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Discount rate changes, stock market returns, volatility, and trading volume : evidence from intraday data and implications for market efficiency

Chen, Carl R.; Mohan, Nancy J.; Steiner, Thomas L. - In: Journal of banking & finance 23 (1999) 6, pp. 897-924

Persistent link: https://www.econbiz.de/10001379087

Pricing range accrual interest rate swap employing LIBOR market models with jump risks

Lin, Shih-kuei; Wang, Shin-yun; Chen, Carl R.; Xu, Lian-Wen - In: The North American journal of economics and finance : a … 42 (2017), pp. 359-373

Persistent link: https://www.econbiz.de/10011938138

Economic freedom, equity performance and market volatility

Chen, Carl R.; Huang, Ying Sophie - In: International journal of accounting and information … 17 (2009) 2, pp. 189-197

Persistent link: https://www.econbiz.de/10003930329

Markets contagion during financial crisis : a regime-switching approach

Guo, Feng; Chen, Carl R.; Huang, Ying - In: International review of economics & finance : IREF 20 (2011) 1, pp. 95-109

Persistent link: https://www.econbiz.de/10009304198

Where are the sources of stock market mispricing and excess volatility?

Chen, Carl R.; Lung, Peter P.; Wang, F. Albert - In: Review of quantitative finance and accounting 41 (2013) 4, pp. 631-650

Persistent link: https://www.econbiz.de/10010246406

Determinants of Japanese yen interest rate swap spreads : evidence from a smooth transition vector autoregressive model

Huang, Ying; Chen, Carl R.; Camacho, Maximo - In: The journal of futures markets 28 (2008) 1, pp. 82-107

Persistent link: https://www.econbiz.de/10003746341

Hourly index return autocorrelation and conditional volatility in an EAR-GJR-GARCH model with generalized error distribution

Chen, Carl R.; Su, Yuli; Huang, Ying - In: Journal of empirical finance 15 (2008) 4, pp. 789-798

Persistent link: https://www.econbiz.de/10003759773

Hourly Index Return Autocorrelation and Conditional Volatility in an EAR-GJR-GARCH Model with Generalized Error Distribution

Chen, Carl R.; Su, Yuli; Huang, Ying Sophie - 2008

We study the autocorrelation and conditional volatility of the hourly Dow Jones Industrial Index return data from October 1974 to September 2002 using an exponential asymmetric AR-GARCH specification with a generalized error distribution. Our findings document a positive autocorrelation in...

Persistent link: https://www.econbiz.de/10014214785

Net buying pressure, volatility smile, and abnormal profit of Hang Seng Index options

Chan, Kam C.; Cheng, Louis T. W.; Lung, Peter P. - In: The journal of futures markets 24 (2004) 12, pp. 1165-1194

Persistent link: https://www.econbiz.de/10002428697

Daily volatility behavior in Chinese futures markets

Chan, Kam C.; Fung, Hung-gay; Leung, Wai K. - In: Journal of international financial markets, … 14 (2004) 5, pp. 491-505

Persistent link: https://www.econbiz.de/10002187133