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accessRights:"restricted"
~person:"Chang, Kuang-Liang"
~person:"D'Amico, Guglielmo"
~subject:"ARCH model"
~subject:"Crude oil"
~subject:"Theorie"
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Markov chain
13
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6
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6
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5
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Chang, Kuang-Liang
D'Amico, Guglielmo
Tsionas, Efthymios G.
13
Serletis, Apostolos
9
Xu, Libo
8
Feinberg, Eugene A.
7
Ma, Feng
7
Casarin, Roberto
6
Cavicchioli, Maddalena
6
Elliott, Robert J.
6
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6
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5
Dimitrakopoulos, Stefanos
5
Goyal, Vineet
5
Guérin, Pierre
5
Houtum, Geert-Jan van
5
Lee, Hsiang-Tai
5
Li, Yong
5
Lunday, Brian J.
5
Maheu, John M.
5
Marcellino, Massimiliano
5
Robbins, Matthew J.
5
Shi, Yanlin
5
Siu, Tak Kuen
5
Arts, Joachim
4
Bauwens, Luc
4
Creemers, Stefan
4
Cui, Lirong
4
Dufays, Arnaud
4
Gerlach, Richard
4
Jin, Xin
4
Kang, Kyu Ho
4
Lesage, James P.
4
Lu, Xinjie
4
Otranto, Edoardo
4
Wang, Chao
4
Wang, Jiqian
4
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4
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4
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International review of economics & finance : IREF
2
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1
Applied economics letters
1
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
1
IMA journal of management mathematics
1
Journal of international money and finance
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Journal of the Operational Research Society : OR
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ECONIS (ZBW)
10
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1
The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate
Chang, Kuang-Liang
- In:
Journal of international money and finance
133
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014304729
Saved in:
2
An investigation on mixed housing-cycle structures and asymmetric tail dependences
Chang, Kuang-Liang
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012658920
Saved in:
3
A multivariate Markov chain stock model
D'Amico, Guglielmo
;
De Blasis, Riccardo
- In:
Scandinavian actuarial journal
2020
(
2020
)
4
,
pp. 272-291
Persistent link: https://www.econbiz.de/10012262736
Saved in:
4
The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market
Chang, Kuang-Liang
;
Lee, Chingnun
- In:
International review of economics & finance : IREF
69
(
2020
),
pp. 374-388
Persistent link: https://www.econbiz.de/10012486979
Saved in:
5
Change point dynamics for financial data : an indexed Markov chain approach
D'Amico, Guglielmo
;
Lika, Ada
;
Petroni, Filippo
- In:
Annals of finance
15
(
2019
)
2
,
pp. 247-266
Persistent link: https://www.econbiz.de/10012058237
Saved in:
6
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
Saved in:
7
A mixed dependence between the exchange rate and international crude oil returns : an application of dynamic mixture copula
Chang, Kuang-Liang
- In:
Emerging markets finance & trade : a journal of the …
53
(
2017
)
10/11/12
,
pp. 2347-2360
Persistent link: https://www.econbiz.de/10011825350
Saved in:
8
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
Saved in:
9
Bivariate semi-Markov reward chain and credit spreads
D'Amico, Guglielmo
;
Manca, Raimondo
;
Sassoferrato, Il
- In:
IMA journal of management mathematics
27
(
2016
)
4
,
pp. 529-556
Persistent link: https://www.econbiz.de/10011739966
Saved in:
10
Downward migration credit risk problem : a non-homogeneous backward semi-Markov reliability approach
D'Amico, Guglielmo
;
Janssen, Jacques
;
Manca, Raimondo
- In:
Journal of the Operational Research Society : OR
67
(
2016
)
3
,
pp. 393-401
Persistent link: https://www.econbiz.de/10011489555
Saved in:
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