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Forecasting volatility in Shanghai and Shenzhen markets based on multifractal analysis

Chen, Hongtao; Wu, Chongfeng - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 16, pp. 2926-2935

This paper analyzes the multifractality in Shanghai and Shenzhen stock markets using multifractal spectrum analysis and multifractal detrended fluctuation analysis. We find that the main source of multifractality is long-range correlations of large and small fluctuations. Then, we introduce a...

Persistent link: https://www.econbiz.de/10011059025

Forecasting the real prices of crude oil under economic and statistical constraints

Wang, Yudong; Liu, Li; Diao, Xundi; Wu, Chongfeng - In: Energy economics 51 (2015), pp. 599-608

Persistent link: https://www.econbiz.de/10011565055

Commodity price changes and the predictability of economic policy uncertainty

Wang, Yudong; Zhang, Bing; Diao, Xundi; Wu, Chongfeng - In: Economics letters 127 (2015), pp. 39-42

Persistent link: https://www.econbiz.de/10011382844

Forecasting crude oil prices : a scaled PCA approach

He, Mengxi; Zhang, Yaojie; Wen, Danyan; Wang, Yudong - In: Energy economics 97 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012820812

Forecasting the real prices of crude oil using robust regression models with regularization constraints

Hao, Xianfeng; Zhao, Yuyang; Wang, Yudong - In: Energy economics 86 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012512193

Can commodity prices forecast exchange rates?

Liu, Li; Tan, Siming; Wang, Yudong - In: Energy economics 87 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012512427

Forecasting commodity prices out-of-sample : can technical indicators help?

Wang, Yudong; Liu, Li; Wu, Chongfeng - In: International journal of forecasting 36 (2020) 2, pp. 666-683

Persistent link: https://www.econbiz.de/10012415323

Momentum of return predictability

Wang, Yudong; Liu, Li; Ma, Feng; Diao, Xundi - In: Journal of empirical finance 45 (2018), pp. 141-156

Persistent link: https://www.econbiz.de/10012102447

Oil volatility risk and stock market volatility predictability : evidence from G7 countries

Feng, Jiabao; Wang, Yudong; Yin, Libo - In: Energy economics 68 (2017), pp. 240-254

Persistent link: https://www.econbiz.de/10011905699

Oil price increases and the predictability of equity premium

Wang, Yudong; Pan, Zhiyuan; Liu, Li; Wu, Chongfeng - In: Journal of banking & finance 102 (2019), pp. 43-58

Persistent link: https://www.econbiz.de/10012162773