Information about:
Thomas C. Chiang

Other registered authors

Email:
Homepage: http://www.pages.drexel.edu/~chiangtc
Postal Address: Department of Finance Drexel University 206 Academic Building 101 North 33rd Street Philadelphia, PA 19104
Phone: 215 895 1745

Affiliation

• Department of Finance
  LeBow College of Business
  Drexel University

  Location: Philadelphia, Pennsylvania (United States)
  Homepage: http://www.lebow.drexel.edu/Faculty/Departments/Finance/
  Email:
  Phone:
  Fax:
  Postal:
  Handle: RePEc:edi:dfdreus (registered authors at this institution)

Working papers

1. Ming-Chya Wu & Ming-Chang Huang & Hai-Chin Yu & Thomas Chiang, 2005. "Phase Distribution and Phase Correlation of Financial Time Series," Finance 0512013, EconWPA. [Downloadable!]

1. Chiang, Thomas C. & Jeon, Bang Nam & Li, Huimin, 2007. "Dynamic correlation analysis of financial contagion: Evidence from Asian markets," Journal of International Money and Finance, Elsevier, vol. 26(7), pages 1206-1228, November. [Downloadable!] (restricted)

2. Chiang, Thomas C. & Kim, Doseong & Lee, Euiseong, 2006. "Country-fund discounts and risk: Evidence from stock market volatility and macroeconomic volatility," Journal of Economics and Business, Elsevier, vol. 58(4), pages 303-322. [Downloadable!] (restricted)

3. Thomas Chiang & Sheng-Yung Yang, 2005. "International Asset Excess Returns and Multivariate Conditional Volatilities," Review of Quantitative Finance and Accounting, Springer, vol. 24(3), pages 295-312, May. [Downloadable!] (restricted)

4. Chen, Cathy W. S. & Chiang, Thomas C. & So, Mike K. P., 2003. "Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 487-502. [Downloadable!] (restricted)

5. Chiang, Thomas C & Doong, Shuh-Chyi, 2001. " Empirical Analysis of Stock Returns and Volatility: Evidence from Seven Asian Stock Markets Based on TAR-GARCH Model," Review of Quantitative Finance and Accounting, Springer, vol. 17(3), pages 301-18, November. [Downloadable!] (restricted)

6. Jiang, Christine & Chiang, Thomas C, 2000. "Do Foreign Exchange Risk Premiums Relate to the Volatility in the Foreign Exchange and Equity Markets?," Applied Financial Economics, Taylor and Francis Journals, vol. 10(1), pages 95-104, February. [Downloadable!] (restricted)

7. Chiang, Thomas C. & Kim, Doseong, 2000. "Short-term eurocurrency rate behavior and specifications of cointegrating processes," International Review of Economics & Finance, Elsevier, vol. 9(2), pages 157-179. [Downloadable!] (restricted)

8. Shen, Chung-Hua & Chiang, Thomas Chi-Nan, 1999. "Retrieving the vanishing liquidity effect--a threshold vector autoregressive model," Journal of Economics and Business, Elsevier, vol. 51(3), pages 259-277, May. [Downloadable!] (restricted)

9. Chiang, Thomas C & Chiang, Jeanette Jin, 1999. " On the Nonlinear Specifications of Short-Term Interest Rate Behavior: Evidence from Euro-Currency Markets," Review of Quantitative Finance and Accounting, Springer, vol. 12(4), pages 351-70, June. [Downloadable!] (restricted)

10. THOMAS C. CHIANG & JOSÉ A. TRINIDAD, 1997. "Risk And International Parity Conditions: A Synthesis From Consumption-Based Models," International Economic Journal, Korean International Economic Association, vol. 11(2), pages 73-101, June. [Downloadable!] (restricted)

11. Chiang, Thomas C., 1997. "Time series dynamics of short-term interest rates: evidence from Eurocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(3), pages 201-220, October. [Downloadable!] (restricted)

12. Chiang, Thomas C & Chiang, Jeannette Jin, 1996. " Dynamic Analysis of Stock Return Volatility in an Integrated International Capital Market," Review of Quantitative Finance and Accounting, Springer, vol. 6(1), pages 5-17, January.

13. Chiang, Thomas C. & Chiang, Jeanette Jin, 1995. "Emperical analysis of short-term eurocurrency rates: Evidence from a transfer function error correction model," Journal of Economics and Business, Elsevier, vol. 47(4), pages 335-351, October. [Downloadable!] (restricted)

14. Chiang, Thomas C. & Jiang, Christine X., 1995. "Foreign exchange returns over short and long horizons," International Review of Economics & Finance, Elsevier, vol. 4(3), pages 267-282. [Downloadable!] (restricted)

15. Chiang, Thomas C & Chung, Ronald K, 1993. "An Empirical Analysis of the Expert Expectations Hypothesis in the U.S. Treasury Bill Market," Applied Financial Economics, Taylor and Francis Journals, vol. 3(4), pages 329-34, December. [Downloadable!] (restricted)

16. Jeon, Bang Nam & Chiang, Thomas C., 1991. "A system of stock prices in world stock exchanges: Common stochastic trends for 1975-1990," Journal of Economics and Business, Elsevier, vol. 43(4), pages 329-338, November. [Downloadable!] (restricted)

17. Chiang, Thomas C., 1991. "International asset pricing and equity market risk," Journal of International Money and Finance, Elsevier, vol. 10(3), pages 349-364, September. [Downloadable!] (restricted)

18. Chiang, Thomas C, 1988. "The Forward Rate as a Predictor of the Future Spot Rate--A Stochastic Coefficient Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 20(2), pages 212-32, May. [Downloadable!] (restricted)

19. Thomas Chiang & Thomas Hindelang, 1988. "Forward rate, spot rate and risk premium: An empirical analysis," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 124(1), pages 74-88, March. [Downloadable!] (restricted)

20. Chiang, Thomas C, 1986. "On the Predictors of the Future Spot Rates--A Multi-currency Analysis," The Financial Review, Eastern Finance Association, vol. 21(1), pages 69-83, February.

1. NEP-ETS: Econometric Time Series (1) 2005-12-14 Author is listed
2. NEP-RMG: Risk Management (1) 2005-12-14 Author is listed

This page was last updated on 2008-8-21.