In this paper a time-varying coefficient model is developed using a Kalman filter methodology to ... more In this paper a time-varying coefficient model is developed using a Kalman filter methodology to test the term structure of interest rates. Since the model is characterized by a continuing revision of the estimates when new information arrives, it is capable of capturing the dynamic interest ...
This paper examines foreign exchange return behavior over short and long time horizons for six ma... more This paper examines foreign exchange return behavior over short and long time horizons for six major currencies. The evidence indicates strong positive correlations for intervals from 12 to 52 weeks, inconsistent with the random walk behavior documented by Meese and ...
This paper examines the investor behavior of exchange rate exposure on the national stock returns... more This paper examines the investor behavior of exchange rate exposure on the national stock returns through real income and financial channels for the Asian crisis period. Evidence from modeling a regime-switching process supports the hypothesis that the financial channel is more dominant during the crisis period (high volatility regime), while the real channel is more relevant during the tranquil period (low volatility regime).
This paper examines the dynamic correlation structure between A-share and B-share stock returns b... more This paper examines the dynamic correlation structure between A-share and B-share stock returns based on three different measures of correlation coefficients. Testing the models by employing daily stock-return data for the period from 1996 through 2003, we reach the following empirical conclusions. First, the correlation coefficients between A-share and B-share stock returns are time varying. Second, the dynamic path of
In this paper a time-varying coefficient model is developed using a Kalman filter methodology to ... more In this paper a time-varying coefficient model is developed using a Kalman filter methodology to test the term structure of interest rates. Since the model is characterized by a continuing revision of the estimates when new information arrives, it is capable of capturing the dynamic interest ...
This paper examines foreign exchange return behavior over short and long time horizons for six ma... more This paper examines foreign exchange return behavior over short and long time horizons for six major currencies. The evidence indicates strong positive correlations for intervals from 12 to 52 weeks, inconsistent with the random walk behavior documented by Meese and ...
This paper examines the investor behavior of exchange rate exposure on the national stock returns... more This paper examines the investor behavior of exchange rate exposure on the national stock returns through real income and financial channels for the Asian crisis period. Evidence from modeling a regime-switching process supports the hypothesis that the financial channel is more dominant during the crisis period (high volatility regime), while the real channel is more relevant during the tranquil period (low volatility regime).
This paper examines the dynamic correlation structure between A-share and B-share stock returns b... more This paper examines the dynamic correlation structure between A-share and B-share stock returns based on three different measures of correlation coefficients. Testing the models by employing daily stock-return data for the period from 1996 through 2003, we reach the following empirical conclusions. First, the correlation coefficients between A-share and B-share stock returns are time varying. Second, the dynamic path of
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Papers by Thomas Chiang