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:111556.

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2017Petrochemical Products Market and Stock Market Returns: Empirical Evidence from Tehran Stock Exchange. (2017). Jabbarzadeh, Armin ; Zamani, Farhad ; Khanjarpanah, Hossein ; Shavvalpour, Saeed. In: Iranian Economic Review (IER). RePEc:eut:journl:v:21:y:2017:i:2:p:383.

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2019Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach. (2019). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Zevallos, Mauricio ; Trucios, Carlos. In: Textos para discussão. RePEc:fgv:eesptd:505.

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2018Measuring the Time-Frequency Dynamics of Return and Volatility Connectedness in Global Crude Oil Markets. (2018). Toyoshima, Yuki ; Hamori, Shigeyuki. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:11:p:2893-:d:178030.

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2019Energy Commodities: A Review of Optimal Hedging Strategies. (2019). HALKOS, GEORGE ; Tsirivis, Apostolos S. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:20:p:3979-:d:278200.

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2019Modeling and Testing Volatility Spillovers in Oil and Financial Markets for the USA, the UK, and China. (2019). McAleer, Michael ; Chang, Chia-Lin ; Tian, Jiarong . In: Energies. RePEc:gam:jeners:v:12:y:2019:i:8:p:1475-:d:224091.

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2018Cross Hedging Stock Sector Risk with Index Futures by Considering the Global Equity Systematic Risk. (2018). Hsu, Wen-Chung ; Lee, Hsiang-Tai . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:2:p:44-:d:141779.

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2018The Lead–Lag Relationship between Oil Futures and Spot Prices—A Literature Review. (2018). Zavadska, Miroslava ; Coughlan, Joseph ; Morales, Lucia. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:4:p:89-:d:179491.

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2018Long Run Returns Predictability and Volatility with Moving Averages. (2018). McAleer, Michael ; Chang, Chia-Lin ; Laurila, Hannu ; Ilomaki, Jukka. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:105-:d:171554.

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2018RMB Exchange Rates and Volatility Spillover across Financial Markets in China and Japan. (2018). Zhang, Zhaoyong ; Qin, Fengming. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:120-:d:175263.

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2018Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market. (2018). Zhang, Zhaoyong ; Djajadikerta, Hadrian Geri. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:10:p:3361-:d:170985.

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2017Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations. (2017). GUPTA, RANGAN ; Demirer, Riza ; Balcilar, Mehmet. In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:10:p:1799-:d:114094.

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2019INCIDENCE OF MINERALS PRICE-VOLATILITY ON THE VOLATILITY OF THE STOCK PRICES OF THE MINING INDUSTRY IN MEXICO (2008-2015). (2019). Santillan, Roberto J ; Ramirez, Alejandro Fonseca. In: Economia Coyuntural,Revista de temas de perspectivas y coyuntura. RePEc:grm:ecoyun:201810.

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2019INVESTMENT CONSTRAINTS AND PRODUCTIVITY CYCLES IN BOLIVIA. (2019). Mendez-Guerra, Carlos. In: Economia Coyuntural,Revista de temas de perspectivas y coyuntura. RePEc:grm:ecoyun:201811.

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More than 100 citations found, this list is not complete...

Works by Roengchai Tansuchat:


YearTitleTypeCited
2015The Spillover of Capital Inflows and The Role of United States Quantitative Easing on Thailand, Brazil, and India Countries’ Macroeconomic In: Applied Economics Journal.
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2010Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH In: Working Papers in Economics.
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paper154
2011Crude oil hedging strategies using dynamic multivariate GARCH.(2011) In: Energy Economics.
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article
2010Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH.(2010) In: Econometric Institute Research Papers.
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paper
2010Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH.(2010) In: KIER Working Papers.
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This paper has another version. Agregated cites: 154
paper
2010Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH.(2010) In: CIRJE F-Series.
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paper
2010Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns In: Working Papers in Economics.
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paper131
2010Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns.(2010) In: CARF F-Series.
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paper
2013Conditional correlations and volatility spillovers between crude oil and stock index returns.(2013) In: The North American Journal of Economics and Finance.
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This paper has another version. Agregated cites: 131
article
2010Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns.(2010) In: Econometric Institute Research Papers.
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This paper has another version. Agregated cites: 131
paper
2010Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns.(2010) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 131
paper
2010Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns.(2010) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 131
paper
2011Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns.(2011) In: Documentos de Trabajo del ICAE.
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This paper has another version. Agregated cites: 131
paper
2010Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets In: Working Papers in Economics.
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paper68
2010Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets.(2010) In: Energy Economics.
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This paper has another version. Agregated cites: 68
article
2010Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations In: Working Papers in Economics.
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paper18
2009Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations.(2009) In: CARF F-Series.
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This paper has another version. Agregated cites: 18
paper
2009Interdependence of international tourism demand and volatility in leading ASEAN destinations.(2009) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
paper
2010Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations.(2010) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
paper
2009Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations.(2009) In: CIRJE F-Series.
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This paper has another version. Agregated cites: 18
paper
2010Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns In: Working Papers in Economics.
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paper7
2010Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns.(2010) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2009Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns.(2009) In: CARF F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2009Modelling conditional correlations in the volatility of Asian rubber spot and futures returns.(2009) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2009Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns.(2009) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2011Modelling conditional correlations in the volatility of Asian rubber spot and futures returns.(2011) In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
article
2012Modelling Long Memory Volatility in Agricultural Commodity Futures Returns In: Working Papers in Economics.
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paper29
2009Modelling Long Memory Volatility in Agricultural Commodity Futures Returns.(2009) In: CARF F-Series.
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This paper has another version. Agregated cites: 29
paper
2009Modelling Long Memory Volatility in Agricultural Commodity Futures Returns.(2009) In: Econometric Institute Research Papers.
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This paper has another version. Agregated cites: 29
paper
2012Modelling Long Memory Volatility in Agricultural Commodity Futures Returns.(2012) In: Econometric Institute Research Papers.
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paper
2012Modelling Long Memory Volatility in Agricultural Commodity Futures Return.(2012) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
paper
2009Modelling Long Memory Volatility in Agricultural Commodity Futures Returns.(2009) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
paper
2012Modelling Long Memory Volatility in Agricultural Commodity Futures Returns.(2012) In: Documentos de Trabajo del ICAE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
paper
2009Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return In: CARF F-Series.
[Full Text][Citation analysis]
paper10
2009Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return.(2009) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2009Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets In: CARF F-Series.
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paper17
2009Modelling conditional correlations for risk diversification in crude oil markets.(2009) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
paper
2009Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets.(2009) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
paper
2009Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets In: CARF F-Series.
[Full Text][Citation analysis]
paper1
2009Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets.(2009) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2009Forecasting volatility and spillovers in crude oil spot, forward and future markets.(2009) In: Econometric Institute Research Papers.
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This paper has another version. Agregated cites: 1
paper
2010Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets In: Econometric Institute Research Papers.
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paper21
2010Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets.(2010) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
paper
2010Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets.(2010) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
paper
2015Game Theory of Green and Non-green Oriented Productions: Dried Longan Enterprises In: Proceedings of International Academic Conferences.
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paper0
2015Portfolio Optimization of Global REITs Returns: High-Dimensional Copula-Based Approach In: Proceedings of International Academic Conferences.
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paper0

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