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  • Search: person:"Cai, Xiao Jing"
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Year of publication
Subject
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Welt 5 World 5 Börsenkurs 4 Share price 4 State space model 4 Volatility 4 Volatilität 4 Zustandsraummodell 4 Aktienmarkt 3 Exchange rate 3 Oil price 3 Stock market 3 Wavelet coherence analysis 3 Wechselkurs 3 Ölpreis 3 China 2 Correlation 2 East Asia 2 Estimation 2 Financial crisis 2 Finanzkrise 2 International financial market 2 Internationaler Finanzmarkt 2 Korrelation 2 Multivariate Verteilung 2 Multivariate distribution 2 Ostasien 2 Schätzung 2 TVP-VAR model 2 Theorie 2 Theory 2 bank credit 2 city banks 2 copula 2 dependence structure 2 housing loans 2 housing price 2 real estate development loans 2 ARCH model 1 ARCH-Modell 1
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Online availability
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Undetermined 7 Free 4
Type of publication
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Article 11
Type of publication (narrower categories)
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Article in journal 9 Aufsatz in Zeitschrift 9 Article 2
Language
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English 11
Author
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Cai, Xiao Jing 11 Hamori, Shigeyuki 11 Yang, Lu 4 Tian, Shuairu 3 He, Xie 2 Liu, Guizhou 2 Fang, Zheng 1 Li, Mengling 1 Youngho, Chang 1 Yuan, Nannan 1 Zhang, Huimin 1
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Published in...
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Economic modelling 2 Journal of Risk and Financial Management 2 Journal of risk and financial management : JRFM 2 Applied economics 1 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 1 International review of economics & finance : IREF 1 Journal of international financial markets, institutions & money 1 The North American journal of economics and finance : a journal of financial economics studies 1
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Source
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ECONIS (ZBW) 9 EconStor 2
Showing 1 - 10 of 11
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Bank credit and housing prices in China : evidence from a TVP-VAR Model with stochastic volatility
He, Xie; Cai, Xiao Jing; Hamori, Shigeyuki - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-16
Housing prices in China have been rising rapidly in recent years, which is a cause for concern for China’s housing market. Does bank credit influence housing prices? If so, how? Will the housing prices affect the bank credit system if the market collapses? We aim to study the dynamic...
Persistent link: https://www.econbiz.de/10011960388
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Cover Image
Modeling the dependence structure of share prices among three Chinese city banks
Liu, Guizhou; Cai, Xiao Jing; Hamori, Shigeyuki - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-18
We study the dependence structure of share price returns among the Beijing Bank, Ningbo Bank, and Nanjing Bank using copula models. We use the normal, Student’s t, rotated Gumbel, and symmetrized Joe-Clayton (SJC) copula models to estimate the underlying dependence structure in two periods:...
Persistent link: https://www.econbiz.de/10011961448
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Co-movements in commodity markets andimplications in diversification benefits
Cai, Xiao Jing; Fang, Zheng; Youngho, Chang; Tian, Shuairu - In: Empirical economics : a journal of the Institute for … 58 (2020) 2, pp. 393-425
Persistent link: https://www.econbiz.de/10012219019
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Cover Image
What determines the long-term correlation between oil prices and exchange rates?
Yang, Lu; Cai, Xiao Jing; Hamori, Shigeyuki - In: The North American journal of economics and finance : a … 44 (2018), pp. 140-152
Persistent link: https://www.econbiz.de/10012036525
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Interdependence between oil and East Asian stock markets : evidence from wavelet coherence analysis
Cai, Xiao Jing; Tian, Shuairu; Yuan, Nannan; Hamori, … - In: Journal of international financial markets, … 48 (2017), pp. 206-223
Persistent link: https://www.econbiz.de/10011892354
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Does the crude oil price influence the exchange rates of oil-importing and oil-exporting countries differently? : a wavelet coherence analysis
Yang, Lu; Cai, Xiao Jing; Hamori, Shigeyuki - In: International review of economics & finance : IREF 49 (2017), pp. 536-547
Persistent link: https://www.econbiz.de/10011748693
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Dynamic correlation and equicorrelation analysis of global financial turmoil : evidence from emerging East Asian stock markets
Cai, Xiao Jing; Tian, Shuairu; Hamori, Shigeyuki - In: Applied economics 48 (2016) 40/42, pp. 3789-3803
Persistent link: https://www.econbiz.de/10011628092
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Interdependence of foreign exchange markets : a wavelet coherence analysis
Yang, Lu; Cai, Xiao Jing; Zhang, Huimin; Hamori, Shigeyuki - In: Economic modelling 55 (2016), pp. 6-14
Persistent link: https://www.econbiz.de/10011642425
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Cover Image
Bank credit and housing prices in China: Evidence from a TVP-VAR Model with stochastic volatility
He, Xie; Cai, Xiao Jing; Hamori, Shigeyuki - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-16
Housing prices in China have been rising rapidly in recent years, which is a cause for concern for China's housing market. Does bank credit influence housing prices? If so, how? Will the housing prices affect the bank credit system if the market collapses? We aim to study the dynamic...
Persistent link: https://www.econbiz.de/10012611040
Saved in:
Cover Image
Modeling the dependence structure of share prices among three Chinese city banks
Liu, Guizhou; Cai, Xiao Jing; Hamori, Shigeyuki - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-18
We study the dependence structure of share price returns among the Beijing Bank, Ningbo Bank, and Nanjing Bank using copula models. We use the normal, Student's t, rotated Gumbel, and symmetrized Joe-Clayton (SJC) copula models to estimate the underlying dependence structure in two periods: one...
Persistent link: https://www.econbiz.de/10012611072
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