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Forecasting oil futures realized range-based volatility with jumps, leverage effect, and regime switching : new evidence from MIDAS models
Lu, Xinjie; Ma, Feng; Wang, Jiqian; Liu, Jing - In: Journal of forecasting 41 (2022) 4, pp. 853-868
Persistent link: https://www.econbiz.de/10013287870
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On the estimation of regime-switching Lévy models
Chevallier, Julien; Goutte, Stéphane - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 1, pp. 3-29
Persistent link: https://www.econbiz.de/10011650170
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Identifying asymmetric responses of sectoral equities to oil price shocks in a NARDL model
Dhaoui, Abderrazak; Chevallier, Julien; Ma, Feng - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 2, pp. 1-19
Persistent link: https://www.econbiz.de/10012507450
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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
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A tug of war of forecasting the US stock market volatility : oil futures overnight versus intraday information
Ma, Feng; Wahab, M. I. M.; Chevallier, Julien; Li, Ziyang - In: Journal of forecasting 42 (2023) 1, pp. 60-75
Persistent link: https://www.econbiz.de/10013465762
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Which factors drive Bitcoin volatility : macroeconomic, technical, or both?
Wang, Jiqian; Ma, Feng; Bouri, Elie; Guo, Yangli - In: Journal of forecasting 42 (2023) 4, pp. 970-988
Persistent link: https://www.econbiz.de/10014292892