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Conditional volatility asymmetry of business cycles : evidence from four OECD countries

Ho, Kin-Yip; Tsui, Albert K.; Zhang, Zhaoyong - In: Journal of economic development 38 (2013) 3, pp. 33-56

Persistent link: https://www.econbiz.de/10010196456

Volatility dynamics of the UK business cycle : a multivariate asymmetric GARCH approach

Ho, Kin-Yip; Tsui, Albert K.; Zhang, Zhaoyong - In: International economics : a journal published by CEPII … 117 (2009) 1, pp. 31-46

Persistent link: https://www.econbiz.de/10003885910

A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations

Tse, Yiu Kuen; Tsui, Albert K. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 351-362

Persistent link: https://www.econbiz.de/10001695276

Exchange rate exposure of sectoral returns and volatilities : further evidence from Japanese industrial sectors

Jayasinghe, Prabhath; Tsui, Albert K.; Zhang, Zhaoyong - In: Pacific economic review 19 (2014) 2, pp. 216-236

Persistent link: https://www.econbiz.de/10010503073

Exchange rate exposure of sectoral returns and volatilities : evidence from Japanese industrial sectors

Jayasinghe, Prabhath; Tsui, Albert K. - In: Japan and the world economy : international journal of … 20 (2008) 4, pp. 639-660

Persistent link: https://www.econbiz.de/10003778520

Exchange Rate Exposure of Sectoral Returns and Volatilities : Evidence from Japanese Industrial Sectors

Jayasinghe, Prabhath - 2014

Most studies of exchange rate exposure of stock returns do not address three relevant aspects simultaneously. They are, namely: sensitivity of stock returns to exchange rate changes; sensitivity of volatility of stock returns to volatility of changes in foreign exchange market; and the...

Persistent link: https://www.econbiz.de/10013051554

Volatility and correlation dynamics of the mainland Chinese and Hong Kong stock markets : evidence from the A-, B-, hand- and red chip markets

Ho, Kin-Yip; Shi, Yanlin; Zhang, Zhaoyong - In: The journal of wealth management 17 (2014/15) 2, pp. 55-67

Persistent link: https://www.econbiz.de/10010401008

It takes two to tango : a regime-switching analysis of the correlation dynamics between the Mainland Chinese and Hong Kong stock markets

Ho, Kin-Yip; Shi, Yanlin; Zhang, Zhaoyong - In: Scottish journal of political economy : the journal of … 63 (2016) 1, pp. 41-65

Persistent link: https://www.econbiz.de/10011454981

Public information arrival, price discovery and dynamic correlations in the Chinese renminbi markets

Ho, Kin-Yip; Shi, Yanlin; Zhang, Zhaoyong - In: The North American journal of economics and finance : a … 46 (2018), pp. 168-186

Persistent link: https://www.econbiz.de/10012036615