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Volatility forecasting : the role of lunch-break returns, overnight returns, trading volume and leverage effects
Wang, Xunxiao; Wu, Chongfeng; Xu, Weidong - In: International journal of forecasting 31 (2015) 3, pp. 609-619
Persistent link: https://www.econbiz.de/10011474428
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Modeling asymmetric and dynamic dependence of overnight and daytime returns : an empirical evidence from China banking sector
Tong, Bin; Diao, Xundi; Wu, Chongfeng - In: Economic modelling 51 (2015), pp. 366-382
Persistent link: https://www.econbiz.de/10011476058
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Forecasting stock returns : a time-dependent weighted least squares approach
Wang, Yudong; Hao, Xianfeng; Wu, Chongfeng - In: Journal of financial markets 53 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10013271973
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Industry equi-correlation : a powerful predictor of stock returns
Wang, Yudong; Pan, Zhiyuan; Wu, Chongfeng; Wu, Wenfeng - In: Journal of empirical finance 59 (2020), pp. 1-24
Persistent link: https://www.econbiz.de/10012437933
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Forecasting realized volatility in a changing world : a dynamic model averaging approach
Wang, Yudong; Ma, Feng; Wei, Yu; Wu, Chongfeng - In: Journal of banking & finance 64 (2016), pp. 136-149
Persistent link: https://www.econbiz.de/10011634282
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A nonlinear Granger causality test between stock returns and investor sentiment for Chinese stock market : a wavelet-based approach
Chu, Xiaojun; Wu, Chongfeng; Qiu, Jianying - In: Applied economics 48 (2016) 19/21, pp. 1915-1924
Persistent link: https://www.econbiz.de/10011590017
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What the investors need to know about forecasting oil futures return volatility
Wang, Yudong; Liu, Li; Ma, Feng; Wu, Chongfeng - In: Energy economics 57 (2016), pp. 128-139
Persistent link: https://www.econbiz.de/10011698302
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Oil and the short-term predictability of stock return volatility
Wang, Yudong; Wei, Yu; Wu, Chongfeng; Yin, Libo - In: Journal of empirical finance 47 (2018), pp. 90-104
Persistent link: https://www.econbiz.de/10012103481
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Time‐varying parameter realized volatility models
Wang, Yudong; Pan, Zhiyuan; Wu, Chongfeng - In: Journal of forecasting 36 (2017) 5, pp. 566-580
Persistent link: https://www.econbiz.de/10011860698
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Oil price increases and the predictability of equity premium
Wang, Yudong; Pan, Zhiyuan; Liu, Li; Wu, Chongfeng - In: Journal of banking & finance 102 (2019), pp. 43-58
Persistent link: https://www.econbiz.de/10012162773