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The impact of settlement time on the volatility of stock markets

Li, Dong - In: Applied financial economics 7 (1997) 6, pp. 689-694

Persistent link: https://www.econbiz.de/10001240752

On a threshold double autoregressive model

Li, Dong; Ling, Shiqing; Zhang, Rongmao - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 68-80

Persistent link: https://www.econbiz.de/10011691211

Prediction in the Panel Data Model with Spatial Correlation : The Case of Liquor

Baltagi, Badi H.; Li, Dong - 2011

This paper considers the problem of prediction in a panel data regression model with spatial auto-correlation in the context of a simple demand equation for liquor. This is based on a panel of 43 states over the period 1965-1994. The spatial auto-correlation due to neighboring states and the...

Persistent link: https://www.econbiz.de/10014183179

Resident terrorist groups, military aid, and moral hazard : further empirical analysis

Kim, Wukki; Li, Dong; Sandler, Todd - In: Defence and peace economics 32 (2021) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10012392078

On asymmetric market model with heteroskedasticity and quantile regression

Chen, Cathy W. S.; Li, Muyi; Nguyen, Nga T. H.; Songsak … - In: Computational economics 49 (2017) 1, pp. 155-174

Persistent link: https://www.econbiz.de/10011751821

Large dimensional portfolio allocation based on a mixed frequency dynamic factor model

Peng, Siyang; Shaojun, Guo; Long, Yonghong - In: Econometric reviews 41 (2022) 5, pp. 539-563

Persistent link: https://www.econbiz.de/10013364893

Sparse spatio-temporal autoregressions by profiling and bagging

Ma, Yingying; Shaojun, Guo; Wang, Hansheng - In: Journal of econometrics 232 (2023) 1, pp. 132-147

Persistent link: https://www.econbiz.de/10013472867

Prospect theory and trading patterns

Yao, Jing; Li, Duan - In: Journal of banking & finance 37 (2013) 8, pp. 2793-2805

Persistent link: https://www.econbiz.de/10009776367

Factor-risk-constrained mean-variance portfolio selection : formulation and global optimization solution approach

Zhu, Shushang; Cui, Xueting; Sun, Xiaoling; Li, Duan - In: Journal of risk 14 (2011/12) 2, pp. 51-89

Persistent link: https://www.econbiz.de/10009422361

An empirical study of nonlinear adjustment in the UIP model using a smooth transition regression model

Li, Dandan; Ghoshray, Atanu; Morley, Bruce - In: International review of financial analysis 30 (2013), pp. 109-120

Persistent link: https://www.econbiz.de/10010459990