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subject:"ARCH-Modell"
~language:"eng"
~person:"Li, Steven"
~person:"Liu, Hung-Chun"
~subject:"Spillover-Effekt"
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ARCH-Modell
Spillover-Effekt
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9
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7
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7
China
6
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Li, Steven
Liu, Hung-Chun
Gannon, Gerard L.
9
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7
Au-Yeung, Siu Pang
5
Mittnik, Stefan
5
Bologna, Pierluigi
4
Lau, Chi Keung
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2
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2
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2
Bohl, Martin T.
2
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2
Cavallo, Laura
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2
Dimpfl, Thomas
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Hasan, Mohammad S.
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Jian, Zhihong
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Loc Dong Truong
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International review of economics & finance : IREF
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ECONIS (ZBW)
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1
Volatility and skewness spillover between stock index and stock index futures markets during a crash period : new evidence from China
Hou, Yang
;
Li, Steven
- In:
International review of economics & finance : IREF
66
(
2020
),
pp. 166-188
Persistent link: https://www.econbiz.de/10012390715
Saved in:
2
Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach
Hou, Yang
;
Li, Steven
;
Wen, Fenghua
- In:
Energy economics
83
(
2019
),
pp. 119-143
Persistent link: https://www.econbiz.de/10012175247
Saved in:
3
On forecasting Taiwanese stock index option prices : the role of implied volatility index
Wang, Jying-Nan
;
Liu, Hung-Chun
;
Chen, Lu-Jui
- In:
International journal of economics and finance
9
(
2017
)
9
,
pp. 133-136
Persistent link: https://www.econbiz.de/10011762731
Saved in:
4
Information transmission between U.S. and China index futures markets : an asymmetric DCC GARCH approach
Hou, Yang
;
Li, Steven
- In:
Economic modelling
52
(
2016
),
pp. 884-897
Persistent link: https://www.econbiz.de/10011643072
Saved in:
5
Volatility behaviour of stock index futures in China : a bivariate GARCH approach
Hou, Yang
;
Li, Steven
- In:
Studies in economics and finance
32
(
2015
)
1
,
pp. 128-154
Persistent link: https://www.econbiz.de/10011380764
Saved in:
6
The impact of the CSI 300 stock index futures : positive feedback trading and autocorrelation of stock returns
Hou, Yang
;
Li, Steven
- In:
International review of economics & finance : IREF
33
(
2014
),
pp. 319-337
Persistent link: https://www.econbiz.de/10010532719
Saved in:
7
Hedging performance of Chinese stock index futures : an empirical analysis using wavelet analysis and flexible bivariate GARCH approaches
Hou, Yang
;
Li, Steven
- In:
Pacific-Basin finance journal
24
(
2013
),
pp. 109-131
Persistent link: https://www.econbiz.de/10010346788
Saved in:
8
Forecasting volatility and capturing downside risk of the Taiwanese futures markets under the financial tsunami
Liu, Hung-Chun
;
Hung, Jui-cheng
- In:
Managerial finance
36
(
2010
)
10
,
pp. 860-875
Persistent link: https://www.econbiz.de/10008662545
Saved in:
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