conventional random-coefficient frameworks, including time-varying betas derived from GARCH models and state-varying betas implied … with time-varying betas implied by GARCH models provides meaningful implications for correlation-volatility relationship …

global value premium as represented by thirteen countries. We propose a new model that is a composite of the asymmetric GARCH …

September 2012. This captures the impact of the Global Financial Crisis (GFC). The GARCH analysis features an exploration of … US. We also apply a Markov Switching GARCH model to explore the existence of regime changes during this period and we … also apply a tri-variate Cholesky-GARCH model to include potential effects from the Chinese market, as represented by the …

We develop a measure of overall financial risk in China by applying machine learning techniques to textual data. A pre … drivers. The resulting aggregated indicator can identify major episodes of overall heightened financial risks in China, which … the financial risk measure have a significant impact on macroeconomic and financial variables in China and abroad. …

This paper proposes a Markov-Switching (MS) test of herding behavior in China's segmented stock markets under a regime …-share markets pair with domestic investors during periods of market stress. Finally, we find that the A-share markets in China herd …

This paper examines stock market integration between the ASEAN five and the US and China, respectively, over the period … analysis is carried out for the weekly series to study the impact of the 2007-8 global financial crisis and the 2015 China … exhibit long memory. There is cointegration between the ASEAN five and the US but almost none between the former and China …

This paper examines China's influence on price shock transmission in the world oil markets. In this paper, its impact …-2007, evidence is presented that China has had little impact on the volatility in international oil markets, and that innovations in …

has been merged between the Chinese A-share market and the other markets in greater China region as well as the US market …