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An empirical investigation of risk-return relations in Chinese equity markets : evidence from aggregate and sectoral data

Chiang, Thomas C.; Zhang, Yuanqing - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-22

This paper investigates the risk-return relations in Chinese equity markets. Based on a TARCH-M model, evidence shows that stock returns are positively correlated with predictable volatility, supporting the risk-return relation in both aggregate and sectoral markets. Evidence finds a positive...

Persistent link: https://www.econbiz.de/10011883488

Estimation of partially specified dynamic spatial panel data models with fixed-effects

Zhang, Yuanqing; Sun, Yanqing - In: Regional science & urban economics 51 (2015), pp. 37-46

Persistent link: https://www.econbiz.de/10011313155

Estimation of partially specified spatial panel data models with fixed-effects

Ai, Chunrong; Zhang, Yuanqing - In: Econometric reviews 36 (2017) 1/3, pp. 6-22

Persistent link: https://www.econbiz.de/10011794552

CVA for Cliquet options under Heston model

Feng, Yaqin; Wang, Min; Zhang, Yuanqing - In: The North American journal of economics and finance : a … 48 (2019), pp. 272-282

Persistent link: https://www.econbiz.de/10012120248

QML estimation of the matrix exponential spatial specification panel data model with fixed effects and heteroskedasticity

Zhang, Yuanqing; Feng, Shuhui; Jin, Fei - In: Economics letters 180 (2019), pp. 1-5

Persistent link: https://www.econbiz.de/10012121730

Empirical analysis on the predictors of future spot rates

Chiang, Thomas C. - In: The journal of financial research 9 (1986) 2, pp. 153-162

Persistent link: https://www.econbiz.de/10001019913

Time series dynamics of short-term interest rates : evidence from Eurocurrency markets

Chiang, Thomas C. - In: Journal of international financial markets, … 7 (1997) 3, pp. 201-220

Persistent link: https://www.econbiz.de/10001238421

International asset pricing and equity market risk

Chiang, Thomas C. - In: Journal of international money and finance 10 (1991) 3, pp. 349-364

Persistent link: https://www.econbiz.de/10001110872

The forward rate as a predictor of the future spot rate : a stochastic coefficient approach

Chiang, Thomas C. - In: Journal of money, credit and banking : JMCB 20 (1988) 2, pp. 212-232

Persistent link: https://www.econbiz.de/10001051964

The impact of unexpected macro-disturbances on exchange rates in monetary models

Chiang, Thomas C. - In: The quarterly review of economics and business : … 25 (1985) 2, pp. 49-59

Persistent link: https://www.econbiz.de/10001998707