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| Early Warning of American Stock Market Crises Based on Volatility Model Conference paper
ACM International Conference Proceeding Series
Authors: Zhu, Simu
  Favorite | | TC[WOS]:0 TC[Scopus]:0 | Submit date：2022/05/17
ARMA-GARCH model Early warning of crises Value at risk Volatility clustering effect |
| 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
Favorite | | TC[WOS]:0 TC[Scopus]:0 | Submit date：2019/12/03
Credit Default Swaps Structural Models Firm Performance Macroeconomic Conditions Financial Crisis Garch Volatility |
| 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
Favorite | | TC[WOS]:0 TC[Scopus]:0 | Submit date：2019/11/01
Stock Market Stock Return Garch Model Conditional Volatility Chinese Stock Market |
| 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
Favorite | | TC[WOS]:0 TC[Scopus]:0 | Submit date：2019/11/01
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
Favorite | | TC[WOS]:0 TC[Scopus]:0 | Submit date：2019/11/01
Volatility Garch Effect Volume Effect Turnover Information Flow Multivariate Garch Mixture Of Distributions Hypothesis |
