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1.
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"Dynamic Correlation Analysis of
Financial Contagion: Evidence from Asian Markets,
" (with Bang Nam Jeon and Huimin Li), Journal
of International Money and Finance, 2006 (forthcoming).
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2.
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"Country-Fund Discounts and
Risk: Evidence from Stock Market Volatility and Macroeconomic
Volatility," (with D. Kim and E. Lee), Journal of Economic and Business, 2006, forthcoming.
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3.
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"International
Parity Conditions and Market Risk," Encyclopedia of Finance, A.
Lee and C.F. Lee, eds., Kluwer Academic
Publishers, 2005., 290-304.
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4.
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"Phase
Distribution and Phase Correlation of Financial Time Series," (with Ming-Chya
Wu, Ming-Chang Huang, Hai-Chin Yu) Physical
Review E., March 2006, forthcoming.
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5.
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"International Asset Excess Returns
and Multivariate Conditional Volatilities, " (with S.-Y.
Yang), Review
of Quantitative Finance and Accounting, 24, 295-312, 2005.
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6.
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"Asymmetrical
Reaction to US Stock-Return News: Evidence from Major Stock Markets based
on a Double-Threshold Model," (C.W.S. Chen and M. K.P.
So), Journal of Economics and
Business, 2003.
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7.
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"On Country-
F und Price Behavior – An Empirical
Analysis of Cointegrating F
actors," (with D. Kim), Advances
in F inancial
Planning and F orecasting,
11, 2003, 85-112.
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8.
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"Empirical Analysis of Stock Returns and Volatilities:
Evidence from Seven Asian Stock Markets Based on TAR-GARCH Model," (with
S. C. Doong),
Review of Quantitative F inance and Accounting, 17, 2001, 301-318.
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9.
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"Short-term
Eurocurrency Rate Behavior and Specifications of Cointegrating
Processes" (with D. Kim), International
Review of Economics and F inance,9:1, 2000, 157-179.
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10.
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"Do F
oreign Exchange Risk Premiums relate to the
Volatility in the F oreign Exchange and Equity Markets?"
(with C. Jiang), Applied F inancial Economics, 10, 2000, 95-104.
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11.
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"Stock Return and Exchange Rate Risk:
Evidence from Asian Stock Markets Based on a Bivariate Garch
Model" (with T.S. Wang, S.Y. Yang), International Journal of Business, 5 (2), F
all 2000.
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12.
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"Empirical
Analysis of Real and F inancial Volatilities on Stock Excess Returns:
Evidence from Taiwan Industrial Data" (with S.C. Doong),
Global F
inance Journal, 10:2, 1999, 187-200.
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13.
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"Retrieving the Vanishing Liquidity Effect - A Threshold
Vector Autoregressive Model" (with C.H. Shen), Journal of Economics and Business, 51
(3), May/June 1999, 257-277.
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14.
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"On the Nonlinear Specifications
of the Short-Term Interest Rate Behavior: Evidence from Euro-Currency
Markets" (with J.Chiang), Review of Quantitative F
inance and Accounting, 12 (4), June 1999,
351-370.
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15.
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"Industrial
Stock Return and Volatility: Evidence from Taiwanese Markets"
(with S.C. Doong), International Journal of F inance, 10 (4), 1998, 1274-1296.
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16.
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"Empirical Analysis of Interdependency and Volatility among
Asian Stock Markets" (with C. Jiang), Review of Pacific Basin F inancial Markets and Policies, December
1998, 437-459.
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17.
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"Stock
Returns and Conditional Variance-Covariance: Evidence from Asian Stock
Markets," in Emerging
Markets F inance and Investments, Jay Choi and John Doukas eds., 1998.
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18.
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"Time Series
Dynamics of Short-Term Interest Rates - Evidence from Euro-Currency
Markets," Journal of
International F inancial Markets, Institutions & Money, 7, October 1997, 201-220.
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19.
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"Error
Correction and Term Structure of U.S.
Treasury Bills and Bonds under
Different Monetary Regimes," Pan-Pacific
Management Review, 1, August 1997, 1-17.
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20.
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"Risk and International Parity Conditions: A Synthesis from
Consumption-based Models" (with J. A. Trinidad), International Economic Journal, 11,
Summer 1997, 73-101.
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21.
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"The Heteroskedastic
Behavior of Stock Prices in an Integrated Global Market: Evidence from
Taiwan and Korea " (with B.N. Jeon and K.S. Oh), in Research in International Business and F
inance,
John Doukas and Larry Lang, eds., 1996, 111-131.
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22.
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"Dynamic Analysis of Stock Return Volatility in an Integrated
International Capital Market" (with J. Chiang), Review of Quantitative F
inance and Accounting, 6, 1996, 5-17.
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23.
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"Mean Reversion in F
oreign Exchange Returns over Long Horizons"
(with C. Jiang), International Review of Economics and F
inance, 1995, 267-282.
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24.
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"Empirical Analysis of Short-Term Euro-Currency Rates:
Evidence from a Transfer F unction - Error Correction Model"
(with J. J. Chiang), Journal of
Economics and Business, 47, 1995,
335-351.
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25.
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"
F inancial Market Structure in the
Industrial Countries" (with
B.N. Jeon
and K.S. Oh), US-Korea Economic Partnership - Policy
Directions Under the New Administrations, edited by Kap-Soo
Oh and Youn Suk Kim,
Avery Publishing, London, 1995.
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26.
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" F inancial Market Structure in the
Industrial Countries" (with
B.N. Jeon
and K.S. Oh), US-Korea Economic Partnership - Policy Directions
Under the New Administrations, edited by Kap-Soo
Oh and Youn Suk Kim,
Avery Publishing, London, 1995.
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27.
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"The Monotonicity
of the F oreign Exchange Risk Premium" (with J. A. Trinidad), Journal of International F
inancial Markets, Institutions & Money,
3 (1), 1993, 1-32.
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28.
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"International Asset Pricing and Equity Market Risk,"
Journal of International Money and F
inance, 10, September 1991, 349-364.
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29.
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" F orecasting Treasure Bill Rate - A Time Varying
Coefficient Approach" (with D.R. Kahl), Journal of F
inancial Research, Winter 1991, 327-336.
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30.
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"A System of Stock Prices in World Stock Exchanges: Common
Stochastic Trends for 1975 - 1990?" (with B.N. Jeon), Journal of Economics and Business,
Winter 1991, 329-338.
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31.
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"Comovement of Stock Market Indices:
A Causality Test on Daily Data" (with M. Ratner),
Journal of Global Business,
Summer 1990.
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32.
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"The F
orward Rate as a Predictor of the F
uture Spot Rate - A Stochastic Coefficient
Approach," Journal of Money,
Credit and Banking, May 1988, 210-232.
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33.
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Stock Prices and Merger Movements: Interactive Relations,"
(with J.J. Clark and A. Chakrabarti) Weltwirtschaftliches Archiv,
June 1988, 287-300. Also in Marchildon, Gregory, P., ed.
Mergers and acquisitions. Elgar Reference
Collection series. International
Library of Critical Writings in Business History, no. 3, Aldershot , U.K.
: Elgar; distributed in North America
by Ashgate, Brookfield
, Vt.
1991, 555-68.
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34.
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" F orward Rate, Spot Rate, and Risk Premium - An
Empirical Analysis" (with T. J. Hindelang),
Weltwirtschaftliches Archiv,
March 1988, 74-88.
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35.
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"Trend and Stochastic Movements in U.S.
Merger Activity" (with J.J.
Clark and A. Chakrabarti), Quarterly Review of Economics and Business, Summer 1988, 6-19.
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36.
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"The Information Content of Risk Premium in Predicting F
uture Spot Rate - A Case of the Pound
Sterling/Dollar Rate" (with T.J. Hindelang),
Atlantic Economic Journal, December
1987, 287-300.
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37.
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"
F orward Rate, Spot Rate and Market Efficiency
- An Empirical Analysis of the Japanese Yen" (with M.C. Chiang), Review of Business and Economic
Research, Spring 1987.
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38.
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"Empirical Analysis on the
Predictions of the F uture Spot Rates," Journal of F
inancial Research, Summer 1986, 153-162.
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39.
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"On the Predictors of the F
uture Spot Rate - A Multi-Currency
Analysis," F
inancial Review, F
ebruary 1986.
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40.
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"Sustainable
Growth: A Dynamic Model" (with J.J. Clark and G. Olson), Journal of the Midwest F
inance Association, 15, 1986.
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41.
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"The Impact of Unexpected
Macro-Disturbances on Exchange Rates in Monetary Models," Quarterly Review of Economics and
Business, Summer 1985, 49-57.
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42.
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"On the Relationship between Exchange Rate and Interest Rate
Differential in Monetary Models," Quarterly Review of Economics and Business, Winter 1984, 49-57.
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43.
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"Tests of Causality and Exogeneity Specifications in Monetary Models of
Exchange Rate Determination" (with Yash
P. Mehra), Atlantic
Economic Journal, July 1984, 54-60.
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44.
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"Short-term Interest Rates, Price
Expectations, and Exchange Rate Movements." Review of Business and Economic Research, F
all 1983, 26-37.
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45.
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"The Short-term Interest Rate Differential and the Exchange
Rate," Atlantic Economic
Journal, Vol. XI, July 1983, 99.
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