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Determinants of Credit Default Swap Spreads: A Four-Market Panel Data Analysis Journal article
Journal of Finance and Economics, 2017,Volume: 5,Issue: 1,Page: 9-31
Authors:  Matthew C. Li;  Xiaoqing (Maggie) Fu
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Credit Default Swaps  Structural Models  Firm Performance  Macroeconomic Conditions  Financial Crisis  Garch Volatility  
Examining stock volatility in the segmented Chinese stock markets: a SWARCH approach Journal article
Global Economic Review, 2010,Volume: 39,Issue: 3,Page: 225-246
Authors:  Zhuo Qiao;  Weiwei Qiao;  Wing-Keung Wong
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Markov-switching Arch  Chinese Stock Markets  Volatility Spillover  Volatility  Market Segmentation  
Examining the Impact of the U.S. IT Stock Market on Other IT Stock Markets Book chapter
出自: Handbook of Quantitative Finance and Risk Management, Boston, MA:Springer, Boston, MA, 2010, 页码: 1283-1291
Authors:  Zhuo Qiao;  Venus Khim-Sen;  Wing-Keung Wong
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Information Technology  Spillover Effect  Multivariate Garch (mGarch)  Conditional Correlation  It Bubble  Stock Market  Integration  Volatility  
Revisiting Volume vs. GARCH Effects Using Univariate and Bivariate GARCH Models: Evidence from U.S. Stock Markets Book chapter
出自: Handbook of Quantitative Finance and Risk Management:Springer, Boston, MA, 2010, 页码: 1173-1181
Authors:  Zhuo Qiao;  Wing-Keung Wong
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Volatility  Garch Effect  Volume Effect  Turnover  Information Flow  Multivariate Garch  Mixture Of Distributions Hypothesis  
A Markov Regime-Switching Model of Stock Return Volatility: Evidence from Chinese Markets Book chapter
出自: Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, London:Palgrave Macmillan UK, 2010, 页码: 49-73
Authors:  Thomas C. Chiang;  Zhuo Qiao;  Wing-Keung Wong
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Stock Market  Stock Return  Garch Model  Conditional Volatility  Chinese Stock Market  
Value-at-Risk Estimation of Crude Oil Price via Morphological Component Analysis Conference paper
Proceedings of the Third International Conference on Business Intelligence and Computational Finance, Hong Kong, Hong Kong, China, 13-15 Aug. 2010
Authors:  Kaijian He;  Kin Keung Lai;  Jerome Yen
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Value At Risk Model  Morphological  Component  Analysis  Arma-garch Model  
A Markov regime-switching model of stock return volatility: Evidence from Chinese markets Book
2010
Authors:  Chiang,Thomas C.;  Qiao,Zhuo;  Wong,Wing Keung
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