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Chiang, Thomas Chinan's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
2,419 |
Total
Citations
30 |
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1.
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Chiang, Thomas Chinan
Drexel University - Department of Finance Li, Jiandong
Central University of Finance and Economics
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595
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1
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Stock-bond correlation,Volatility, DCC model, Fed model, Credit spread
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2.
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Chiang, Thomas Chinan
Drexel University - Department of Finance Li, Jiandong
Central University of Finance and Economics
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458
(28,550)
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2
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Stock-bond correlation, Volatility, DCC model, Fed model, Credit spread
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3.
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Chiang, Thomas Chinan
Drexel University - Department of Finance Chen, Cathy W. S.
Graduate Institute of Statistics & Actuarial Science, Feng Chia University So, Mike K. P.
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management
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358
(38,933)
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Asymmetry, Threshold GARCH, Stock returns, Volatility, Bayesian Estimation
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4.
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Chiang, Thomas Chinan
Drexel University - Department of Finance Lean, Hooi Hooi
Universiti Sains Malaysia Wong, Wing-Keung
Hong Kong Baptist University (HKBU)
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307
(46,802)
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stochastic dominance, risk, REITs, stock, fixed-income assets,
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5.
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Chiang, Thomas Chinan
Drexel University - Department of Finance Jeon, Bang Nam
Drexel University - Department of Economics & International Business Li, Humin
West Chester University of Pennsylvania - School of Business and Public Affairs - Department of Economics and Finance
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250
(59,139)
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20
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Financial contagion, Asian crises, Herding, Dynamic correlation coefficient, Sovereign rating
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6.
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Chiang, Thomas Chinan
Drexel University - Department of Finance Qiao, Zhuo
University of Macau Wong, Wing-Keung
Hong Kong Baptist University (HKBU)
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189
(78,882)
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Return Volatility, Trading Volume, Nonlinear Granger Causality, High Frequency Data
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7.
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Wu, Ming-Chya
Institute of Physics, Academia Sinica Huang, Ming-Chang
Chung Yuan Christian University Yu, Hai-Chin
Chung Yuan Christian University Chiang, Thomas Chinan
Drexel University - Department of Finance
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174
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1
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Phase Distribution, High Frequency, Levy's Stable Distribution, Intraday Data
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8.
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Chiang, Thomas Chinan
Drexel University - Department of Finance Chen, Cathy W. S.
Graduate Institute of Statistics & Actuarial Science, Feng Chia University So, Mike K. P.
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management
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88
(147,078)
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Asymmetry, threshold GARCH, volatility, Bayesian model
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9.
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Statistical Properties, Dynamic Conditional Correlation, Scaling Analysis of High-Frequency Intraday Stock Returns: Evidence from Dow-Jones and Nasdaq Indices
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Show Abstract
Hide Abstract |
Physica A, Vol. 8, No. 388, pp. 1555-1570, 2009, Drexel University Working Paper, 18TH Australian Banking and Finance Annual Meeting 2005 in Sydney, Eastern Finance Association 2006 Annual Meeting in Philadelphia, USA
Working Paper Series
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Chiang, Thomas Chinan
Drexel University - Department of Finance Yu, Hai-Chin
Chung Yuan Christian University Wu, Ming-Chya
Institute of Physics, Academia Sinica
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08 May 06
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Last Revised:
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13 Aug 09
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High Frequency, Probability Distribution, Financial Markets, Dynamic Conditional Correlation, Panel Data.
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Records 1 -
9
of 9 matches
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