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Do macroeconomic variables have regime-dependent effects on stock return dynamics? : evidence from the Markov regime switching model
Chang, Kuang-Liang - In: Economic modelling 26 (2009) 6, pp. 1283-1299
Persistent link: https://www.econbiz.de/10003923540
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The optimal value-at-risk hedging strategy under bivariate regime switching ARCH framework
Chang, Kuang-liang - In: Applied economics 43 (2011) 19/21, pp. 2627-2640
Persistent link: https://www.econbiz.de/10009379651
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Volatility regimes, asymmetric basis effects and forecasting performance : an empirical investigation of the WTI crude oil futures market
Chang, Kuang-liang - In: Energy economics 34 (2012) 1, pp. 294-306
Persistent link: https://www.econbiz.de/10009618842
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The time-varying and asymmetric dependence between crude oil spot and futures markets : evidence from the mixture copula-based ARJI-GARCH model
Chang, Kuang-liang - In: Economic modelling 29 (2012) 6, pp. 2298-2309
Persistent link: https://www.econbiz.de/10009673749
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The impacts of regime-switching structures and fat-tailed characteristics on the relationship between inflation and inflation uncertainty
Chang, Kuang-liang - In: Journal of macroeconomics 34 (2012) 2, pp. 523-536
Persistent link: https://www.econbiz.de/10009689369
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House price dynamics, conditional higher-order moments, and density forecasts
Chang, Kuang-liang - In: Economic modelling 27 (2010) 5, pp. 1029-1039
Persistent link: https://www.econbiz.de/10008824917
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The nonlinear effects of expected and unexpected components of monetary policy on the dynamics of REIT returns
Chang, Kuang-liang - In: Economic modelling 28 (2011) 3, pp. 911-920
Persistent link: https://www.econbiz.de/10009271400
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Does REIT index hedge inflation risk? : new evidence from the tail quantile dependences of the Markov-switching GRG copula
Chang, Kuang-Liang - In: The North American journal of economics and finance : a … 39 (2017), pp. 56-67
Persistent link: https://www.econbiz.de/10011878580
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Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?
Chang, Kuang-Liang - In: International review of economics & finance : IREF 42 (2016), pp. 72-87
Persistent link: https://www.econbiz.de/10011625059
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Asymmetric downside and upside co-movements between stock and REIT markets
Chang, Kuang-Liang - In: Applied economics letters 25 (2018) 2, pp. 78-82
Persistent link: https://www.econbiz.de/10011853694