Within a Markov regime-switching VAR framework, we investigate the contagion effects among the stock market, real estate market, credit default market, and energy market covering the most recent financial crisis period when markets experience regime shifts. The results demonstrate that the...

This study investigates the pricing efficiency of the Shanghai 50 ETF (SSE 50 ETF), the first exchange-traded fund (ETF) in China. The empirical results demonstrate that ETF market prices and net asset values (NAV) are cointegrated and there is unidirectional causality from price to NAV. The...

This paper investigates the link between hot money and business cycle volatility in China from January 1997 to December 2009. Using the structural vector error correction model, we find a considerable degree of long-run cointegration and bidirectional causality effects between hot money and...

This paper considers the optimization problem of minimizing a rational function. We reformulate this problem as a polynomial optimization problem by the technique of homogenization. These two problems are shown to be equivalent under some generic conditions. The exact Jacobian SDP relaxation...

This paper develops a theoretical model to identify various risks in the Chinese property insurance market. Consequently, we apply a structural VAR model to quantify the magnitude, historical timing of these risks, and their dynamic impacts on the permanent and transitory components of the...

In this paper, we study the effect of monetary shocks on the Chinese stock market over the period of 2005 to 2011 with the MSVAR–EGARCH model. The evidence suggests that Chinese monetary policies have significantly asymmetric effects on the stock market in different time periods and market...

This paper studies how to solve semi-infinite polynomial programming (SIPP) problems by semidefinite relaxation methods. We first recall two SDP relaxation methods for solving polynomial optimization problems with finitely many constraints. Then we propose an exchange algorithm with SDP...

Biodiesel was produced from acidified soybean soapstocks by using lignin-derived carbonaceous catalyst (LCC). LCC was a solid acidic catalyst prepared by direct sulfonation of residual lignin from Xanthoceras sorbifolia Bunge hulls. The textural properties of the catalyst were characterized by...