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Uniform testing and portfolio strategies for single and multifactor asset pricing models in the Pacific Basin markets
Chen, An-sing; Fang, Shih-chuan - In: Applied economics 41 (2009) 13/15, pp. 1951-1963
Persistent link: https://www.econbiz.de/10003862780
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Uniform testing and portfolio strategies for single and multifactor asset pricing models in the Pacific Basin markets
Chen, An-Sing; Fang, Shih-Chuan - In: Applied economics 41 (2009) 13-15, pp. 1951-1964
Persistent link: https://www.econbiz.de/10008275465
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Uniform testing and portfolio strategies for single and multifactor asset pricing models in the Pacific Basin markets
Chen, An-Sing; Fang, Shih-Chuan - In: Applied economics 41 (2009) 15, pp. 1951-1964
Persistent link: https://www.econbiz.de/10008258381
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Uniform testing and portfolio strategies for single and multifactor asset pricing models in the Pacific Basin markets
Chen, An-Sing; Fang, Shih-Chuan - In: Applied economics 41 (2009) 15, pp. 1951-1964
Persistent link: https://www.econbiz.de/10008931668
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Exploring new ways to forecast stock return volatilities
Chen, An-sing - 1994
Persistent link: https://www.econbiz.de/10000915944
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Volatility of exchange rate futures and high-low price spreads
Chen, An-sing - In: Journal of economics and finance 21 (1997) 1, pp. 33-42
Persistent link: https://www.econbiz.de/10001248741
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Forecasting the S&P 500 index volatility
Chen, An-sing - In: International review of economics & finance : IREF 6 (1997) 4, pp. 391-404
Persistent link: https://www.econbiz.de/10001235520
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Forecasting stock indices: a comparison of classification and level estimation models
Leung, Mark T.; Daouk, Hazem; Chen, An-Sing - In: International Journal of Forecasting 16 (2000) 2, pp. 173-190
Persistent link: https://www.econbiz.de/10005418473
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Asymmetrical return on equity mean reversion and catering
Chen, An-Sing; Lin, Shih-Chieh - In: Journal of Banking & Finance 35 (2011) 2, pp. 471-477
Using a momentum threshold autoregression model, we find evidence showing that there is an asymmetrical mean reversion behavior in return on equity (ROE). Results show that the speed of adjustment of ROE towards the long-term mean is slower in the ROE increasing regimes than in the ROE...
Persistent link: https://www.econbiz.de/10008864673
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The dynamic relations among return volatility, trading imbalance, and trading volume in futures markets
Chen, An-Sing; Fung, Hung-Gay; Kao, Erin H.C. - In: Mathematics and Computers in Simulation (MATCOM) 79 (2008) 3, pp. 429-436
Trading imbalances reflect the quality of market information and may contain more information than the number of trades or trading volume. In order to better understand how trading imbalances play a role different from traditional variables (i.e., number of trades and trading volume) in...
Persistent link: https://www.econbiz.de/10010870586