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Dynamic Semiparametric Factor Model with Structural Breaks

Chen, Likai - 2018

For change-point analysis of high dimensional time series, we consider a semiparametric model with dynamic structural break factors. The observations are described by a few low dimensional factors with time-invariate loading functions of covariates. The unknown structural break in time models...

Persistent link: https://www.econbiz.de/10012926345

The determinants of liquidity with G-RJMCMC-VS model : evidence from China

Chen, Langnan; Luo, Jiawen; Liu, Hao - In: Economic modelling 35 (2013), pp. 192-198

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Corporate governance and corporate performance : some evidence from newly listed firms on Chinese stock markets

Chen, Langnan; Li, Steven; Chen, Yijia - 2005

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Corporate governance and corporate performance : some evidence from newly listed firms on Chinese stock markets

Chen, Langnan; Li, Steven; Lin, Weibin - In: International journal of accounting, auditing and … 4 (2007) 2, pp. 183-197

Persistent link: https://www.econbiz.de/10003569831

Semiparametric estimation of partially varying-coefficient dynamic panel data models

Cai, Zongwu; Chen, Linna; Fang, Ying - In: Econometric reviews 34 (2015) 6/10, pp. 695-719

Persistent link: https://www.econbiz.de/10011483372

Realized volatility forecast of stock index under structural breaks

Yang, Ke; Chen, Langnan; Tian, Fengping - In: Journal of forecasting 34 (2015) 1, pp. 57-82

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The asymmetric effect of volatility spillover in global virtual financial asset markets : the case of Bitcoin

Dong, Hao; Chen, Liming; Zhang, Xinyi; Failler, Pierre; … - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 6, pp. 1293-1311

Persistent link: https://www.econbiz.de/10012211636

Driving factors of equity bubbles

Wang, Shengquan; Chen, Langnan - In: The North American journal of economics and finance : a … 49 (2019), pp. 304-317

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The role of endogenous and exogenous risk in FDI entry choices

Buckley, Peter J.; Chen, Liang; Clegg, Jeremy; Voss, Hinrich - In: Journal of world business : JWB 55 (2020) 1, pp. 1-11

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A semiparametric quantile panel data model with an application to estimating the growth effect of FDI

Cai, Zongwu; Chen, Linna; Fang, Ying - In: Journal of econometrics 206 (2018) 2, pp. 531-553

Persistent link: https://www.econbiz.de/10012110412