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Co-skewness and expected return: Evidence from international stock markets Journal article
Dong, Liang, Kot, Hung Wan, Lam, Keith S.K., Liu, Ming. Co-skewness and expected return: Evidence from international stock markets[J]. Journal of International Financial Markets, Institutions and Money, 2022, 76, 101479.
Authors:  Dong, Liang;  Kot, Hung Wan;  Lam, Keith S.K.;  Liu, Ming
Favorite | TC[WOS]:6 TC[Scopus]:5  IF:5.4/5.3 | Submit date：2022/02/21
Co-skewness  International Stock Market  Market Integration  Perceived Uncertainty  Stock Return  
Co-skewness and expected return: Evidence from international stock markets Journal article
Dong, L., Kot, H. W., Lam, S. K., Liu, M.. Co-skewness and expected return: Evidence from international stock markets[J]. Journal of International Financial Markets, Institutions & Money, 2021.
Authors:  Dong, L.;  Kot, H. W.;  Lam, S. K.;  Liu, M.
Favorite |  | Submit date：2022/01/26
Co-skewness  Stock Return  International Stock Markets  Market Integration  Perceived Uncertainty  
Prediction of risk: Decoding the Serial Dependence of Stock Return Volatility with Copula Journal article
Zhu, Liang, Lim, Christine, Zhang, Jianlun. Prediction of risk: Decoding the Serial Dependence of Stock Return Volatility with Copula[J]. Journal of Hospitality and Tourism Research, 2021, 45(1), 6-27.
Authors:  Zhu, Liang;  Lim, Christine;  Zhang, Jianlun
Favorite | TC[WOS]:2 TC[Scopus]:2  IF:4.4/5.0 | Submit date：2021/12/07
Copula-based Model  Hospitality And Tourism-related Stock Return Volatility  Risk Prediction  Serial Dependence  
Regime shift, speculation, and stock price Journal article
Du, Ke, Fu, Yishu, Qin, Zhenjiang, Zhang, Shuoxun. Regime shift, speculation, and stock price[J]. Research in International Business and Finance, 2020, 52, 101181.
Authors:  Du, Ke;  Fu, Yishu;  Qin, Zhenjiang;  Zhang, Shuoxun
Favorite | TC[WOS]:2 TC[Scopus]:3  IF:6.3/5.8 | Submit date：2021/12/06
Equilibrium  Heterogeneous Beliefs  Regime Shifting  Return Volatility  Stock Price  
Stock return predictability when growth and accrual measures are negatively correlated Journal article
Miao Luo, Tao Chen, Jun Cai. Stock return predictability when growth and accrual measures are negatively correlated[J]. China Finance Review International, 2019, 9(3), 401-422.
Authors:  Miao Luo;  Tao Chen;  Jun Cai
Favorite | TC[WOS]:6 TC[Scopus]:6  IF:9.0/5.1 | Submit date：2019/12/03
Accrual Effect  Stock Return Predictability  Growth Effect  
Stock price prediction based on error correction model and Granger causality test Journal article
Ning, Yang, Wah, Liu Chun, Erdan, Luo. Stock price prediction based on error correction model and Granger causality test[J]. Cluster Computing, 2019, 22, 4849-4858.
Authors:  Ning, Yang;  Wah, Liu Chun;  Erdan, Luo
Favorite | TC[WOS]:7 TC[Scopus]:16  IF:3.6/2.2 | Submit date：2022/04/15
Cointegration Test  Granger-causality  Macroeconomic Variables  Stock Market Return  Unit Root Test  
Institutional ownership and return volatility in the casino industry Journal article
Yongjia Lin, Xiaoqing Fu, Xinhua Gu, Haiyan Song. Institutional ownership and return volatility in the casino industry[J]. International Journal of Tourism Research, 2018, 20(2), 204-214.
Authors:  Yongjia Lin;  Xiaoqing Fu;  Xinhua Gu;  Haiyan Song
Favorite | TC[WOS]:14 TC[Scopus]:14  IF:4.1/4.7 | Submit date：2019/08/01
Casino Industry  Institutional Ownership  Stock Return Volatility  
Realized skewness at high frequency and link to conditional market premium Conference paper
Zhi Liu, Kent Wang, Junwei Liu. Realized skewness at high frequency and link to conditional market premium[C], 2014.
Authors:  Zhi Liu;  Kent Wang;  Junwei Liu
Favorite |  | Submit date：2019/06/10
High-frequency  Jump  Microstructure Noise  Realized Skewness  Stock Return Prediction  
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[Scopus]:1 | Submit date：2019/11/01
Stock Market  Stock Return  Garch Model  Conditional Volatility  Chinese Stock Market