Browse by all authors Browse By Author/Contributor/Editor ID - Kam Fong CHAN

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Chan, K. F., Gan, C. and McGraw, P. A. (2003) A hedging strategy for New Zealand's exporter in transaction exposure to currency risk. Multinational Finance Journal, 7 1-2: 25-54.    
Chan, K. F., Gray, P. and van Campen, B. (2008) A new approach to characterizing and forecasting electricity price volatility. International Journal of Forecasting, 24 4: 728-743. doi:10.1016/j.ijforecast.2008.08.002   9 33 Cited 36 times in Scopus36 0
Pan, Zheyao (Terry) and Chan, Kam Fong (2017) A new government bond volatility index predictor for the U.S. equity premium. Pacific-Basin Finance Journal, 50 200-215. doi:10.1016/j.pacfin.2016.12.007     0 Cited 2 times in Scopus2 0
Chan, Kam Fong, Treepongkaruna, Sirimon, Brooks, Robert and Gray, Stephen (2011) Asset market linkages: Evidence from financial, commodity and real estate assets. Journal of Banking and Finance, 35 6: 1415-1426. doi:10.1016/j.jbankfin.2010.10.022   2 91 Cited 103 times in Scopus103 1
Chan, K. F. (2004). Conditional heteroscedasticity and jumps in Australian short-term interest rates. In: P. Gray and E. Margiolis, 2004 Annual Conference Program & Abstracts. AFAANZ 2004 Conference, Alice Springs, NT, (). 4-6 July, 2004.    
Chan, Kam Fong, Chhagan, Mahesh and Marsden, Alastair (2017) Cross-border scheduled macroeconomic news impacts: evidence from high-frequency Asia Pacific currencies. Pacific Basin Finance Journal, 43 37-54. doi:10.1016/j.pacfin.2017.02.004     0 Cited 1 times in Scopus1 0
Chan, Kam Fong, Powell, John G. and Treepongkaruna, Sirimon (2014) Currency jumps and crises: do developed and emerging market currencies jump together?. Pacific Basin Finance Journal, 30 132-157. doi:10.1016/j.pacfin.2014.08.001     2 Cited 2 times in Scopus2 0
Bowman, Robert G., Chan, Kam Fong and Comer, Matthew R. (2010) Diversification, rationality and the Asian economic crisis. Pacific Basin Finance Journal, 18 1: 1-23. doi:10.1016/j.pacfin.2009.05.003   7 5 Cited 6 times in Scopus6 0
Chan, Kam Fong, Powell, John G., Shi, Jing and Smith, Tom (2018) Dividend persistence and dividend behaviour. Accounting and Finance, 58 1: 127-147. doi:10.1111/acfi.12208     1 Cited 2 times in Scopus2 0
Chan, Kam Fong and Gray, Philip (2016) Do Scheduled Macroeconomic Announcements Influence Energy Price Jumps?. The Journal of Futures Markets, 37 1: 71-89. doi:10.1002/fut.21796     3 Cited 3 times in Scopus3 1
Chan, Kam Fong and Gray, Philip (2016). Extreme value theory and risk management in electricity markets. In Francois Longin (Ed.), Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications (pp. 405-426) New York, NY, United States: Wiley.    
Chan, Kam Fong and Gray, Philip (2016). Extreme Value Theory and Risk Management in Electricity Markets. In Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications (pp. 405-425) : wiley. doi:10.1002/9781118650318.ch15     Cited 1 times in Scopus1 0
Chan, Kam Fong and Marsden, Alastair (2014) Macro risk factors of credit default swap indices in a regime-switching framework. Journal of International Financial Markets, Institutions and Money, 29 1: 285-308. doi:10.1016/j.intfin.2014.01.002     14 Cited 16 times in Scopus16 0
Malik, Ihtisham, Faff, Robert W. and Chan, Kam Fong (2018) Market response of US equities to domestic natural disasters: industry-based evidence. SSRN Electronic Journal, . doi:10.2139/ssrn.3239224     1
Chan, Kam Fong and Marsden, Alastair (2013) Modeling the time-series evolution of the credit default swap indices. La Revue du Financier, 35 199: 35-48.   6
Chan, K. F. (2005) Modelling conditional heteroscedasticity and jumps in Australian short-term interest rates. Accounting and Finance, 45 4: 537-551. doi:10.1111/j.1467-629X.2005.00153.x     Cited 7 times in Scopus7 0
Chan, K F and Gray, P K (2006) Modelling electricity prices in the presence of extreme jumps. Forecasting Letters, 1 1: 32-39.    
Chan, Kam Fong (2006). Modelling short-term interest rates and electricity spot prices PhD Thesis, School of Business, The University of Queensland.   6
Chan, Kam Fong, Robert G. Bowman and Christopher J. Neely (2017) Systematic cojumps, market component portfolios and scheduled macroeconomic announcements. Journal of Empirical Finance, 43 43-58. doi:10.1016/j.jempfin.2017.05.003     0 Cited 1 times in Scopus1 0
Chan, Kam Fong and Gray, Philip (2006) Using extreme value theory to measure value-at-risk for daily electricity spot prices. International Journal of Forecasting, 22 2: 283-300. doi:10.1016/j.ijforecast.2005.10.002     46 Cited 80 times in Scopus80 0
Chan, Kam F. and Gray, Philip (2018) Volatility jumps and macroeconomic news announcements. Journal of Futures Markets, . doi:10.1002/fut.21922     0 0 0