The time-varying and asymmetric dependence between crude oil spot and futures markets: Evidence from the Mixture copula-based ARJI–GARCH model

Do macroeconomic variables have regime-dependent effects on stock return dynamics? : evidence from the Markov regime switching model

Chang, Kuang-Liang, (2009)

The optimal value-at-risk hedging strategy under bivariate regime switching ARCH framework

Chang, Kuang-liang, (2011)

Volatility regimes, asymmetric basis effects and forecasting performance : an empirical investigation of the WTI crude oil futures market

Chang, Kuang-liang, (2012)