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Losing track of the asset markets : the case of housing and stock

Chang, Kuang-Liang; Chen, Nan-kuang; Leung, Ka Yui - 2015

This paper revisits the relationships among macroeconomic variables and asset returns. Based on recent developments in econometrics, we categorize competing models of asset returns into different "Equivalence Predictive Power Classes" (EPPC). During the pre-crisis period (1975-2005), some models...

Persistent link: https://www.econbiz.de/10010506815

Do macroeconomic variables have regime-dependent effects on stock return dynamics? : evidence from the Markov regime switching model

Chang, Kuang-Liang - In: Economic modelling 26 (2009) 6, pp. 1283-1299

Persistent link: https://www.econbiz.de/10003923540

Volatility regimes, asymmetric basis effects and forecasting performance : an empirical investigation of the WTI crude oil futures market

Chang, Kuang-liang - In: Energy economics 34 (2012) 1, pp. 294-306

Persistent link: https://www.econbiz.de/10009618842

Does REIT index hedge inflation risk? : new evidence from the tail quantile dependences of the Markov-switching GRG copula

Chang, Kuang-Liang - In: The North American journal of economics and finance : a … 39 (2017), pp. 56-67

Persistent link: https://www.econbiz.de/10011878580

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

A mixed dependence between the exchange rate and international crude oil returns : an application of dynamic mixture copula

Chang, Kuang-Liang - In: Emerging markets finance & trade : a journal of the … 53 (2017) 10/11/12, pp. 2347-2360

Persistent link: https://www.econbiz.de/10011825350

An investigation on mixed housing-cycle structures and asymmetric tail dependences

Chang, Kuang-Liang - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-10

Persistent link: https://www.econbiz.de/10012658920

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

Further evidence on bear market predictability : the role of the external finance premium

Chen, Nan-kuang; Chen, Shiu-sheng; Chou, Yu-Hsi - In: International review of economics & finance : IREF 50 (2017), pp. 106-121

Persistent link: https://www.econbiz.de/10011754115

Inventory change, capacity utilization and the semiconductor industry cycle

Liu, Wen-hsien; Chung, Ching-fan; Chang, Kuang-liang - In: Economic modelling 31 (2013), pp. 119-127

Persistent link: https://www.econbiz.de/10009725766