Volatility forecasting is an important issue in empirical finance. In this paper, the main purpose is to apply the … model averaging techniques to reduce volatility model uncertainty and improve volatility forecasting. Six GARCH-type models …

Real estate investment accounts for a quarter of total fixed asset investment (FAI) in China. The real estate sectorâ … process relies primarily on collateral, like in China. As a result, the impact on economic activity of a collapse in real …€™s trading partners. Using a two-region factor-augmented vector autoregression model that allows for interaction between China …

of volatility direction. The forecasting models are constructed with the incorporation of absolute returns, heterogeneous … autoregressive-realized volatility (HAR-RV), and proxy of investor sentiment. After we take into consideration the margin … of volatility direction with the incorporation of market turnover achieves the best Sharpe ratios. Our trading algorithm …

This study explores the effect of investor sentiment on the volatility forecasting power of option-implied information …. We find that the risk-neutral skewness has the explanatory power regarding future volatility only during high sentiment … periods. Furthermore, the implied volatility has varying volatility forecasting ability depending on the level of investor …

The main goal of this paper is to investigate whether the long memory behavior observed in many volatility energy … futures markets series is a spurious behavior or not. For this purpose, we employ a wide variety of advanced volatility models … performance. Using the crude oil, heating oil, gasoline and propane volatility futures energy time series with 1-month and 3-month …

The main goal of this paper is to investigate whether the long memory behavior observed in many volatility energy … futures markets series is a spurious behavior or not. For this purpose, we employ a wide variety of advanced volatility models … performance. Using the crude oil, heating oil, gaso- line and propane volatility futures energy time series with one month and …

This paper is concerned with some corporate governance issues related to newly listed firms in China, based on a sample …

dispersion of ownership that may be essential for a huge emerging capital market such as that of China. …

This paper is concerned with some corporate governance issues related to newly listed firms in China, based on a sample …