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Forecasting realized volatility of Chinese stock market : a simple but efficient truncated approach

Wen, Danyan; He, Mengxi; Zhang, Yaojie; Wang, Yudong - In: Journal of forecasting 41 (2022) 2, pp. 230-251

Persistent link: https://www.econbiz.de/10012817722

Forecasting the Chinese stock market volatility : a regression approach with a t-distributed error

He, Mengxi; Zhang, Yaojie; Wen, Danyan; Wang, Yudong - In: Applied economics 54 (2022) 50, pp. 5811-5826

Persistent link: https://www.econbiz.de/10013411306

Intraday return predictability in China's crude oil futures market : new evidence from a unique trading mechanism

Wen, Danyan; Wang, Yudong; Zhang, Yaojie - In: Economic modelling 96 (2021), pp. 209-219

Persistent link: https://www.econbiz.de/10012745351

Climate risk exposure and the cross-section of Chinese stock returns

Zhang, Yaojie; He, Mengxi; Liao, Cunfei; Wang, Yudong - In: Finance research letters 55 (2023) 2, pp. 1-7

Persistent link: https://www.econbiz.de/10014473512

Abnormal temperature and the cross-section of stock returns in China

Zhang, Yaojie; Song, Bingheng; He, Mengxi; Wang, Yudong - In: International review of financial analysis 94 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10014543966

Market skewness and stock return predictability : new evidence from China

Feng, Yuqing; He, Mengxi; Zhang, Yaojie - In: Emerging markets, finance and trade : EMFT 60 (2024) 2, pp. 233-244

Persistent link: https://www.econbiz.de/10014513825

Volatility spillovers between crude oil and Chinese sectoral equity markets : evidence from a frequency dynamics perspective

Wang, Xunxiao; Wang, Yudong - In: Energy economics 80 (2019), pp. 995-1009

Persistent link: https://www.econbiz.de/10012173766

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

Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis

Wang, Yudong; Liu, Li; Gu, Rongbao - In: International review of financial analysis 18 (2009) 5, pp. 271-276

We divided the whole series of Shenzhen stock market into two sub-series at the criterion of the date of a reform and their scale behaviors are investigated using multifractal detrended fluctuation analysis (MF-DFA). Employing the method of rolling window, we find that Shenzhen stock market was...

Persistent link: https://www.econbiz.de/10003936608

Analysis of efficiency for Shenzhen stock market : evidence from the source of multifractality

Liu, Li; Wang, Yudong; Wan, Jieqiu - In: International review of financial analysis 19 (2010) 4, pp. 237-241

Persistent link: https://www.econbiz.de/10009272670