An investigation on mixed housing-cycle structures and asymmetric tail dependences

von Chang, Kuang-Liang
Veröffentlicht in The North American journal of economics and finance (2020)

Volatility regimes, asymmetric basis effects and forecasting performance : an empirical investigation of the WTI crude oil futures market

von Chang, Kuang-liang
Veröffentlicht in Energy economics (2012)

House price dynamics, conditional higher-order moments, and density forecasts

von Chang, Kuang-liang
Veröffentlicht in Economic modelling (2010)

The nonlinear effects of expected and unexpected components of monetary policy on the dynamics of REIT returns

von Chang, Kuang-liang
Veröffentlicht in Economic modelling (2011)

The impacts of regime-switching structures and fat-tailed characteristics on the relationship between inflation and inflation uncertainty

von Chang, Kuang-liang
Veröffentlicht in Journal of macroeconomics (2012)

A mixed dependence between the exchange rate and international crude oil returns : an application of dynamic mixture copula

von Chang, Kuang-Liang
Veröffentlicht in Emerging markets finance & trade (2017)

Do US and Japanese uncertainty shocks play important roles in affecting transition mechanisms of Japanese stock market?

von Chang, Kuang-Liang
Veröffentlicht in The North American journal of economics and finance (2021)

Do economic policy uncertainty indices matter in joint volatility cycles between US and Japanese stock markets?

von Chang, Kuang-Liang
Veröffentlicht in Finance research letters (2022)

Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?

von Chang, Kuang-Liang
Veröffentlicht in International review of economics & finance (2016)

Do macroeconomic variables have regime-dependent effects on stock return dynamics? : evidence from the Markov regime switching model

von Chang, Kuang-Liang
Veröffentlicht in Economic modelling (2009)

The optimal value-at-risk hedging strategy under bivariate regime switching ARCH framework

von Chang, Kuang-liang
Veröffentlicht in Applied economics (2011)

The time-varying and asymmetric dependence between crude oil spot and futures markets : evidence from the mixture copula-based ARJI-GARCH model

von Chang, Kuang-liang
Veröffentlicht in Economic modelling (2012)

Are cyclical patterns of international housing markets interdependent?

von Chang, Kuang-Liang
Veröffentlicht in Economic modelling (2020)

The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate

von Chang, Kuang-Liang
Veröffentlicht in Journal of international money and finance (2023)

Asymmetric downside and upside co-movements between stock and REIT markets

von Chang, Kuang-Liang
Veröffentlicht in Applied economics letters (2018)

Does REIT index hedge inflation risk? : new evidence from the tail quantile dependences of the Markov-switching GRG copula

von Chang, Kuang-Liang
Veröffentlicht in The North American journal of economics and finance (2017)

The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market

von Chang, Kuang-Liang
Veröffentlicht in International review of economics & finance (2020)

Does the magnitude of the effect of inflation uncertainty on output growth depend on the level of inflation?

von Chang, Kuang-liang
Veröffentlicht in Manchester School of Economic Studies The Manchester School (2010)

Does crude oil price play an important role in explaining stock return behavior?

von Chang, Kuang-liang
Veröffentlicht in Energy economics (2013)

The asymmetric effects of U.S. large-scale asset purchases on the volatility of the Canadian dollar futures market

von Chang, Jui-chuan Della
Veröffentlicht in The North American journal of economics and finance (2018)