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Change in volatility regimes and diversification in emerging stock markets

Li, Ming-yuan Leon - In: The South African journal of economics 77 (2009) 1, pp. 59-80

Persistent link: https://www.econbiz.de/10003837746

Multiple asymmetries in index stock returns from boom bust and stable volatile markets states : an empirical study of US and UK stock markets

Li, Ming-yuan Leon - In: Applied economics letters 16 (2009) 1/3, pp. 183-191

Persistent link: https://www.econbiz.de/10003822700

Volatility states and international diversification of international stock markets

Li, Ming-yuan Leon - In: Applied economics 39 (2007) 13/15, pp. 1867-1876

Persistent link: https://www.econbiz.de/10003535218

Purchasing power parity under high and low volatility regimes

Li, Ming-yuan Leon - In: Applied economics letters 14 (2007) 7/9, pp. 581-589

Persistent link: https://www.econbiz.de/10003512270

Examining the volatility of Taiwan Stock Index returns via a three-volatility-regime Marvov-switching ARCH model

Li, Ming-yuan Leon; Lin, Hsiou-wei William - In: Review of quantitative finance and accounting 21 (2003) 2, pp. 123-139

Persistent link: https://www.econbiz.de/10001787768

Estimating value-a-risk via Markov switching ARCH models : an empirical study on stock index returns

Li, Ming-yuan Leon; Lin, Hsiou-wei William - In: Applied economics letters 11 (2004) 11, pp. 679-691

Persistent link: https://www.econbiz.de/10002195609

Analysts' forecast dispersion and stock returns : a quantile regression approach

Li, Ming-yuan Leon; Wu, Jyong-Sian - In: The journal of behavioral finance : a publication of … 15 (2014) 3, pp. 175-183

Persistent link: https://www.econbiz.de/10011303211

Could the jump diffusion technique enhance the effectiveness of futures hedging models?

Li, Ming-Yuan Leon - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 10, pp. 3076-3088

A multivariate Markov-switching ARCH (MVSWARCH) model in which variance/correlations for futures and spot returns is controlled by a state-varying mechanism is introduced and used to design a state-varying stock index futures hedge ratio. Additionally, a conventional random-variance framework,...

Persistent link: https://www.econbiz.de/10010870242

Do the loss patterns of financial assets influence investors' perceived risk? : from the perspective of loss aversion

Sheu, Her-jiun; Lee, Hui-Tzu; Luo, Lieh-Ming; Lee, Chih-Wei - In: Journal of financial studies : JFS : the official … 31 (2023) 2, pp. 39-59

Persistent link: https://www.econbiz.de/10014339147

Hedging performance of volatility index futures : a partial cointegration approach

Lee, Hsiu-chuan; Lien, Da-hsiang Donald; Sheu, Her-jiun - In: Review of quantitative finance and accounting 61 (2023) 1, pp. 265-294

Persistent link: https://www.econbiz.de/10014342031