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Details about Yin-Feng Gau

E-mail: This e-mail address is bad, please ask Yin-Feng Gau to update the entry in the RePEc Author Service or the correct address.
Homepage:http://www.cc.ncu.edu.tw/~yfgau
Phone:886-3-4227151 ext. 66263
Postal address:Department of Finance, National Central University, 300 Jhongda Rd., Jhongli, Taouyan 32001, Taiwan
Workplace:Department of Finance, National Central University, (more information at EDIRC)

Access statistics for papers by Yin-Feng Gau.

Last updated 2018-04-20. Update your information in the RePEc Author Service.

Short-id: pga214


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Working Papers

2004

  1. Forecasting Value-at-Risk Using the Markov-Switching ARCH Model
    Econometric Society 2004 Far Eastern Meetings, Econometric Society Downloads

Journal Articles

2017

  1. Home bias in portfolio choices: social learning among partially informed agents
    Review of Quantitative Finance and Accounting, 2017, 48, (2), 527-556 Downloads
  2. Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements
    The North American Journal of Economics and Finance, 2017, 42, (C), 172-192 Downloads View citations (1)
  3. Macroeconomic announcements and price discovery in the foreign exchange market
    Journal of International Money and Finance, 2017, 79, (C), 232-254 Downloads View citations (4)

2015

  1. Foreign exchange market intervention and price discovery
    Journal of the Japanese and International Economies, 2015, 38, (C), 214-227 Downloads

2014

  1. Asymmetric responses of ask and bid quotes to information in the foreign exchange market
    Journal of Banking & Finance, 2014, 38, (C), 194-204 Downloads View citations (1)
  2. Order choices under information asymmetry in foreign exchange markets
    Journal of International Financial Markets, Institutions and Money, 2014, 30, (C), 106-118 Downloads

2013

  1. Issuer Credit Ratings and Warrant-Pricing Errors
    Emerging Markets Finance and Trade, 2013, 49, (S3), 35-46 Downloads
  2. The effectiveness of position limits: Evidence from the foreign exchange futures markets
    Journal of Banking & Finance, 2013, 37, (11), 4501-4509 Downloads View citations (4)

2012

  1. The predictability of excess returns in the emerging bond markets
    Applied Financial Economics, 2012, 22, (17), 1429-1451 Downloads

2010

  1. International asset allocation for incompletely-informed investors
    Journal of Financial Markets, 2010, 13, (4), 422-447 Downloads View citations (2)
  2. News announcements and price discovery in foreign exchange spot and futures markets
    Journal of Banking & Finance, 2010, 34, (7), 1628-1636 Downloads View citations (62)

2009

  1. Tick sizes and relative rates of price discovery in stock, futures, and options markets: Evidence from the Taiwan stock exchange
    Journal of Futures Markets, 2009, 29, (1), 74-93 Downloads View citations (13)

2007

  1. Expected risk and excess returns predictability in emerging bond markets
    Applied Economics, 2007, 39, (12), 1511-1529 Downloads View citations (8)
  2. Intraday exchange rate volatility: ARCH, news and seasonality effects
    The Quarterly Review of Economics and Finance, 2007, 47, (1), 135-158 Downloads View citations (2)

2006

  1. Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market
    Pacific-Basin Finance Journal, 2006, 14, (2), 193-208 Downloads View citations (6)

2005

  1. Intraday volatility in the Taipei FX market
    Pacific-Basin Finance Journal, 2005, 13, (4), 471-487 Downloads View citations (6)

2004

  1. Public information, private information, inventory control, and volatility of intraday NTD/USD exchange rates
    Applied Economics Letters, 2004, 11, (4), 263-266 Downloads View citations (11)
 
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