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  • Search: person:"Chen, Jinghui"
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Year of publication
Subject
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Ansteckungseffekt 4 Contagion effect 4 Monte Carlo simulation 4 Monte-Carlo-Simulation 4 Aktienmarkt 3 Financial crisis 3 Stochastic volatility 3 Stochastische Volatilität 3 Stock market 3 Capital market returns 2 Devisenmarkt 2 Exchange rate Markets 2 Finanzkrise 2 Foreign exchange market 2 Hedging 2 Kapitalmarktrendite 2 Lagrange multiplier test 2 Spillover effect 2 Spillover-Effekt 2 Stock markets 2 Theorie 2 Theory 2 Time series analysis 2 Volatility 2 Volatility co-movement 2 Volatilität 2 Welt 2 World 2 Zeitreihenanalyse 2 Asymmetry 1 Bond market 1 Capital income 1 Capital mobility 1 Contagion 1 Correlation 1 Cross-market hedging 1 Debt crisis 1 Decision under uncertainty 1 Entscheidung unter Unsicherheit 1 Euro area 1
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Online availability
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Free 7 Undetermined 1
Type of publication
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Book / Working Paper 7 Article 1
Type of publication (narrower categories)
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Working Paper 6 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 8
Author
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Chen, Jinghui 8 Kobayashi, Masahito 7 McAleer, Michael 6 Bernard, Carole 1 Rüschendorf, Ludger 1 Vanduffel, Steven 1
Published in...
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Discussion paper / Tinbergen Institute 2 Econometric Institute research papers 2 Tinbergen Institute Discussion Paper 2 Applied economics 1
Source
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ECONIS (ZBW) 6 EconStor 2
Showing 1 - 8 of 8
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Analyzing the EU sovereign debt crisis by a new asymmetric copula with reversible correlations
Kobayashi, Masahito; Chen, Jinghui - In: Applied economics 54 (2022) 56, pp. 6497-6509
Persistent link: https://www.econbiz.de/10013411390
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Coskewness Under Dependence Uncertainty
Bernard, Carole; Chen, Jinghui; Rüschendorf, Ludger; … - 2023
We study the impact of dependence uncertainty on E(X_1X_2 · · · X_d) when X_i ∼ F_i for all i. Under some conditions on the Fi, explicit sharp bounds are obtained and a numerical method is provided to approximate them for arbitrary choices of the F_i. The results are applied to assess the...
Persistent link: https://www.econbiz.de/10014355537
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Testing for volatility co-movement in bivariate stochastic volatility models
Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2017 - Revised: February 2017
Persistent link: https://www.econbiz.de/10011659216
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Testing for volatility co-movement in bivariate stochastic volatility models
Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2017 - Revised: February 2017
The paper considers the problem of volatility co-movement, namely as to whether two financial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which checks the volatility co-movement. The proposed test...
Persistent link: https://www.econbiz.de/10011602570
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Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models
Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2017
The paper considers the problem of volatility co-movement, namely as to whether two nancial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which checks the volatility co-movement. The proposed test is...
Persistent link: https://www.econbiz.de/10011662520
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Cover Image
Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models
Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2016
The paper considers the problem as to whether financial returns have a common volatility process in the framework of stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH test proposed by Engle and Susmel (1993), who...
Persistent link: https://www.econbiz.de/10011451526
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Cover Image
Testing for a common volatility process and information spillovers in bivariate financial time series models
Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2016 - Revised
Persistent link: https://www.econbiz.de/10011448006
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Cover Image
Testing for a common volatility process and information spillovers in bivariate financial time series models
Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2016 - Revised: February 2016
The paper considers the problem as to whether financial returns have a common volatility process in the framework of stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH test proposed by Engle and Susmel (1993), who...
Persistent link: https://www.econbiz.de/10011441709
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