Browsing Trinity Business School by Author "Lau, Marco Chi Keung"
Now showing items 1-2 of 2
-
Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation
Vigne, Samuel; Demir, Ender; Gozgor, Giray; Lau, Marco Chi Keung (2018)This paper analyzes the prediction power of the economic policy uncertainty (EPU) index on the daily Bitcoin returns. Using the Bayesian Graphical Structural Vector Autoregressive model as well as the Ordinary Least Squares ... -
Modelling asymmetric conditional dependence between Shanghai and Hong Kong stock markets
Vigne, Samuel; Wu, Weiou; Lau, Marco Chi Keung (2017)This paper investigates the asymmetric conditional dependence between Shanghai and Hong Kong stock index returns, to assess the impact of the recent financial recession on Chinese equity markets using the Copula approach. ...