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Yin-Wong Cheung Home  Directory Yin-Wong Cheung
| Education History | |
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Ph.D., University of Pennsylvania |
| Research Focus | |
Econometrics, dynamics of exchange rates, financial markets, and aggregate output
Working Papers |
| Long Description | |
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Yin-Wong Cheung joined the economics faculty at UCSC in 1990. His research interests include econometrics, international finance, and financial price dynamics. Currently, he is working on topics related to exchange-rate fluctuations, growth convergence, and stock price dynamics. |
| Selected Publications | |
Cheung, Y.-W. "Exchange Rate Risk Premiums," Journal of International Money and Finance, 12, 182-194, 1993.
"Long Memory in Foreign Exchange Rates," Journal of Business and Economic Statistics, 11, 93-102, 1993.
"Tests for Fractional Integration: A Monte Carlo Investigation," Journal of Time Series Analysis, 14, 331-345, 1993.
Cheung, Y.-W. (with K. S. Lai). "Do Gold Market Returns Have Long Memory?" Financial Review, 18, 181-202, 1993.
"A Fractional Cointegration Analysis of Purchasing Power Parity," Journal of Business and Economic Statistics, 11, 103-112, 1993.
"Long-Run Purchasing Power Parity During the Recent Float," Journal of International Economics, 34, 181-192, 1993.
Cheung, Y.-W. (with K. S. Lai and M. Lai). "Are There Long Cycles in Foreign Stock Returns?" Journal of International Financial Markets, Institutions and Money, forthcoming.
Cheung, Y.-W. "Stock Price Dynamics and Firm Size: An Empirical Investigation," Journal of Finance, forthcoming.
Cheung, Y.-W. (with K. Lai). "International Evidence on Output Persistence from Postwar Data," Economics Letters, forthcoming.
Cheung, Y.-W. (with L. Ng). "The Dynamics of Standard & Poor's 500 Index and Standard & Poor's Intraday Price Volatilities," Review of Futures Markets, forthcoming. |
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