Details about Terence Tai Leung Chong

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Short-id: pch395

Working Papers

2007

1. A Competing Risk Analysis of Delistings
   Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
2. The Political Economy of Issuing a Typhoon Signal
   Departmental Working Papers, Chinese University of Hong Kong, Department of Economics

2006

3. Do Momentum-based Strategies Work in Emerging Currency Markets?
   Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
4. Market Size, Book-to-Market Equity and the Cross-Section of Stock Returns: An Application of the Multiple-Variable Threshold Model
   Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
5. Predicting Currency Crises in Emerging Asian Countries: A Dynamic Threshold Approach
   Departmental Working Papers, Chinese University of Hong Kong, Department of Economics

2005

6. Determining the Contributions to the Price Discovery for Chinese Cross-listed Stocks
   Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
7. Do the technical indicators reward chartists? A study on the stock markets of China, Hong Kong and Taiwan
   SCAPE Policy Research Working Paper Series, National University of Singapore, Department of Economics, SCAPE
8. Threshold Autoregressive Model with Multiple Threshold Variables
   Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
9. What Cause(s) the Underpricing of H-Share IPO?
   Departmental Working Papers, Chinese University of Hong Kong, Department of Economics

2004

10. An Omnibus Test for the Fractionally Intergrated Model
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
11. Are Asian Real Exchange Rates Stationary?
    International Finance, EconWPA View citations
    See Also Journal Article in Economics Letters (2004)
12. Do the Chinese have a Preference for the Number "8": A Hedonic Pricing Model for the Vehicle Registration Marks in Hong Kong
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
13. Generic Consistency of the Break-Point Estimators under Specification Errors in a Multiple-Break Model
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics View citations
    See Also Journal Article in Econometrics Journal (2008)
14. Value Creation and Long Term Performance of Hong Kong Spinoffs
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics

2003

15. A Profitability Comparison of Modal Point and Closing Price
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
16. Effects of ARCH Errors on Autoregressive Lag Length Selection Criteria
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics View citations
17. Effects of STAR and TAR types nonlinearities on order selection criteria
    Econometrics, EconWPA
18. Modelling Smooth Transitional Economic Behavior
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
19. On the Profitability of Momentum Strategies and Relative Strength Index in the International Equity Markets
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics

2002

20. Testing for Structural Break of the U.S. Stock Market in the 911 Attacks
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics

2001

21. Extracting From the Dow Jones Index
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics

2000

22. Estimation, Inference, and the Long Memory Properties of Aggregated AR(1) Processes with Coefficients Drawn from a Polynomial Density Function
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
23. Time Series Properties of Aggregated AR(2) Processes
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
    See Also Journal Article in Economics Letters (2001)

1998

24. A Simple Test for Fractionally Integrated Processes
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
25. Estimating the Differencing Parameter Via the Partial Autocorrelation Function
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
    See Also Journal Article in Journal of Econometrics (2000)
26. Estimating the Fractionally Integrated Process in the Presence of Measurement Errors
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
    See Also Journal Article in Economics Letters (1999)

1997

27. Structural Change in AR(1) Models
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
    See Also Journal Article in Econometric Theory (2001)

1996

28. Estimating the Location of Break in Restricted Structural Change Models
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
29. Estimating the Unit Root Process in the Presence of Measurement Errors
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
30. Estimation of and Testing for Structural Break in the Presence of Measurement Errors
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
31. Seemingly Unexplosive Nonstationary Random Coefficient Autoregressive Processes, A Note
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics

Journal Articles

2008

1. Are the Asian Equity Markets more Interdependent after the Financial Crisis?
   Economics Bulletin, 2008, 6, (16), 1-7
2. Generic consistency of the break-point estimators under specification errors in a multiple-break model
   Econometrics Journal, 2008, 11, (2), 287-307
   See Also Working Paper (2004)
3. HEDONIC PRICING MODELS FOR VEHICLE REGISTRATION MARKS
   Pacific Economic Review, 2008, 13, (2), 259-276
4. Structural Change in the Efficiency of the Japanese Stock Market after the Millennium
   Economics Bulletin, 2008, 7, (7), 1-7
5. Testing for Structural Change in the Nontradable Share Reform of the Chinese Stock Market
   Chinese Economy, 2008, 41, (2), 24-33
6. Time series test of nonlinear convergence and transitional dynamics
   Economics Letters, 2008, 100, (3), 337-339

2007

7. A Class Test for Fractional Integration
   Studies in Nonlinear Dynamics & Econometrics, 2007, 11, (2), 1382-1382 View citations
8. A comparison of MA and RSI returns with exchange rate intervention
   Applied Economics Letters, 2007, 14, (5-6), 371-383 View citations
9. Determining the contributions to price discovery for Chinese cross-listed stocks
   Pacific-Basin Finance Journal, 2007, 15, (2), 140-153
10. Estimating the Fractionally Integrated Model with a Break in the Differencing Parameter
    Economics Bulletin, 2007, 3, (67), 1-10
11. Identification and Estimation of Structural-Change Models with Misclassification
    Economics Bulletin, 2007, 3, (36), 1-19
12. On the convergence of the Chinese and Hong Kong stock markets: a cointegration analysis of the A and H shares
    Applied Financial Economics, 2007, 17, (16), 1349-1357
13. Profitability of intraday and interday momentum strategies
    Applied Economics Letters, 2007, 14, (15), 1103-1108
14. THE IMPACT OF THE 1997 HANDOVER ON THE EFFICIENCY OF THE HONG KONG STOCK MARKET Impact of the 1997 Handover on the Hong Kong Stock Market
    The Singapore Economic Review (SER), 2007, 52, (01), 27-38
15. The Aggregated Structural-Change Model
    Economics Bulletin, 2007, 3, (2), 1-10
16. The Revaluation and Future Adjustment of the Renminbi
    Chinese Economy, 2007, 40, (5), 6-20

2006

17. Estimation of the Autoregressive Order in the Presence of Measurement Errors
    Economics Bulletin, 2006, 3, (12), 1-10
18. On the Comovement of A and H Shares
    Chinese Economy, 2006, 39, (5), 68-86
19. The polynomial aggregated AR(1) model
    Econometrics Journal, 2006, 9, (1), 98-122 View citations
20. Two-sided Matching, Who Marries Whom? And what Happens upon Divorce?
    Economics Bulletin, 2006, 4, (21), 1-7

2005

21. Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors
    Economics Bulletin, 2005, 3, (19), 1-5 View citations

2004

22. Are Asian real exchange rates stationary?
    Economics Letters, 2004, 83, (3), 313-316 View citations
    See Also Working Paper (2004)

2003

23. An empirical comparison of moving average envelopes and Bollinger Bands
    Applied Economics Letters, 2003, 10, (6), 339-341 View citations
24. Generic consistency of the break-point estimator under specification errors
    Econometrics Journal, 2003, 6, (1), 167-192 View citations
25. The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies
    Applied Economics, 2003, 35, (12), 1387-1392 View citations

2001

26. STRUCTURAL CHANGE IN AR(1) MODELS
    Econometric Theory, 2001, 17, (01), 87-155 View citations
    See Also Working Paper (1997)
27. Time series properties of aggregated AR(2) processes
    Economics Letters, 2001, 73, (3), 325-332
    See Also Working Paper (2000)

2000

28. Estimating the differencing parameter via the partial autocorrelation function
    Journal of Econometrics, 2000, 97, (2), 365-381 View citations
    See Also Working Paper (1998)

1999

29. Asymptotic distribution of the sup-Wald statistic under specification errors
    Structural Change and Economic Dynamics, 1999, 10, (3-4), 421-430
30. Estimating the fractionally integrated process in the presence of measurement errors
    Economics Letters, 1999, 63, (3), 285-294 View citations
    See Also Working Paper (1998)

1995

31. Partial parameter consistency in a misspecified structural change model
    Economics Letters, 1995, 49, (4), 351-357 View citations