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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

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

Predicting stock returns : a risk measurement perspective

Dai, Zhifeng; Kang, Jie; Wen, Fenghua - In: International review of financial analysis 74 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012803806

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

The skewness of oil price returns and equity premium predictability

Dai, Zhifeng; Zhou, Huiting; Kang, Jie; Wen, Fenghua - In: Energy economics 94 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012649450

Efficient predictability of stock return volatility : the role of stock market implied volatility

Dai, Zhifeng; Zhou, Huiting; Wen, Fenghua; He, Shaoyi - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012654913

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

Forecasting Chinese tourist volume with search engine data

Yang, Xin; Pan, Bing; Evans, James A.; Lv, Benfu - In: Tourism management : research, policies, practice 46 (2015), pp. 386-397

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News coverage and portfolio returns : evidence from China

Li, Cong-Cong; Xu, Hai-Chuan; Zhou, Wei-Xing - In: Pacific-Basin finance journal 60 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012232805

A weekly sentiment index and the cross-section of stock returns

Xu, Hai-Chuan; Zhou, Wei-Xing - In: Finance research letters 27 (2018), pp. 135-139

Persistent link: https://www.econbiz.de/10012006762