Similar Search Results

Regime switching and asset allocation : Evidence from international real estate security markets

Liow, K.H.; Zhu, H. - In: Journal of Property Investment & Finance 25 (2007) 3, pp. 274-288

Purpose – The purpose of this paper is to explore a regime switching asset allocation model that includes six major real estate security markets (USA, UK, Japan, Australia, Hong Kong and Singapore) and focuses on how the presence of regimes affects portfolio composition....

Persistent link: https://www.econbiz.de/10014898167

Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns

Zhu, Huiming; Li, Rong; Li, Sufang - In: International review of economics & finance : IREF 29 (2014), pp. 208-223

Persistent link: https://www.econbiz.de/10010431437

Revisiting the asymmetric dynamic dependence of stock returns : evidence from a quantile autoregression model

Zhu, Huiming; Li, Zhao-Lai; You, Wan-hai; Zeng, Zhaofa - In: International review of financial analysis 40 (2015), pp. 142-153

Persistent link: https://www.econbiz.de/10011475708

Risk spillover of international crude oil to China's firms : evidence from granger causality across quantile

Peng, Cheng; Zhu, Huiming; Guo, Yawei; Chen, Xiuyun - In: Energy economics 72 (2018), pp. 188-199

Persistent link: https://www.econbiz.de/10011972302

Oil price shocks, economic policy uncertainty and industry stock returns in China : asymmetric effects with quantile regression

You, Wan-hai; Guo, Yawei; Zhu, Huiming; Tang, Yong - In: Energy economics 68 (2017), pp. 1-18

Persistent link: https://www.econbiz.de/10011904980

The heterogeneity dependence between crude oil price changes and industry stock market returns in China : evidence from a quantile regression approach

Zhu, Huiming; Guo, Yawei; You, Wan-hai; Xu, Yaqin - In: Energy economics 55 (2016), pp. 30-41

Persistent link: https://www.econbiz.de/10011663084

Stock price synchronicity to oil shocks across quantiles : evidence from Chinese oil firms

Cheng, Peng; Zhu, Huiming; Jia, Xianghua; You, Wan-hai - In: Economic modelling 61 (2017), pp. 248-259

Persistent link: https://www.econbiz.de/10011736872

Asymmetric spillover effects between the Shanghai and Hong Kong stock markets : evidence from quantile lagged regression

Zhu, Huiming; Tang, Yueli; Guo, Peng - In: Applied economics 49 (2017) 9, pp. 886-902

Persistent link: https://www.econbiz.de/10011811073

Asymmetric effects of oil price shocks on stock returns : evidence from a two-stage Markov regime-switching approach

Zhu, Huiming; Su, Xianfang; You, Wan-hai; Ren, Ying-hua - In: Applied economics 49 (2017) 25, pp. 2491-2507

Persistent link: https://www.econbiz.de/10011819559

Extreme dependence between crude oil and stock markets in Asia-Pacific regions : evidence from quantile regression

Zhu, Huiming; Huang, Hui; Peng, Cheng; Yang, Yan - 2016

This paper investigates the extreme dependence between the Asia-Pacific stock markets and the international crude oil market by applying the quantile regression theory and using daily data from January 4th, 2000 to July 4th, 2016. The authors obtain a more detailed result on the degree and...

Persistent link: https://www.econbiz.de/10011561029