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Jump activity analysis of the equity index and the corresponding volatility : Evidence from the Chinese market
Wu, Bin; Chen, Pengzhan; Ye, Wuyi - In: Journal of Futures Markets 41 (2021) 7, pp. 1055-1073
Persistent link: https://www.econbiz.de/10012535215
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Variance swaps with mean reversion and multi-factor variance
Wu, Bin; Chen, Pengzhan; Ye, Wuyi - In: European journal of operational research : EJOR 315 (2024) 1, pp. 191-212
Persistent link: https://www.econbiz.de/10014562821
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Using implied volatility jumps for realized volatility forecasting : evidence from the Chinese market
Ye, Wuyi; Xia, Wenjing; Wu, Bin; Chen, Pengzhan - In: International review of financial analysis 83 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013455131
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A simulation-based method for estimating systemic risk measures
Ye, Wuyi; Zhou, Yi; Chen, Pengzhan; Wu, Bin - In: European journal of operational research : EJOR 313 (2024) 1, pp. 312-324
Persistent link: https://www.econbiz.de/10014456563