Details about Roengchai Tansuchat

Access statistics for papers by Roengchai Tansuchat.

Last updated 2019-04-06. Update your information in the RePEc Author Service.

Short-id: pta326

Working Papers

2015

1. Game Theory of Green and Non-green Oriented Productions: Dried Longan Enterprises
   Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences
2. Portfolio Optimization of Global REITs Returns: High-Dimensional Copula-Based Approach
   Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences

2012

3. Modelling Long Memory Volatility in Agricultural Commodity Futures Return
   KIER Working Papers, Kyoto University, Institute of Economic Research View citations (30)
   Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) View citations (20)
   CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (7)
   Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) View citations (21)
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (6)
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) View citations (5)
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012)

2011

4. Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
   Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) View citations (14)
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) View citations (31)
   KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (14)
   CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) View citations (38)
   Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (16)
   See also Journal Article Conditional correlations and volatility spillovers between crude oil and stock index returns, The North American Journal of Economics and Finance, Elsevier (2013) View citations (127) (2013)

2010

5. Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (83)
   Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) View citations (30)
   KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (35)
6. Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets
   Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (99)
   See also Journal Article Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets, Energy Economics, Elsevier (2010) View citations (99) (2010)
7. Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (5)
   Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) View citations (5)
   KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (5)
   Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (13)
   See also Journal Article Crude oil hedging strategies using dynamic multivariate GARCH, Energy Economics, Elsevier (2011) View citations (226) (2011)
8. Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations
   Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (11)
   Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) View citations (7)
   KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (7)
   CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (1)
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (10)
9. Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
   Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (1)
   Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (7)
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) View citations (8)
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009)
   CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009)
   See also Journal Article Modelling conditional correlations in the volatility of Asian rubber spot and futures returns, Mathematics and Computers in Simulation (MATCOM), Elsevier (2011) View citations (9) (2011)

2009

10. Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (4)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) View citations (4)
11. Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (20)
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (15)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) View citations (23)
12. Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (25)
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (26)

Journal Articles

2015

1. The Spillover of Capital Inflows and The Role of United States Quantitative Easing on Thailand, Brazil, and India Countries’ Macroeconomic
   Applied Economics Journal, 2015, 22, (2), 102-134

2013

2. Conditional correlations and volatility spillovers between crude oil and stock index returns
   The North American Journal of Economics and Finance, 2013, 25, (C), 116-138 View citations (127)
   See also Working Paper Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns, Documentos de Trabajo del ICAE (2011) (2011)

2011

3. Crude oil hedging strategies using dynamic multivariate GARCH
   Energy Economics, 2011, 33, (5), 912-923 View citations (226)
   See also Working Paper Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH, Econometric Institute Research Papers (2010) View citations (5) (2010)
4. Modelling conditional correlations in the volatility of Asian rubber spot and futures returns
   Mathematics and Computers in Simulation (MATCOM), 2011, 81, (7), 1482-1490 View citations (9)
   See also Working Paper Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns, Working Papers in Economics (2010) View citations (1) (2010)

2010

5. Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets
   Energy Economics, 2010, 32, (6), 1445-1455 View citations (99)
   See also Working Paper Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets, Working Papers in Economics (2010) View citations (99) (2010)