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Forecasting the volatility of the German stock market : new evidence

Liang, Chao; Zhang, Yi; Zhang, Yaojie - In: Applied economics 54 (2022) 9, pp. 1055-1070

Persistent link: https://www.econbiz.de/10012875034

Dynamic hedging using the realized minimum-variance hedge ratio approach : examination of the CSI 300 index futures

Qu, Hui; Wang, Tianyang; Zhang, Yi; Sun, Pengfei - In: Pacific-Basin finance journal 57 (2019), pp. 1-14

Persistent link: https://www.econbiz.de/10012170622

Forecasting oil price volatility : forecast combination versus shrinkage method

Zhang, Yaojie; Wei, Yu; Zhang, Yi; Jin, Daxiang - In: Energy economics 80 (2019), pp. 423-433

Persistent link: https://www.econbiz.de/10012173653

The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic

Zhang, Yi; Zhou, Long; Chen, Yajiao; Liu, Fang - In: The North American journal of economics and finance : a … 61 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013449345

The Information Content of Overnight Information for Volatility Forecasting : Evidence from China's Stock Market

ZHANG, Yi; ZHOU, Long; LIU, Fang - 2022

Using overnight volatility as the proxy for overnight information, this paper models future Chinese stock market realized range-based volatility (RRV) within a class of heterogeneous autoregressive models augmented by this proxy. We confirm the important role of overnight information in...

Persistent link: https://www.econbiz.de/10013405345

Asymmetric multivariate HAR models for realized covariance matrix : a study based on volatility timing strategies

Qu, Hui; Zhang, Yi - In: Economic modelling 106 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013347668

Tail risk transmission from the United States to emerging stock Markets : empirical evidence from multivariate quantile analysis

Zhang, Yi; Zhou, Long; Wu, Baoxiu; Liu, Fang - In: The North American journal of economics and finance : a … 73 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014580778