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Momentum profits and time-varying unsystematic risk
Li, Xiafei; Miffre, Joëlle; Brooks, Chris; O'Sullivan, … - In: Journal of banking & finance 32 (2008) 4, pp. 541-558
Persistent link: https://www.econbiz.de/10003707678
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Forecasting crude oil volatility with uncertainty indicators : new evidence
Li, Xiafei; Liang, Chao; Chen, Zhonglu; Umar, Muhammad - In: Energy economics 108 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013203032
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Uncertainty and crude oil market volatility : new evidence
Liang, Chao; Wei, Yu; Li, Xiafei; Zhang, Xuhui; Zhang, … - In: Applied economics 52 (2020) 27, pp. 2945-2959
Persistent link: https://www.econbiz.de/10012221463
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Are categorical EPU indices predictable for carbon futures volatility? : Evidence from the machine learning method
Guo, Xiaozhu; Huang, Dengshi; Li, Xiafei; Liang, Chao - In: International review of economics & finance : IREF 83 (2023), pp. 672-693
Persistent link: https://www.econbiz.de/10014246784
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An oil futures volatility forecast perspective on the selection of high-frequency jump tests
Li, Xiafei; Liao, Yin; Lu, Xinjie; Ma, Feng - In: Energy economics 116 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013542124
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Which uncertainty is powerful to forecast crude oil market volatility? : new evidence
Li, Xiafei; Wei, Yu; Chen, Xiaodan; Ma, Feng; Liang, Chao; … - In: International journal of finance & economics : IJFE 27 (2022) 4, pp. 4279-4297
Persistent link: https://www.econbiz.de/10013461327
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Forecasting China's stock market volatility with shrinkage method : can Adaptive Lasso select stronger predictors from numerous predictors?
Liang, Chao; Xu, Yongan; Chen, Zhonglu; Li, Xiafei - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 3689-3699
Persistent link: https://www.econbiz.de/10014429165
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A double-threshold GARCH model for the French franc - Deutschmark exchange rate
Brooks, Chris - In: Journal of forecasting 20 (2001) 2, pp. 135-143
Persistent link: https://www.econbiz.de/10001570437
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A comparison of extreme value theory approaches for determining value at risk
Brooks, Chris; Clare, Andrew D.; Dalle Molle, John W.; … - In: Journal of empirical finance 12 (2005) 2, pp. 339-352
Persistent link: https://www.econbiz.de/10002685175
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Autoregressive conditional kurtosis
Brooks, Chris; Burke, Simon P.; Heravi, Saeed M.; … - In: Journal of financial econometrics : official journal of … 3 (2005) 3, pp. 399-421
Persistent link: https://www.econbiz.de/10002989106