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Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model

Lee, Chien-chiang; Lee, Hsiang-Tai - In: Global finance journal 55 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014248631

Regime-switching angular correlation diversification

Lee, Hsiang-Tai - In: Finance research letters 50 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10014234140

Dependence structure of volatility and illiquidity on Vienna and Warsaw stock exchanges

Gurgul, Henryk; Syrek, Robert - In: Finance a úvěr 69 (2019) 3, pp. 198-221

Persistent link: https://www.econbiz.de/10012137438

Day long effect of liquidity on stock return : an empirical investigation in a day of political and economic importance in India

Tripathy, Trilochan; Ahluwalia, Eshan - In: International journal of economics and finance 7 (2015) 10, pp. 204-214

Persistent link: https://www.econbiz.de/10011376119

Illiquidity premium and monetary conditions in emerging markets : an empirical examination of Taiwan stock markets

Chen, Chia-Cheng; Tai, Chia-Li; Liu, Yi-Sheng - In: International journal of economics and financial issues … 10 (2020) 1, pp. 109-117

Persistent link: https://www.econbiz.de/10012151235

How much can illiquidity affect corporate debt yield spread?

Abudy, Menachem; Raviv, Alon - In: Journal of financial stability 25 (2016), pp. 58-69

Persistent link: https://www.econbiz.de/10011704784

Open-ended property funds : risk and return profile : diversification benefits and liquidity risks

Haß, Lars Helge; Johanning, Lutz; Rudolph, Bernd; … - In: International review of financial analysis 21 (2012), pp. 90-107

Persistent link: https://www.econbiz.de/10009633329

Parametric yield curve modeling in an illiquid and undeveloped financial market

Zoricic, Davor; Orsag, Silvije - In: UTMS journal of economics / University of Tourism and … 4 (2013) 3, pp. 243-252

This paper examines the possibility of applying two most popular parametric yield curve models (Nelson-Siegel and Svensson) in the Croatian financial market. In such an illiquid and undeveloped financial market yield curve modeling presents a special challenge primarily regarding the available...

Persistent link: https://www.econbiz.de/10010222884

What drives stock market underreaction to liquidity shocks? : evidence from Korea

Jang, Jeewon - In: Asia-Pacific journal of financial studies 51 (2022) 1, pp. 44-80

Persistent link: https://www.econbiz.de/10013161902

The pricing of the illiquidity factor’s conditional risk with time-varying premium

Amihud, Yakov; Noh, Joonki - In: Journal of financial markets 56 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10013282487

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