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~person:"Li, Yan"
~subject:"ARCH-Modell"
~subject:"Ankündigungseffekt"
~subject:"Announcement effect"
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ARCH-Modell
Ankündigungseffekt
Announcement effect
Capital income
29
Kapitaleinkommen
29
Forecasting model
17
Prognoseverfahren
17
Börsenkurs
15
Share price
15
Aktienmarkt
13
Stock market
13
Volatility
12
Volatilität
12
Estimation
10
Schätzung
10
ARCH model
8
Anlageverhalten
7
Behavioural finance
7
CAPM
7
China
7
Forecast
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Prognose
6
Theorie
4
Theory
4
Volatility forecasting
4
Welt
4
World
4
Chinese stock market
3
Cost of capital
3
Kapitalkosten
3
Portfolio selection
3
Portfolio-Management
3
Realized volatility
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Capital market returns
2
Commodity derivative
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Cross-sectional returns
2
Efficient market hypothesis
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Effizienzmarkthypothese
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Erwartungsbildung
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Expectation formation
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10
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English
10
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Li, Yan
Gupta, Rangan
30
Caporale, Guglielmo Maria
27
Engle, Robert F.
24
Kumar, Dilip
18
McAleer, Michael
18
Ma, Feng
17
Bouri, Elie
16
Spagnolo, Nicola
16
Chiang, Thomas C.
15
Spagnolo, Fabio
15
Chang, Chia-Lin
14
Kutan, Ali Mustafa
14
Paolella, Marc S.
13
Bauwens, Luc
12
Bollerslev, Tim
12
Floros, Christos
12
Mansur, Iqbal
12
Pandey, Dharen Kumar
12
Brooks, Robert
11
Elyasiani, Elyas
11
Faff, Robert W.
11
Teräsvirta, Timo
11
Ardia, David
10
Haas, Markus
10
Kočenda, Evžen
10
Kumari, Vineeta
10
Schiereck, Dirk
10
Truong, Cameron
10
Wolf, Michael
10
Zhang, Yaojie
10
Huang, Zhuo
9
Koopman, Siem Jan
9
Ledoit, Olivier
9
Liang, Chao
9
Ryu, Doojin
9
Tiwari, Aviral Kumar
9
Bohl, Martin T.
8
Boudt, Kris
8
Corbet, Shaen
8
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International review of financial analysis
3
Finance research letters
2
China finance review international
1
Energy economics
1
Journal of banking & finance
1
Journal of forecasting
1
Journal of international financial markets, institutions & money
1
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ECONIS (ZBW)
10
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1
The volatility of daily tug-of-war intensity and stock market returns
Bai, Fan
;
Zhang, Yaqi
;
Chen, Zhonglu
;
Li, Yan
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10014473224
Saved in:
2
The forecast ability of a belief-based momentum indicator in full-day, daytime, and nighttime volatilities of Chinese oil futures
Li, Yan
;
Luu Duc Toan Huynh
;
Xu, Yongan
;
Liang, Hao
- In:
Energy economics
127
(
2023
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10014490332
Saved in:
3
Market momentum amplifies market volatility risk : evidence from China's equity market
Liang, Chao
;
Luu Duc Toan Huynh
;
Li, Yan
- In:
Journal of international financial markets, …
88
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014483186
Saved in:
4
Long-term adjusted volatility : powerful capability in forecasting stock market returns
Qiu, Rui
;
Liu, Jing
;
Li, Yan
- In:
International review of financial analysis
86
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014248427
Saved in:
5
The role of model bias in predicting volatility : evidence from the US equity markets
Li, Yan
;
Luo, Lian
;
Liang, Chao
;
Ma, Feng
- In:
China finance review international
13
(
2023
)
1
,
pp. 140-155
Persistent link: https://www.econbiz.de/10014312248
Saved in:
6
News sentiment and stock return : evidence from managers' news coverages
Xu, Yongan
;
Liang, Chao
;
Li, Yan
;
Toan Luu Duc Huynh
- In:
Finance research letters
48
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10013463167
Saved in:
7
Forecasting international equity market volatility : a new approach
Liang, Chao
;
Li, Yan
;
Ma, Feng
;
Zhang, Yaojie
- In:
Journal of forecasting
41
(
2022
)
7
,
pp. 1433-1457
Persistent link: https://www.econbiz.de/10013465704
Saved in:
8
Global equity market volatilities forecasting : a comparison of leverage effects, jumps, and overnight information
Liang, Chao
;
Li, Yan
;
Ma, Feng
;
Wei, Yu
- In:
International review of financial analysis
75
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012804153
Saved in:
9
Which sentiment index is more informative to forecast stock market volatility? : evidence from China
Liang, Chao
;
Tang, Linchun
;
Li, Yan
;
Wei, Yu
- In:
International review of financial analysis
71
(
2020
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012437093
Saved in:
10
Comparing with the average : reference points and market reactions to above-average earnings surprises
He, Wen
;
Li, Yan
- In:
Journal of banking & finance
117
(
2020
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012495764
Saved in:
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