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The shift of weekend effects in Taiwan's equity index return : index futures listings or other alternative explanations

Tu, Anthony H. - In: Review of Pacific Basin financial markets and policies 6 (2003) 4, pp. 549-572

Persistent link: https://www.econbiz.de/10001914471

The innovations of e-mini contracts and futures price volatility components : the empirical investigation of S&P 500 stock index futures

Tu, Anthony H.; Wang, Ming-chun - In: Journal of international financial markets, … 17 (2007) 2, pp. 198-211

Persistent link: https://www.econbiz.de/10003441638

Dependence structure between the credit default swap return and the kurtosis of the equity return distribution : evidence from Japan

Chen, Yi-Husan; Tu, Anthony H.; Wang, Kehluh - In: Journal of international financial markets, … 18 (2008) 3, pp. 259-271

Persistent link: https://www.econbiz.de/10003710364

Default correlation at the sovereign level : evidence from some Latin American markets

Chen, Yi-Hsuan; Wang, Kehluh; Tu, Anthony H. - In: Applied economics 43 (2011) 10/12, pp. 1399-1411

Persistent link: https://www.econbiz.de/10009239414

Jump spillovers in energy futures markets : implications for diversification benefits

Liu, Qingfu; Tu, Anthony H. - In: Energy economics 34 (2012) 5, pp. 1447-1464

Persistent link: https://www.econbiz.de/10009688077

What derives the bond portfolio value-at-risk : information roles of macroeconomic and financial stress factors

Tu, Anthony H.; Chen, Cathy Yi-Hsuan - 2016

This paper first develops a new approach, which is based on the Nelson-Siegel term structure factor-augmented model, to compute the VaR of bond portfolios. We then applied the model to examine whether information contained on macroeconomic variables and financial shocks can help to explain the...

Persistent link: https://www.econbiz.de/10011437907

Dynamic linkages between Asian stock prices and exchange rates : new evidence from causality in quantiles

Yang, Zheng; Tu, Anthony H.; Zeng, Yong - In: Applied economics 46 (2014) 10/12, pp. 1184-1201

Persistent link: https://www.econbiz.de/10010399366

Are magnet effects caused by uninformed traders? : evidence from Taiwan stock exchange

Wong, Woon K.; Chang, Matthew C.; Tu, Anthony H. - In: Pacific-Basin finance journal 17 (2009) 1, pp. 28-40

Persistent link: https://www.econbiz.de/10003800542

Market imperfections and the information content of implied and realized volatility

Wong, Woon K.; Tu, Anthony H. - In: Pacific-Basin finance journal 17 (2009) 1, pp. 58-79

Persistent link: https://www.econbiz.de/10003800549

Return, volatility and short-term capital inflows : a test of "return-chasing" hypothesis in Asia-Pacific equity markets

Tu, Anthony H.; Chen, Shen-yuan - In: Review of Pacific Basin financial markets and policies 5 (2002) 3, pp. 321-342

Persistent link: https://www.econbiz.de/10001721001