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Co-jump dynamicity in the cryptocurrency market : a network modelling perspective

Zhang, Lei; Bouri, Elie; Chen, Yan - In: Finance research letters 58 (2023) 2, pp. 1-11

Persistent link: https://www.econbiz.de/10014583395

Co-Bubble transmission across clean and dirty cryptocurrencies : network and portfolio analysis

Chen, Yan; Zhang, Lei; Bouri, Elie - In: Journal of international money and finance 145 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10014551411

Time-varying jump intensity and volatility forecasting of crude oil returns

Zhang, Lei; Chen, Yan; Bouri, Elie - In: Energy economics 129 (2024), pp. 1-12

Persistent link: https://www.econbiz.de/10014559002

Can a self-exciting jump structure better capture the jump behavior of cryptocurrencies? : a comparative analysis with the S&P 500

Chen, Yan; Zhang, Lei; Bouri, Elie - In: Research in international business and finance 69 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015052810

Implementation of penalized survival models in churn prediction of vehicle insurance

Chen, Yan; Zhang, Lei; Zhao, Yulu; Xu, Bing - In: Journal of business research : JBR 153 (2022), pp. 162-171

Persistent link: https://www.econbiz.de/10013534001

Forecasting Crude Oil Volatility and Stock Volatility : New Evidence from the Quantile Autoregressive Model

Chen, Yan; Zhang, Lei; Zhang, Feipeng - 2023

This paper employs the quantile autoregressive (QAR) model to examine the forecasting relationship between stock volatility and crude oil volatility. We firstly employ the sup-Wald test to evaluate Granger causality across various quantile levels, which provides valuable information in...

Persistent link: https://www.econbiz.de/10014352683