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Dimension reduction via penalized GLMs for non-Gaussian response : application to stock market volatility

Li, Tao; Desmond, Anthony F.; Stengos, Thanasēs - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-26

We fit U.S. stock market volatilities on macroeconomic and financial market indicators and some industry level financial ratios. Stock market volatility is non-Gaussian distributed. It can be approximated by an inverse Gaussian (IG) distribution or it can be transformed by Box-Cox transformation...

Persistent link: https://www.econbiz.de/10012798738

Economic policy uncertainty and the Chinese stock market volatility : novel evidence

Li, Tao; Ma, Feng; Zhang, Xuehua; Zhang, Yaojie - In: Economic modelling 87 (2020), pp. 24-33

Persistent link: https://www.econbiz.de/10012416291

Jumps and stock market variance during the COVID-19 pandemic : evidence from international stock markets

Zeng, Qing; Lu, Xinjie; Li, Tao; Wu, Lan - In: Finance research letters 48 (2022), pp. 1-6

Persistent link: https://www.econbiz.de/10013461688

Newspaper-based equity uncertainty or implied volatility index : new evidence from oil market volatility predictability

Lu, Xinjie; Ma, Feng; Li, Pan; Li, Tao - In: Applied economics letters 30 (2023) 7, pp. 960-964

Persistent link: https://www.econbiz.de/10014303607

Forecasting Pakistan stock market volatility : evidence from economic variables and the uncertainty index

Ghani, Maria; Guo, Qiang; Ma, Feng; Li, Tao - In: International review of economics & finance : IREF 80 (2022), pp. 1180-1189

Persistent link: https://www.econbiz.de/10013343226

Geopolitical risk and oil price volatility : evidence from Markov-switching model

Qian, Lihua; Zeng, Qing; Li, Tao - In: International review of economics & finance : IREF 81 (2022), pp. 29-38

Persistent link: https://www.econbiz.de/10013343484