Research Publications for Yang (Greg) Hou
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Hou, Y., & Li, S. (2017). Time-varying price discovery and autoregressive loading factors: Evidence from S&P 500 cash and e-mini futures markets. In 2017 Global Finance Conference (pp. 48 pages). New York, USA.
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HOU, Yang (Greg)Hou, Y., & Holmes, M. (2017). On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging (MPRA Paper No. 82000). Munich Personal RePEc Archive.
Duppati, G., Hou, Y., & Scrimgeour, F. (2017). The dynamics of price discovery for cross-leased stocks evidence from US and Chinese markets. Cogent Economics and Finance, online, 40 pages. doi:10.1080/23322039.2017.1389675
Hou, Y., & Nartea, G. (2017). Price discovery in the stock index futures market: Evidence from the Chinese stock market crash (MPRA Paper No. 81995). Munich Personal RePEc Archive.
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HOU, Yang (Greg)Hou, Y., & Li, S. (2016). Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach. Economic Modelling, 52(Part B), 884-897. doi:10.1016/j.econmod.2015.10.025
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HOU, Yang (Greg)Hou, Y., & Li, S. (2015). Volatility behaviour of stock index futures in China: a bivariate GARCH approach. Studies in Economics and Finance, 32(1), 128-154. doi:10.1108/SEF-10-2013-0158
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HOU, Yang (Greg)Hou, Y., & Li, S. (2014). The impact of the CSI 300 stock index futures: Positive feedback trading and autocorrelation of stock returns. International Review of Economics & Finance, 33, 319-337. doi:10.1016/j.iref.2014.03.001
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HOU, Yang (Greg)Hou, Y. (2014). Pricing dynamics, informational efficiency and hedging performance of CSI 300 Index Futures Market. (PhD Thesis, University of South Australia).
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HOU, Yang (Greg)Hou, Y., & Li, S. (2013). Price Discovery in Chinese Stock Index Futures Market: New Evidence Based on Intraday Data. Asia-Pacific Financial Markets, 20(1), 49-70. doi:10.1007/s10690-012-9158-8
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HOU, Yang (Greg)Hou, Y., & Li, S. (2013). Hedging performance of Chinese stock index futures: An empirical analysis using wavelet analysis and flexible bivariate GARCH approaches. Pacific-Basin Finance Journal, 24, 109-131. doi:10.1016/j.pacfin.2013.04.001
Other publications by:
HOU, Yang (Greg)