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Measuring asymmetry and persistence in conditional volatility in real output : evidence from three East Asian tigers using a multivariate GARCH approach

Vu Thanh Hai; Tsui, Albert K.; Zhang, Zhaoyong - In: Applied economics 45 (2013) 19/21, pp. 2909-2914

Persistent link: https://www.econbiz.de/10010192361

Conditional volatility asymmetry of business cycles : evidence from four OECD countries

Ho, Kin-Yip; Tsui, Albert K.; Zhang, Zhaoyong - In: Journal of economic development 38 (2013) 3, pp. 33-56

Persistent link: https://www.econbiz.de/10010196456

Conditional heteroscedasticity with leverage effect in stock returns : evidence from the Chinese stock market

Long, Ling; Tsui, Albert K.; Zhang, Zhaoyong - In: Economic modelling 37 (2014), pp. 89-102

Persistent link: https://www.econbiz.de/10010416824

Estimating time-varying currency betas with contagion : new evidence from developed and emerging financial markets

Long, Ling; Tsui, Albert K.; Zhang, Zhaoyong - In: Japan and the world economy : international journal of … 30 (2014), pp. 10-24

Persistent link: https://www.econbiz.de/10010462927

Exchange rate exposure of sectoral returns and volatilities : further evidence from Japanese industrial sectors

Jayasinghe, Prabhath; Tsui, Albert K.; Zhang, Zhaoyong - In: Pacific economic review 19 (2014) 2, pp. 216-236

Persistent link: https://www.econbiz.de/10010503073

New estimates of time-varying currency betas : a trivariate BEKK approach

Jayasinghe, Prabhath; Tsui, Albert K.; Zhang, Zhaoyong - In: Economic modelling 42 (2014), pp. 128-139

Persistent link: https://www.econbiz.de/10010478223

Volatility dynamics of the UK business cycle : a multivariate asymmetric GARCH approach

Ho, Kin-Yip; Tsui, Albert K.; Zhang, Zhaoyong - In: International economics : a journal published by CEPII … 117 (2009) 1, pp. 31-46

Persistent link: https://www.econbiz.de/10003885910

New Estimates of Time-Varying Currency Betas : A Trivariate BEKK Approach

Jayasinghe, Prabhath - 2014

This paper examines the conditional time-varying currency betas from ﬁve developed markets and four emerging markets. We employ a modiﬁed trivariate BEKK-GARCH-in-mean model of Engle and Kroner (1995) to estimate the time-varying conditional variance and covariance of returns of stock index,...

Persistent link: https://www.econbiz.de/10013050759

New Estimates of Time‐Varying Currency Betas : A Trivariate BEKK Approach

Jayasinghe, Prabhath; Tsui, Albert K.; Zhang, Zhaoyong - 2015

This paper examines the conditional time‐varying currency betas from five developed markets and four emerging markets. We employ a modified trivariate BEKK‐GARCH‐in‐mean model of Engle and Kroner (1995) to estimate the time‐varying conditional variance and covariance of returns of...

Persistent link: https://www.econbiz.de/10014137243

Conditional volatility in foreign exchange rates : evidence from the alaysian ringgit and Singapore dollar

Tse, Yiu Kuen - In: Pacific-Basin finance journal 5 (1997) 3, pp. 345-356

Persistent link: https://www.econbiz.de/10001229128