|
|
|
1.
|
|
|
2.
|
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.
|
|
3.
|
"International
Parity Conditions and Market Risk," Encyclopedia of Finance, A. Lee and C.F. Lee, eds., Kluwer Academic Publishers, 2005, 290-304.
|
|
4.
|
|
|
5.
|
|
|
6.
|
|
|
7.
|
|
|
8.
|
Foreign
exchange risk premiums and time-varying equity market risks,
(with S.-Y. Yang), International Journal of Risk Assessment and
Management, 4(4), 2003.
|
|
9.
|
Empirical Analysis of Stock Returns and Volatility:
Evidence from Seven Asian Stock Markets Based on TAR-GARCH Model
(with S.C. Doong), Review of Quantitative
Finance and Accounting, 17, 2001, 301–318.
|
|
10.
|
Short-term Eurocurrency Rate Behavior and Specifications
of Cointegrating Processes (with D. Kim),
International Review of Economics and Finance, 9(1), 2000, 157-179.
|
|
11.
|
Do Foreign Exchange Risk Premiums relate to the
Volatility in the Foreign Exchange and Equity Markets? (with C. Jiang), Applied
Financial Economics, 10, 2000, 95-104.
|
|
12.
|
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.
|
|
13.
|
On the Nonlinear Specifications of the
Short-Term Interest Rate Behavior: Evidence from Euro-Currency Markets (with
J. Chiang), Review of Quantitative Finance and Accounting, 12(4),
June 1999, 351-370.
|
|
14.
|
Empirical Analysis of Real and Financial Volatilities on
Stock Excess Returns: Evidence from Taiwan Industrial Data (with
S.C. Doong), Global Finance Journal, 10
(2), 1999, 187-200.
|
|
15.
|
Time Series Dynamics of Short-Term Interest Rates -
Evidence from Euro-Currency Markets, Journal of International
Financial Markets, Institutions & Money, 7, October 1997, 201-220.
|
|
16.
|
Risk and International Parity Conditions: A Synthesis
from Consumption-based Models, (with J.A. Trinidad) International
Economic Journal,11, Summer 1997, 73-101.
|
|
17.
|
Empirical Analysis of Short-Term Euro-Currency Rates:
Evidence from a Transfer Function - Error Correction Model (with J.
J. Chiang), Journal of Economics and Business, 47, 1995, 335-351.
|
|
18.
|
Foreign Exchange Returns Over Short and Long Horizons,
(with C.X.Jiang)
International Review of Economics and Finance, 4(3), 1995, 267-282.
|
|
19.
|
An empirical analysis of the expert expectations
hypothesis in the US Treasury bill market, Applied
Financial Economics, 1993, 3, 329-334.
|
|
20.
|
International Asset Pricing and Equity Market Risk,
Journal of International Money and Finance, 10, September 1991,
349-364.
|
|
21.
|
Forecasting The Treasury
Bill Rate: A Time-Varying Coefficient Approach, (with
D.R. Kahl) The Journal of Financial Research, XIV
(4), Winter 1991, 327-336.
|
|
22.
|
The Forward Rate as a Predictor of the Future Spot Rate
- A Stochastic Coefficient Approach, Journal of Money, Credit
and Banking, May 1988, 210-232.
|
|
23.
|
The Impact of Unexpected Macro-Disturbance on Exchange
Rates in Monetary Models, Quarterly Review of Economics and
Business, 25(2), Summer 1985, 49-59.
|
|
24.
|
Returns and Volatility Asymmetries in Global Stock
Markets, (with C.W.S. Chen and M.K.P. So), Working Paper
No. 2003-02, Center for International Finance and Banking, Drexel
University, 2005, revised.
|
|
25.
|
Asymmetrical
Investor Sentiments in Country Funds: The Effects of Domestic and Foreign
Volume and Volatility on Fund Discounts, (with J.J. Choi
and D. Kim), 2004, working paper, Drexel University.
|
|
26.
|
An Empirical
Analysis of High Frequency Intraday Stock Returns: Evidence from Dow-Jones and
NASDAQ Indices, (with Hai-Chin
Yu and Ming-Chya Wu), Drexel Working Paper, 2005, revised 2006.
|
|
|
|
|
|