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A flexible state-space model with application to stochastic volatility

Gouriéroux, Christian; Lu, Yang - 2016

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

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 spillover effects and risk contagion around G20 stock markets based on volatility network

Zhang, Weiping; Zhuang, Xintian; Lu, Yang - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012659562

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

Network structures and idiosyncratic contagion in the European sovereign credit default swap market

Chen, Wang; Ho, Kung-Cheng; Lu, Yang - In: International review of financial analysis 72 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012437342

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

Yang, Lu - In: The journal of futures markets 45 (2025) 2, pp. 143-157

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

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

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

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

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