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Systematic cojumps, market component portfolios and scheduled macroeconomic announcements

Kam Fong Chan; Bowman, Robert G.; Neely, Christopher J. - 2017 - This version: April 2017

Persistent link: https://www.econbiz.de/10011691468

Using extreme value theory to measure value-at-risk for daily electricity spot prices

Kam Fong Chan; Gray, Philip K. - In: International journal of forecasting 22 (2006) 2, pp. 283-300

Persistent link: https://www.econbiz.de/10003315660

Asset market linkages : evidence from financial, commodity and real estate assets

Kam Fong Chan; Sirimon Treepongkaruna; Brooks, Robert; … - In: Journal of banking & finance 35 (2011) 6, pp. 1415-1426

Persistent link: https://www.econbiz.de/10009244977

A new government bond volatility index predictor for the U.S. equity premium

Pan, Zheyao; Kam Fong Chan - In: Pacific-Basin finance journal 50 (2018), pp. 200-215

Persistent link: https://www.econbiz.de/10012033788

Market Response of US Equities to Domestic Natural Disasters : Industry-Based Evidence

Malik, Ihtisham - 2019

This study investigates US industry-based price response to domestic natural disasters over the period 1960-2015. Using an event study methodology, we estimate pre, during and post disaster impacts and document a slower response in pre-disaster period than in post-disaster period. We further...

Persistent link: https://www.econbiz.de/10012898349