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International interest rate transmission and volatility spillover

Fung, Hung-gay - In: International review of economics & finance : IREF 6 (1997) 1, pp. 67-75

Persistent link: https://www.econbiz.de/10001218306

Daily volatility behavior in Chinese futures markets

Chan, Kam C.; Fung, Hung-gay; Leung, Wai K. - In: Journal of international financial markets, … 14 (2004) 5, pp. 491-505

Persistent link: https://www.econbiz.de/10002187133

Multi-asset volatility premiums or anomalies?

Jacobsen, Brian; Cheng, Eddie; Lee, Wai - In: The journal of portfolio management : a publication of … 45 (2018) 2, pp. 47-57

Persistent link: https://www.econbiz.de/10012016819

The dynamic of volatility spillovers in Chinese futures markets

Chan, Leo H.; Lien, Da-hsiang Donald; Leung, Wai Kin - In: Journal of emerging markets 12 (2007) 1, pp. 34-43

Persistent link: https://www.econbiz.de/10003455731

Asymmetric Correlation and Volatility Dynamics Among Stock, Bond, and Securitized Real Estate Markets

Yang, Jian - 2010

We apply a multivariate asymmetric generalized dynamic conditional correlation GARCH model to daily index returns of S&P500, US corporate bonds, and their real estate counterparts (REITs and CMBS) from 1999 to 2008. We document, for the first time, evidence for asymmetric volatilities and...

Persistent link: https://www.econbiz.de/10013139729

Asymmetric Correlation and Volatility Dynamics Among Stock, Bond, and Securitized Real Estate Markets

Yang, Jian - 2012

Persistent link: https://www.econbiz.de/10013101365

Measuring and forecasting yield volatility

Fabozzi, Frank J.; Lee, Wai - In: Interest rate, term structure, and valuation modeling, (pp. 187-212). 2002

Persistent link: https://www.econbiz.de/10001734175

The dynamic relationship of volatility, volume, and market depth in currency futures markets

Fung, Hung-gay; Patterson, Gary A. - In: Journal of international financial markets, … 9 (1999) 1, pp. 33-59

Persistent link: https://www.econbiz.de/10001402116

The relationship among volatility, volume, bid-ask spread and number of brokers : evidence from intra-day data on the Hong Kong stock market

Fung, Hung-gay; Hwang, Chuan-yang; Leung, Wai-kin - In: Review of Pacific Basin financial markets and policies 1 (1998) 3, pp. 303-320

Persistent link: https://www.econbiz.de/10001367260

Volatility linkage among currency futures markets during US trading and non-trading periods

Fung, Hung-Gay; Patterson, Gary A. - In: Journal of multinational financial management 9 (1999) 2, pp. 129-153

Persistent link: https://www.econbiz.de/10001373239