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accessRights:"restricted"
~person:"Chang, Kuang-Liang"
~person:"Elliott, Robert J."
~subject:"ARCH model"
~subject:"Crude oil"
~subject:"Theorie"
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Chang, Kuang-Liang
Elliott, Robert J.
Tsionas, Efthymios G.
13
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9
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8
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7
Ma, Feng
7
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4
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4
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4
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4
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4
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4
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4
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4
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4
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4
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4
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2
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1
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1
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1
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1
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1
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12
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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
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:
4
Optimal execution with regime-switching market resilience
Siu, Chi Chung
;
Guo, Ivan
;
Zhu, Song-Ping
;
Elliott, …
- In:
Journal of economic dynamics & control
101
(
2019
),
pp. 17-40
Persistent link: https://www.econbiz.de/10012131017
Saved in:
5
A hidden Markov regime-switching smooth transition model
Elliott, Robert J.
;
Siu, Tak Kuen
;
Lau, John W.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
4
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011965140
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
A higher-order interactive hidden Markov model and its applications
Zhu, Dong-Mei
;
Ching, Wai Ki
;
Elliott, Robert J.
;
Siu, …
- In:
OR spectrum : quantitative approaches in management
39
(
2017
)
4
,
pp. 1055-1069
Persistent link: https://www.econbiz.de/10011777086
Saved in:
9
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:
10
Credit risk and contagion via self-exciting default intensity
Elliott, Robert J.
;
Shen, Jia
- In:
Annals of finance
11
(
2015
)
3/4
,
pp. 319-344
Persistent link: https://www.econbiz.de/10011459064
Saved in:
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