Informatization, a policy of integrated telecommunications development, is regarded as one of the driving forces behind the Chinese government's new socialist countryside program. Various national and provincial programs have been initiated to connect the agricultural communities to the...

China's four-trillion-yuan stimulus package fueled by bank loans in 2009 has led to the rapid growth of shadow banking activities in China after 2012. The local governments in China financed the stimulus plan mainly through bank loans in 2009, and resorted to non-bank debt financing after 2012...

Misappropriation has become the accepted explanation for the refinancing behavior of Chinese listed companies, although the evidence in support of such an explanation is worthy of further discussion. We argue that if a planned refinancing exercise does not become a reality, post-refinancing...

This paper extends the existing fully parametric Bayesian literature on stochastic volatility to allow for more general return distributions. Instead of specifying a particular distribution for the return innovation, we use nonparametric Bayesian methods to flexibly model the skewness and...

This paper proposes a Bayesian nonparametric modeling approach for the return distribution in multivariate GARCH models. In contrast to the parametric literature, the return distribution can display general forms of asymmetry and thick tails. An infinite mixture of multivariate normals is given...

In this paper, we extend the parametric, asymmetric, stochastic volatility model (ASV), where returns are correlated with volatility, by flexibly modeling the bivariate distribution of the return and volatility innovations nonparametrically. Its novelty is in modeling the joint, conditional,...

The relationship between risk and return is one of the most studied topics in finance. The majority of the literature is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the contemporaneous relationship between market excess...

A sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks is proposed. Particle filtering techniques allow for fast and efficient updates of posterior quantities and forecasts in real time. The method conveniently deals with the path dependence...