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Convex risk measures based on generalized lower deviation and their applications

Fu, Tianwen; Zhuang, Xinkai; Hui, Yongchang; Liu, Jia - In: International review of financial analysis 52 (2017), pp. 27-37

Persistent link: https://www.econbiz.de/10011868689

Expected stock returns, common idiosyncratic volatility and average idiosyncratic correlation

Ni, Xuanming; Qian, Long; Zhao, Huimin; Liu, Jia - In: International review of financial analysis 76 (2021), pp. 1-9

Persistent link: https://www.econbiz.de/10012805046

Does the choice of realized covariance measures empirically matter? : a Bayesian density prediction approach

Jin, Xin; Liu, Jia; Yang, Qiao - In: Econometrics : open access journal 9 (2021) 4, pp. 1-22

This paper suggests a new approach to evaluate realized covariance (RCOV) estimators via their predictive power on return density. By jointly modeling returns and RCOV measures under a Bayesian framework, the predictive density of returns and ex-post covariance measures are bridged. The forecast...

Persistent link: https://www.econbiz.de/10012697796

Dependences and volatility spillovers between the oil and stock markets: new evidence from the copula and VAR-BEKK-GARCH models

Yu, Lean; Zha, Rui; Stafylas, Dimitrios; He, Kaijian; … - In: International review of financial analysis 68 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012301075

Economic policy uncertainty and analyst behaviours : evidence from the United Kingdom

Chen, Min; Zhu, Zhaobo; Han, Peiwen; Chen, Bo; Liu, Jia - In: International review of financial analysis 79 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013349538

Temperature and trading behaviours

Liu, Huajin; Zhang, Wei; Zhang, Xiaotao; Liu, Jia - In: International review of financial analysis 78 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10013255888