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Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and CVaR-based risk control

Chen, Zhiping - In: OR spectrum : quantitative approaches in management 27 (2005) 4, pp. 603-632

Persistent link: https://www.econbiz.de/10003025394

The effects of sudden celebrity deaths on the US stock market

Chen, Zhiping - 2011

Persistent link: https://www.econbiz.de/10009302019

Alternative settlement methods and Australian individual share futures contracts

Lien, Da-hsiang Donald; Li, Yang - In: Journal of international financial markets, … 14 (2004) 5, pp. 473-490

Persistent link: https://www.econbiz.de/10002187102

Availability and settlement of individual stock futures and options expiration-day effects : evidence from high-frequency data

Lien, Da-hsiang Donald; Li, Yang - In: The quarterly review of economics and finance : journal … 45 (2005) 4/5, pp. 730-747

Persistent link: https://www.econbiz.de/10003099292

Return autocorrelations on individual stocks and corresponding futures : evidence from Australian, Hong Kong, and United Kingdom markets

Lien, Da-hsiang Donald; Li, Yang - In: Review of Pacific Basin financial markets and policies 7 (2004) 3, pp. 397-422

Persistent link: https://www.econbiz.de/10002229060

Intraday return and volatility spill-over across international copper futures markets

Lien, Da-hsiang Donald; Li, Yang - In: International journal of managerial finance : IJMF 5 (2009) 1, pp. 135-149

Persistent link: https://www.econbiz.de/10003935287

Co-movement between RMB and New Taiwan Dollars : evidences from NDF markets

Lien, Da-hsiang Donald; Li, Yang; Zhou, Chunyang; Lee, Geul - In: The North American journal of economics and finance : a … 28 (2014), pp. 265-272

Persistent link: https://www.econbiz.de/10010461942

Predictability of crude oil prices : an investor perspective

Liu, Li; Wang, Yudong; Yang, Li - In: Energy economics 75 (2018), pp. 193-205

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Can real options explain the skewness of stock returns?

Ho, Tuan; Kim, Kirak; Li, Yang; Xu, Fangming - In: Journal of banking & finance 148 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014248283

How mutual funds respond to asymmetric feedback trading in China's stock market

Wan, Die; Li, Yang; Yang, Xiaoguang - In: Journal of management science and engineering 9 (2024) 2, pp. 143-160

Previous studies show that individual investors play a dominant role in China's stock market. Their behavior of chasing-rise being stronger than killing-fall leads to asymmetry of feedback trading. Our article investigates how mutual funds react to this market force. Using China's stock and fund...

Persistent link: https://www.econbiz.de/10014631861