This paper designs a Mixture copula-based ARJI–GARCH model to simultaneously investigate the dynamic process of crude oil spot and futures returns and the time-varying and asymmetric dependence between spot and futures returns. The individual behavior of each market is modeled by the...

Most studies on housing price dynamics are only concerned with the conditional mean and variance, but overlook other higher-order conditional moments and the structural change characteristics inherent in housing prices. In order to take into account these two important issues, this study...

This paper examines empirically whether the expected and unexpected components of monetary policy have nonlinear impacts on the dynamics of REIT returns. Empirical results find the nonlinear response of REIT returns to expected and unexpected components of monetary policy. The unexpected...

This paper aims to investigate the relationship between inventory change and the industry cycle in a deeper way. The nonlinear, two-state, trivariate, Markov regime-switching model developed in this paper which includes inventory change, capacity utilization and chip sales not only obtains...

The predictability of stock return dynamics is a topic discussed most frequently in empirical studies; however, no unanimous conclusion has yet been reached due to the ignorance of structural changes in stock price dynamics. This study applies various regime switching GJR-GARCH models to analyze...