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Regime-dependent relationships among the stock markets of the US, Australia and New Zealand: a Markov-switching VAR approach Journal article
Applied Financial Economics, 2011,Volume: 21,Issue: 24,Page: 1831-1841
Authors:  Zhuo Qiao;  Yuming Li;  Wing-Keung Wong
Favorite  |  View/Download:0/0  |  Submit date:2019/10/22
Markov Switching Var  Stock Markets  Dynamic Relationships  Regime-dependent Impulse Response  Hansen Test  
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  
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