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ARCH-Modell
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ECONIS (ZBW)
13
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1
Estimating multi-period value at risk of oil futures prices
Zhou, Chunyang
;
Qin, Xiao
;
Diao, Xundi
;
He, Yingchen
- In:
Applied economics
48
(
2016
)
31/33
,
pp. 2994-3004
Persistent link: https://www.econbiz.de/10011615344
Saved in:
2
Time-varying asymmetric tail dependence of international equities markets
Zhou, Chunyang
;
Qin, Xiao
- In:
Pacific-Basin finance journal
68
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013332425
Saved in:
3
Forecasting energy market volatility using GARCH models : can multivariate models beat univariate models?
Wang, Yudong
;
Wu, Chongfeng
- In:
Energy economics
34
(
2012
)
6
,
pp. 2167-2181
Persistent link: https://www.econbiz.de/10009688795
Saved in:
4
Can GARCH-class models capture long memory in WTI crude oil markets?
Wang, Yudong
;
Wu, Chongfeng
;
Wei, Yu
- In:
Economic modelling
28
(
2011
)
3
,
pp. 921-927
Persistent link: https://www.econbiz.de/10009271384
Saved in:
5
Volatility forecasting : the role of lunch-break returns, overnight returns, trading volume and leverage effects
Wang, Xunxiao
;
Wu, Chongfeng
;
Xu, Weidong
- In:
International journal of forecasting
31
(
2015
)
3
,
pp. 609-619
Persistent link: https://www.econbiz.de/10011474428
Saved in:
6
What the investors need to know about forecasting oil futures return volatility
Wang, Yudong
;
Liu, Li
;
Ma, Feng
;
Wu, Chongfeng
- In:
Energy economics
57
(
2016
),
pp. 128-139
Persistent link: https://www.econbiz.de/10011698302
Saved in:
7
Forecasting crude oil market volatility : a Markov switching multifractal volatility approach
Wang, Yudong
;
Wu, Chongfeng
;
Li, Yang
- In:
International journal of forecasting
32
(
2016
)
1
,
pp. 1-9
Persistent link: https://www.econbiz.de/10011596312
Saved in:
8
Oil and the short-term predictability of stock return volatility
Wang, Yudong
;
Wei, Yu
;
Wu, Chongfeng
;
Yin, Libo
- In:
Journal of empirical finance
47
(
2018
),
pp. 90-104
Persistent link: https://www.econbiz.de/10012103481
Saved in:
9
Asymmetric volatility spillovers between crude oil and international financial markets
Wang, Xunxiao
;
Wu, Chongfeng
- In:
Energy economics
74
(
2018
),
pp. 592-604
Persistent link: https://www.econbiz.de/10011972941
Saved in:
10
Heterogeneous beliefs and aggregate market volatility revisited : new evidence from China
Wang, Yudong
;
Diao, Xundi
;
Pan, Zhiyuan
;
Wu, Chongfeng
- In:
Pacific-Basin finance journal
55
(
2019
),
pp. 127-141
Persistent link: https://www.econbiz.de/10012169519
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