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Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?

Chang, Kuang-Liang - In: International review of economics & finance : IREF 42 (2016), pp. 72-87

Persistent link: https://www.econbiz.de/10011625059

Asymmetric downside and upside co-movements between stock and REIT markets

Chang, Kuang-Liang - In: Applied economics letters 25 (2018) 2, pp. 78-82

Persistent link: https://www.econbiz.de/10011853694

A new dynamic mixture copula mechanism to examine the nonlinear and asymmetric tail dependence between stock and exchange rate returns

Chang, Kuang-Liang - In: Computational economics 58 (2021) 4, pp. 965-999

Persistent link: https://www.econbiz.de/10012697775

Do economic policy uncertainty indices matter in joint volatility cycles between US and Japanese stock markets?

Chang, Kuang-Liang - In: Finance research letters 47 (2022) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10013457481

Do US and Japanese uncertainty shocks play important roles in affecting transition mechanisms of Japanese stock market?

Chang, Kuang-Liang - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10013186556

The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate

Chang, Kuang-Liang - In: Journal of international money and finance 133 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014304729

How did the asset markets change after the Global Financial Crisis?

Chang, Kuang-Liang; Leung, Ka Yui - 2021

The Global Financial Crisis (GFC) changes the relative economic riskiness and risk-adjusted-performance of different asset markets. While the empirical distribution for stock return shifted to the right and became more concentrated around the mean after the GFC, the real estate market...

Persistent link: https://www.econbiz.de/10012488927

How did the asset markets change after the Global Financial Crisis?

Chang, Kuang-Liang; Leung, Ka Yui - 2021 - This version: March 2021

Persistent link: https://www.econbiz.de/10012617447