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Global and regional range-based volatility spillover effects

Lee, Yen-Hsien - In: Emerging markets review 14 (2013), pp. 1-10

Persistent link: https://www.econbiz.de/10009727970

Day-of-the-week and jump effects in international investment sentiment indices

Lee, Yen-Hsien - In: Investment management and financial innovations 11 (2014) 2, pp. 60-68

Persistent link: https://www.econbiz.de/10010392833

Does the US fear gauge impact on the investor fear gauge in the emerging markets?

Lee, Yen-Hsien - In: Journal of emerging market finance 14 (2015) 3, pp. 197-209

Persistent link: https://www.econbiz.de/10011429890

Jump dynamics and volatility: Oil and the stock markets

Chiou, Jer-Shiou; Lee, Yen-Hsien - In: Energy 34 (2009) 6, pp. 788-796

Our study distinguishes itself from the prior studies within the oil and financial literature by not only examining the asymmetric effects of oil prices on stock returns, but also exploring the importance of structure changes in this dependency relationship. We retrieve daily data on S&P 500 and...

Persistent link: https://www.econbiz.de/10010809338

Arbitrage behaviour in the exchange rates of Taiwan and Japan : applying the smooth transition vector error correction model with GJR-GARCH and spillover volatility

Lee, Yen-Hsien; Chiu, Chien-liang - In: Applied economics 43 (2011) 13/15, pp. 1935-1943

Persistent link: https://www.econbiz.de/10009240247

Conditional jump dynamics in the stock prices of alternative energy companies

Lee, Yen-Hsien; Huang, Ya-Ling; Wu, Chun-Yu - In: International Journal of Energy Economics and Policy : IJEEP 3 (2013) 3, pp. 288-296

Persistent link: https://www.econbiz.de/10010192879

A study of dynamics in market volatility indices between the US and Taiwan

Lee, Yen-Hsien; Hung, Jui-Cheng; Wang, Yi-Hsien; Huang, … - In: Investment management and financial innovations 9 (2012) 4, pp. 89-95

Persistent link: https://www.econbiz.de/10009745489

Accurately forecasting model for the stochastic volatility data in tourism demand

Huang, Ya-Ling; Lee, Yen-Hsien - In: Modern economy 2 (2011) 5, pp. 823-829

Persistent link: https://www.econbiz.de/10009620634

Exploring forecast error and the informational content of implied volatility in the Taiwan market

Lee, Yen-Hsien; Lin, Chi-tai; Chiang, Shu-mei - In: Asia-Pacific journal of financial studies 41 (2012) 5, pp. 590-609

Persistent link: https://www.econbiz.de/10009665556

Global contagion of market sentiment during the US subprime crisis

Lee, Yen-Hsien; Tucker, Alan L.; Wang, David K.; Pao, … - In: Global finance journal 25 (2014) 1, pp. 17-26

Persistent link: https://www.econbiz.de/10010400994