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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

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

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

Heterogeneous beliefs and aggregate market volatility revisited : new evidence from China

Wang, Yudong; Diao, Xundi; Pan, Zhiyuan; Wu, Chongfeng - In: Pacific-Basin finance journal 55 (2019), pp. 127-141

Persistent link: https://www.econbiz.de/10012169519

A nonparametric approach to test for predictability

Pan, Zhiyuan; Wang, Yudong; Wu, Chongfeng - In: Economics letters 148 (2016), pp. 10-16

Persistent link: https://www.econbiz.de/10011619752

Oil price volatility and macroeconomic fundamentals : a regime switching GARCH-MIDAS model

Pan, Zhiyuan; Wang, Yudong; Wu, Chongfeng; Yin, Libo - In: Journal of empirical finance 43 (2017), pp. 130-142

Persistent link: https://www.econbiz.de/10011817944

Volatility spillover from the US to international stock markets: A heterogeneous volatility spillover GARCH model

Wang, Yudong; Pan, Zhiyuan; Wu, Chongfeng - In: Journal of Forecasting 37 (2018) 3, pp. 385-400

Persistent link: https://www.econbiz.de/10012081978

Multifractal detrending moving average analysis on the US Dollar exchange rates

Wang, Yudong; Wu, Chongfeng; Pan, Zhiyuan - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 20, pp. 3512-3523

In this paper, we investigate the multifractal behavior of the US dollar (USD) exchange rates. The results from the multifractal detrending moving average algorithm show that twelve exchange rate series were multifractal. The major source of multifractality are long-range correlations of small...

Persistent link: https://www.econbiz.de/10010871642