We introduce a novel quantitative methodology to detect real estate bubbles and forecast their critical end time, which … possible turning points of the markets in BeiJing, ShangHai, ShenZhen, GuangZhou, TianJin and ChengDu and forecast the future …

Chinese daily overnight stock returns, while positively forecast next-day Chinese daytime stock returns. The US volatility …This paper investigates the predictive ability of international volatility risk for the daily aggregate Chinese stock … market returns. We employ the innovations in implied volatility indices of seven major international markets as our …

This article studies the risk forecasting properties of three realized volatility models for three Chinese individual … and account for a larger proportion in realized volatility. Further, I compare the Value-at-risk (VaR) forecasting … performances of three commonly used realized volatility models for the three Chinese stocks. Two-step VaR backtesting shows that a …

This paper investigates the effects of U.S. economic variables on the time variation of Chinese stock market volatility … strongly forecast the future monthly volatilities of the Chinese stock market. The predictability can be further improved when … combining the information in all U.S. economic variables together. Forecast encompassing tests and regression tests show that …

earnings. As analysts can save time and costs when disclosure quality is higher, their earnings forecast error and optimism … SZSE, and find that higher disclosure quality improves analysts' forecast accuracy, alleviates forecast optimism, and … reduces forecast dispersion …