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Reexamining covariance risk dynamics in global stock markets using quantile regression analysis
Li, Ming-yuan Leon - In: Emerging markets : identification, new developments and …, (pp. 57-80). 2010
Persistent link: https://www.econbiz.de/10009563149
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Examining the volatility of Taiwan Stock Index returns via a three-volatility-regime Marvov-switching ARCH model
Li, Ming-yuan Leon; Lin, Hsiou-wei William - In: Review of quantitative finance and accounting 21 (2003) 2, pp. 123-139
Persistent link: https://www.econbiz.de/10001787768
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Estimating value-a-risk via Markov switching ARCH models : an empirical study on stock index returns
Li, Ming-yuan Leon; Lin, Hsiou-wei William - In: Applied economics letters 11 (2004) 11, pp. 679-691
Persistent link: https://www.econbiz.de/10002195609
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Re-examining covariance risk dynamics in international stock markets using quantile regression analysis
Li, Ming-yuan Leon; Yen, Stéphane Meng-feng - In: Acta oeconomica : periodical of the Hungarian Academy … 61 (2011) 1, pp. 33-59
Persistent link: https://www.econbiz.de/10009303870
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Could dynamic beta measures enhance performance of capital-asset-pricing model on fitting stock returns? : a reality test
Li, Ming-yuan Leon - In: The Manchester School 79 (2011) 3, pp. 349-366
Persistent link: https://www.econbiz.de/10009266825
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Optimal futures hedging under multichain Markov regime switching
Sheu, Her-jiun; Lee, Hsiang-tai - In: The journal of futures markets 34 (2014) 2, pp. 173-202
Persistent link: https://www.econbiz.de/10010255473
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Incremental value of futures hedge using realized ranges
Sheu, Her-jiun; Lai, Yu-Sheng - In: The journal of futures markets 34 (2014) 7, pp. 676-689
Persistent link: https://www.econbiz.de/10010507941
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A multivariate Markov regime-switching high-frequency-based volatility model for optimal futures hedging
Lai, Yu-Sheng; Sheu, Her-jiun; Lee, Hsiang-Tai - In: The journal of futures markets 37 (2017) 11, pp. 1124-1140
Persistent link: https://www.econbiz.de/10011950956
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A full jump switching level GARCH model for short-term interest rate
Sheu, Her-jiun; Lee, Hsiang-tai - In: Applied financial economics 22 (2012) 4/6, pp. 479-489
Persistent link: https://www.econbiz.de/10009581297
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Risk transmission between natural gas market and stock markets : portfolio and hedging strategy analysis
Lin, Ling; Zhou, Zhongbao; Liu, Qing; Jiang, Yong - In: Finance research letters 29 (2019), pp. 245-254
Persistent link: https://www.econbiz.de/10012419082