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Browsing by Author Shi, Yanlin

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Showing results 1 to 13 of 13

A discussion on the innovation distribution of the Markov regime-switching GARCH model

Author(s)Shi, Yanlin; Feng, Lingbing
TypeJournal article
Date Published2016
Date Created-

A Regime-Switching Analysis of Asian Bank Stocks

Author(s)Ho, Kin-Yip; Shi, Yanlin; Zhang, Zhaoyong
TypeBook chapter
Date Published2014
Date Created-

Can we distinguish regime switching from long memory? A simulation evidence

Author(s)Shi, Yanlin
TypeJournal article
Date Published2015
Date Created-

Foreign Exchange Volatility, Media Coverage, and the Mixture of Distributions Hypothesis: Evidence from the Chinese Renminbi Currency

Author(s)Shi, Yanlin; Ho, Kin-Yip; Liu, Wai-Man (Raymond)
TypeConference paper
Date Published2011
Date CreatedDecember 12-16 2011

How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches

Author(s)Ho, Kin-Yip; Shi, Yanlin; Zhang, Zhaoyong
TypeJournal article
Date Published2013
Date Created-

Long memory and regime switching: A simulation study on the Markov Regime-Switching ARFIMA model

Author(s)Shi, Yanlin; Ho, Kin-Yip
TypeJournal article
Date Published2015
Date Created-
01_Shi_Modeling_high-frequency_2015.pdf.jpg

Modeling high-frequency volatility with three-state FIGARCH models

Author(s)Shi, Yanlin; Ho, Kin-Yip
TypeJournal article
Date Published2015
Date Created-

Modelling high-frequency volatility with three-state FIGARCH models

Author(s)Shi, Yanlin; Ho, Kin-Yip
TypeConference paper
Date Published2013
Date CreatedDecember 1-6 2013

News Sentiment and High-Frequency Volatility Dynamics in the Japanese stock Market

Author(s)Ho, Kin-Yip; Shi, Yanlin; Zhang, Zhaoyong
TypeBook chapter
Date Published2014
Date Created-

News sentiment and states of stock return volatility: Evidence from long memory and discrete choice models

Author(s)Shi, Yanlin; Ho, Kin-Yip
TypeConference paper
Date Published2013
Date CreatedDecember 1-6 2013

Public information arrival and stock return volatility: Evidence from news sentiment and Markov Regime-Switching Approach

Author(s)Shi, Yanlin; Ho, Kin-Yip; Liu, Wai-Man (Raymond)
TypeJournal article
Date Published2016
Date Created-

Volatility and Correlation Dynamics of the Mainland Chinese and Hong Kong Stock Markets: Evidence from the A-, B-, H- and Red Chip Markets

Author(s)Ho, Kin-Yip; Shi, Yanlin; Zhang, Zhaoyong
TypeJournal article
Date Published2014
Date Created-

What drives the Time-Varying Performance of Japanese Mutual Fund?

Author(s)Ho, Kin-Yip; Shi, Yanlin; Zhang, Zhaoyong
TypeBook chapter
Date Published2014
Date Created-
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Updated:  12 April 2016/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator