Zobrazeno 1 - 10
of 26
pro vyhledávání: '"Shu Mei Chiang"'
Publikováno v:
Journal of International Money and Finance. 96:37-48
This paper employs an ARJI-trend model that combines the autoregressive jump intensity (ARJI) and component models to analyze the effects of the U.S. dollar index and oil prices on the dynamic properties of biofuel-related commodity futures. The resu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7fa7545a41db275380d6c3b05fbbc6ed
https://doi.org/10.1016/j.jimonfin.2019.04.007
https://doi.org/10.1016/j.jimonfin.2019.04.007
Publikováno v:
Applied Economics. 51:5063-5075
This paper applies the Markov-switching model to analyse the transition probabilities and generalized method of moments (GMM) with Newey–West heteroscedasticity and autocorrelation consistent covar...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a3891da515aee0f136e4764e0d7e3237
https://doi.org/10.1080/00036846.2019.1610707
https://doi.org/10.1080/00036846.2019.1610707
Publikováno v:
Applied Economics. 51:4849-4855
Motivated by the recent literature on cryptocurrency volatility dynamics, this paper adopts the ARJI, GARCH, EGARCH, and CGARCH models to explore their capabilities to make out-of-sample volatility...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2f62e4df4dbfa5f2378735e90a38cae1
https://doi.org/10.1080/00036846.2019.1602714
https://doi.org/10.1080/00036846.2019.1602714
Publikováno v:
The North American Journal of Economics and Finance. 54:101234
This research adopts an autoregressive conditional jump intensity (ARJI) model by utilizing intraday data of overlapping trading hours to analyze the global contagion effects of sentimental responses and volatility dynamics through the volatility ind
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d4ccf35395fe9da1fb82a154166baf54
https://doi.org/10.1016/j.najef.2020.101234
https://doi.org/10.1016/j.najef.2020.101234
Publikováno v:
Accounting & Finance. 55:57-74
This study applies dynamic generalized method of moments estimation to examine the influences of ownership structure and board characteristics on default risk for a full samples and two subsamples (high-tech and conventional) of publicly listed firms
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3587d121adfc9fcee41d7aece0193be2
https://doi.org/10.1111/acfi.12045
https://doi.org/10.1111/acfi.12045
Publikováno v:
Applied Financial Economics Letters. Jan2008, Vol. 4 Issue 1, p19-24. 6p. 4 Charts, 1 Graph.
Publikováno v:
Emerging Markets Finance & Trade. May/Jun2009, Vol. 45 Issue 3, p35-55. 21p. 4 Charts, 9 Graphs.
Publikováno v:
Global Finance Journal. 24:30-43
In the aftermath of the sub-prime mortgage crisis, we set out to investigate the spillover effects of returns and volatility in the US stock market on the stock markets of Brazil, Russia, India, China and Vietnam (BRICVs). The results of our applicat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6f898d7ba655d4e6d11d7b868e9c70e6
https://doi.org/10.1016/j.gfj.2013.03.001
https://doi.org/10.1016/j.gfj.2013.03.001
Publikováno v:
Asia-Pacific Journal of Financial Studies. 41:590-609
This paper employs the autoregressive conditional jump intensity model, incorporating a forecast error, to investigate the relationships between the changes in the implied volatility and the relevant determinants in the Taiwan market. We further appl
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::721243339012be05d67085b8c577aae5
https://doi.org/10.1111/j.2041-6156.2012.01083.x
https://doi.org/10.1111/j.2041-6156.2012.01083.x
Publikováno v:
Quantitative Finance. 12:1421-1437
We propose an ARJI-Trend model—a combination of the ARJI and component models—to capture the distinguishing features of US index returns, with the results indicating that our model has a good fit for the volatility dynamics of spot, floor- traded
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4dd1ad87283e2d65bac454c99c204811
https://doi.org/10.1080/14697688.2010.547512
https://doi.org/10.1080/14697688.2010.547512