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Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach

Hou, Yang; Li, Steven; Wen, Fenghua - In: Energy economics 83 (2019), pp. 119-143

Persistent link: https://www.econbiz.de/10012175247

Forecasting realized volatility of crude oil futures with equity market uncertainty

Wen, Fenghua; Zhao, Yupei; Zhang, Minzhi; Hu, Chunyang - In: Applied economics 51 (2019) 59, pp. 6411-6427

Persistent link: https://www.econbiz.de/10012197349

Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions : evidence from oil volatility index

Xiao, Jihong; Zhou, Min; Wen, Fengming; Wen, Fenghua - In: Energy economics 74 (2018), pp. 777-786

Persistent link: https://www.econbiz.de/10011972968

Interaction between oil and US dollar exchange rate : nonlinear causality, time-varying influence and structural breaks in volatility

Wen, Fenghua; Xiao, Jihong; Huang, Chuangxia; Xia, Xiaohua - In: Applied economics 50 (2018) 3, pp. 319-334

Persistent link: https://www.econbiz.de/10011846847

Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model

Liu, Jian; Zhang, Ziting; Yan, Lizhao; Wen, Fenghua - In: Financial innovation : FIN 7 (2021), pp. 1-19

This study investigates the impact of economic policy uncertainty (EPU) on the volatility of European Union (EU) carbon futures prices and whether it has predictive power for the volatility of carbon futures prices. The GARCH-MIDAS model is applied for evaluating the impact of different EPU...

Persistent link: https://www.econbiz.de/10012705421

Dynamic volatility spillovers and investment strategies between the Chinese stock market and commodity markets

Wen, Fenghua; Cao, Jiahui; Liu, Zhen; Wang, Xiong - In: International review of financial analysis 76 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012804692

The role of US implied volatility index in forecasting Chinese stock market volatility : evidence from HAR models

Xiao, Jihong; Wen, Fenghua; Zhao, Yupei; Wang, Xiong - In: International review of economics & finance : IREF 74 (2021), pp. 311-333

Persistent link: https://www.econbiz.de/10012792965

Oil prices and chinese stock market : nonlinear causality and volatility persistence

Wen, Fenghua; Xiao, Jihong; Xia, Xiaohua; Chen, Bin; … - In: Emerging markets, finance and trade : EMFT 55 (2019) 6, pp. 1247-1263

Persistent link: https://www.econbiz.de/10012210710

Forecasting the volatility of crude oil futures using HAR-type models with structural breaks

Wen, Fenghua; Gong, Xu; Cai, Shenghua - In: Energy economics 59 (2016), pp. 400-413

Persistent link: https://www.econbiz.de/10011699710

Extreme event shocks and dynamic volatility interactions : the stock, commodity, and carbon markets in China

Zhao, Lili; Liu, Wenhua; Zhou, Min; Wen, Fenghua - In: Finance research letters 47 (2022) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10013459821