Research

• Refereed Journal Publications (* indicates the corresponding author)

1. Hsiao, C.Y., and Chiu, Y.-B. (2024), "Financial Contagion and Networks among the Oil and BRICS Stock Markets during Seven Episodes of Crisis Events," Journal of International Money and Finance, forthcoming (ABDC ranking A; SSCI)

2. Hsiao, C.Y., Chiu, Y.-B., and Wang, Y.R. (2024), "Assessing Contagion Risks of Carbon Reduction Policies on the Stock Returns: Evidence from China’s Energy Markets," Emerging Markets Finance and Trade, forthcoming (ABDC ranking A; SSCI)

3. Chiu, C.M., Ojijieme, N.G., Cai, Y., and Hsiao*, C.Y. (2024), "Convergence of Shadow Economy Across US States," Applied Economics Letters, 1-5. (SSCI)

4. Aboagye, E., Ko, S.I., Lo, C.C., Hsiao*, C.Y., and Peng, L. (2024), "A Contagion Test with Unspecified Heteroscedastic Errors," Journal of Economic Dynamics and Control, 159, 104804. (ABDC A*; SSCI)

5. Hsiao, C.Y., Jin, T., Kwok, S., Wang, X., and Zheng, X. (2023), "Entrepreneurial Risk Shocks and Financial Acceleration Asymmetry in a Two-Country DSGE Model," China Economic Review, 81, 102006. (ABDC A; SSCI)

6. Hsiao, C.Y., Yang, Y., Zheng, X., and Chiu, Y.-B. (2023), "Evaluations of Policy Contagion for New Energy Vehicle Industry in China," Energy Policy, 173, 113402. (ABDC A; SSCI)

7. Chih, Y.Y., and Hsiao*, C.Y. (2023), "Brace for Another Crisis: Empirical Evidences from US Construction Industry and Firm Performance during 2007-09 Global Financial Crisis," Journal of Management in Engineering, 39, 1, 04022069. (ABDC A; SCI) (Editor’s choice of the issue)

8. Zhang, W., Chiu, Y.B., and Hsiao*, C.Y. (2022), "Effect of Country Risks and Government Subsidies on Renewable Energy Firm’s Performance: Evidence from China," Renewable and Sustainable Energy Reviews, 158, 112-164. (JCR Q1; SSCI)

9. Chih, Y.Y., Hsiao*, C.Y., Zolghadr, A., and Naderpajouh, N. (2022), "Resilience of Organizations in the Construction Industry in the Face of COVID-19 Disturbances: A Dynamic Capabilities Perspective," Journal of Management in Engineering, 38, 2, forthcoming (ABDC A; SCI) (Editor’s choice of the issue)

10. Hsiao*, C.Y., and Morley, J. (2022), "Debt and Financial Market Contagion," Empirical Economics, 62, 1599-1648. (ABDC A; SSCI)

11. Fry-McKibbin, R., Greenwood-Nimmo, M., Hsiao*, C.Y., and Qi, L. (2022), "Higher-order Co-moment Contagion among G20 Equity Market during the COVID-19 pandemic," Finance Research Letters, 45, 102150 (ABDC A; SSCI)

12. Hsiao, C.Y., Sheng, N., Fu, S., and Wei, X. (2022), "Evaluation of Contagious Effects of China’s Wind Power Industrial Policies," Energy, 238, 121760. (JCR Q1; SCI)

13. Fry-McKibbin, R., Hsiao*, C.Y., and Martin, V. (2021), "Measuring Financial Interdependence in Asset Markets with an Application to Euro Zone Equities," Journal of Banking and Finance, 122, 105985. (ABDC A*; SSCI)

14. Hsiao*, C.Y., Wei, X., and Shao, C. (2021), "A Joint Test of Policy Contagion with Application to the Solar Sector," Renewable and Sustainable Energy Reviews, 141, 110762. (JCR Q1; SSCI)

15. Hsiao, C.Y., Ou, Y., Sheng, N., and Wei, X. (2021), "Measuring Contagion Effects of Nuclear Energy Policies and Events," International Journal of Energy Research, 45, 8, 11510-11525. (JCR Q1; SCI)

16. Hsiao, C.Y., Ai, D., Wei, X., and Sheng, N. (2021), "The Contagious Effect of China’s Energy Policy on Stock Markets: The Case of Solar PV Industry," Renewable Energy, 164, 74-86. (JCR Q1; SCI)

17. Chan, J.C.C., Fry-McKibbin, R., and Hsiao*, C.Y. (2019), "A Regime Switching Skew-normal Model of Contagion," Studies in Nonlinear Dynamics and Econometrics, 23, 1, 1-24. (ABDC A; SSCI)

18. Fry-McKibbin, R., Hsiao*, C.Y., and Martin, V. (2019), "Joint Tests of Contagion with Applications," Quantitative Finance, 19, 3, 473-490. (ABDC A; SSCI)

19. Fry-McKibbin, R., Hsiao*, C.Y., and Martin, V. (2018), "Global and Regional Financial Integration in East Asia and ASEAN," North American Journal of Economics and Finance, 46, 202-221. (ABDC A; SSCI)

20. Hsiao, C.Y., and Chen, H.H. (2018), "The Contagion Effects of Economic Development after Resuming Construction of Nuclear Power Plants in Coastal China," Energy, 152, 291-302. (JCR Q1; SCI)

21. Fry-McKibbin, R., and Hsiao*, C.Y. (2018), "Extremal Dependence Tests of Contagion," Econometric Reviews, 37, 6, 626-649. (ABDC A; SSCI)

22. Fry-McKibbin, R., Hsiao, C.Y., and Tang, C. (2014), "Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes," Open Economies Review, 25, 3, 521-70, July. (ABDC B; SSCI)

• Book Chapter

Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence   (with Joshua Chan)  (2014)

    In: I. Jeliazkov and X.-S. Yang (Eds.), Bayesian Inference in the Social Sciences, 159-180, John Wiley & Sons, Hoboken, New Jersey (MATLAB code)