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Testing for a unit root in the presence of stochastic volatility and leverage effect

Li, Yong; Chong, Terence Tai-Leung; Zhang, Jie - In: Economic modelling 29 (2012) 5, pp. 2035-2038

Persistent link: https://www.econbiz.de/10009666985

Predictive models for disaggregate stock market volatility

Chong, Terence Tai-Leung; Ling, Shiyun - In: Financial markets and portfolio management 31 (2017) 3, pp. 261-288

Persistent link: https://www.econbiz.de/10011951759

The nexus between analyst forecast dispersion and expected returns surrounding stock market crashes

Chong, Terence Tai-Leung; Wang, Xiaolei - In: Journal of risk and financial management : JRFM 2 (2009) 1, pp. 75-93

The performance of analysts’ forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashes in any depth. This paper attempts to fill...

Persistent link: https://www.econbiz.de/10011556115

The stock-bond comovements and cross-market trading

Li, Mengling; Zheng, Huanhuan; Chong, Terence Tai-Leung; … - In: Journal of economic dynamics & control 73 (2016), pp. 417-438

Persistent link: https://www.econbiz.de/10011709117

Does the macroeconomy matter to market volatility? : evidence from US industries

Wu, Zhang; Chong, Terence Tai-Leung - In: Empirical economics : a quarterly journal of the … 61 (2021) 6, pp. 2931-2962

Persistent link: https://www.econbiz.de/10012664734

Time-varying volatility in the Chinese economy : a regional perspective

He, Qing; Hou, Jack W.; Wang, Boqun; Zhang, Ning - In: Papers in regional science : the journal of the … 93 (2014) 2, pp. 249-268

Persistent link: https://www.econbiz.de/10010478584

Recent macroeconomic stability in China

He, Qing; Chen, Haiqiang - In: China economic review : an international journal 30 (2014), pp. 505-519

Persistent link: https://www.econbiz.de/10011396507

Identifying nonlinear serial dependence in volatile, high-frequency time series and its implications for volatility modeling

Wild, Phillip; Foster, John; Hinich, Melvin J. - In: Macroeconomic dynamics 14 (2010), pp. 88-110

Persistent link: https://www.econbiz.de/10003981218

Randomly modulated periodic signals in Alberta's electricity market

Hinich, Melvin J. (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 3, pp. 1-13

Persistent link: https://www.econbiz.de/10003559084

Randomly modulated periodic signals in Australia's national electricity market

Foster, John; Hinich, Melvin J.; Wild, Phillip - In: The energy journal 29 (2008) 3, pp. 105-129

Persistent link: https://www.econbiz.de/10003733966