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The impacts of kurtosis on risk stationarity : some empirical evidence

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Tests of dividend signaling using the Marsh-Merton Model : a generalized friction approach

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Dynamic relations among international stock markets

Wu, Chunchi - In: International review of economics & finance : IREF 7 (1998) 1, pp. 63-84

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Credit spreads, business conditions, and expected corporate bond returns

Lin, Hai; Tao, Xinyuan; Wang, Junbo; Wu, Chunchi - In: Journal of risk and financial management : JRFM 13 (2020) 2/20, pp. 1-34

Using an aggregate credit spread index, we find that it has substantial predictive power for corporate bond returns over short and long horizons. The return predictability is economically and statistically significant and robust to various controls. The credit spread index and its components...

Persistent link: https://www.econbiz.de/10012173990

Estimating liquidity premium of corporate bonds using the spread information in on- and off-the-run Treasury securities

Li, Haitao; Wu, Chunchi; Shi, Jian - In: China finance review international 7 (2017) 2, pp. 134-162

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Economic sources of asymmetric cross-correlation among stock returns

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Intradaily periodicity and volatility spillovers between international stock index futures markets

Wu, Chunchi; Li, Jinliang; Zhang, Wei - In: The journal of futures markets 25 (2005) 6, pp. 553-585

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Are liquidity and information risks priced in the treasury bond market?

Li, Haitao; Wang, Junbo; Wu, Chunchi; He, Yan - In: The journal of finance : the journal of the American … 64 (2009) 1, pp. 467-503

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Empirical analysis and forecasting of volatility dynamics in high-frequency returns with time-varying components

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Liquidity, default, taxes, and yields on municipal bond

Wang, Jumbo; Wu, Chunchi; Zhang, Frank X. - In: Journal of banking & finance 32 (2008) 6, pp. 1133-1149

Persistent link: https://www.econbiz.de/10003733841