Similar Search Results

Gold prices and exchange rates : a time-varying copula analysis

Yang, Lu; Hamori, Shigeyuki - In: Applied financial economics 24 (2014) 1/3, pp. 41-50

Persistent link: https://www.econbiz.de/10010389374

Does the crude oil price influence the exchange rates of oil-importing and oil-exporting countries differently? : a wavelet coherence analysis

Yang, Lu; Cai, Xiao Jing; Hamori, Shigeyuki - In: International review of economics & finance : IREF 49 (2017), pp. 536-547

Persistent link: https://www.econbiz.de/10011748693

Interdependence of foreign exchange markets : a wavelet coherence analysis

Yang, Lu; Cai, Xiao Jing; Zhang, Huimin; Hamori, Shigeyuki - In: Economic modelling 55 (2016), pp. 6-14

Persistent link: https://www.econbiz.de/10011642425

Hot money and business cycle volatility : evidence from selected ASEAN countries

Yang, Lu; Hamori, Shigeyuki - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 351-363

Persistent link: https://www.econbiz.de/10011562455

Modeling the dynamis of international agricultural commodity prices : a comparison of GARCH and stochastic volatility models

Yang, Lu; Hamori, Shigeyuki - In: Annals of financial economics 13 (2018) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10011958469

A flexible state-space model with application to stochastic volatility

Gouriéroux, Christian; Lu, Yang - 2016

Persistent link: https://www.econbiz.de/10012196330

Modeling the joint dynamic value at risk of the volatility index, oil price, and exchange rate

Peng, Wei; Hu, Shichao; Chen, Wang; Zeng, Yu-feng; Yang, Lu - In: International review of economics & finance : IREF 59 (2019), pp. 137-149

Persistent link: https://www.econbiz.de/10012202498

From economic policy uncertainty to implied market volatility : nothing to fear?

Yang, Lu - 2025

Persistent link: https://www.econbiz.de/10015376419

A Flexible State-Space Model with Application to Stochastic Volatility

Gouriéroux, Christian - 2016

We introduce a general state-space (or latent factor) model for time series and panel data. The state process has a polynomial expansion based dynamics that can approximate any Markov dynamics arbitrarily well, and has a latent, endogenous switching regime interpretation. The resulting...

Persistent link: https://www.econbiz.de/10012978826

Spatial linkage of volatility spillovers and its explanation across G20 stock markets : a network framework

Zhang, Weiping; Zhuang, Xintian; Lu, Yang; Wang, Jian - In: International review of financial analysis 71 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012435765