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Default risk, macroeconomic conditions, and the market skewness risk premium

Xu, Zhongxiang; Li, Xiafei; Chevapatrakul, Thanaset; … - In: Journal of international money and finance 127 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013435659

Momentum Profits and Time-Varying Unsystematic Risk

Li, Xiafei - 2013

This study assesses whether the widely documented momentum profits can be attributed to time-varying risk as described by a GJR-GARCH(1,1)-M model. We reveal that momentum profits are a compensation for time-varying unsystematic risks, which are common to the winner and loser stocks but affect...

Persistent link: https://www.econbiz.de/10013079998

Forecasting crude oil volatility with uncertainty indicators : new evidence

Li, Xiafei; Liang, Chao; Chen, Zhonglu; Umar, Muhammad - In: Energy economics 108 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013203032

Uncertainty and crude oil market volatility : new evidence

Liang, Chao; Wei, Yu; Li, Xiafei; Zhang, Xuhui; Zhang, … - In: Applied economics 52 (2020) 27, pp. 2945-2959

Persistent link: https://www.econbiz.de/10012221463

Impacts of carbon market and climate policy uncertainties on financial and economic stability : evidence from connectedness network analysis

Liang, Chao; Goodell, John W.; Li, Xiafei - In: Journal of international financial markets, … 92 (2024), pp. 1-20

Persistent link: https://www.econbiz.de/10014535729

Combination forecasts of China's oil futures returns based on multiple uncertainties and their connectedness with oil

Shi, Chunpei; Wei, Yu; Li, Xiafei; Liu, Yuntong - In: Energy economics 126 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014487439

Forecasting gold volatility with geopolitical risk indices

Li, Xiafei; Guo, Qiang; Liang, Chao; Umar, Muhammad - In: Research in international business and finance 64 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014266744

The impact of corporate social performance on financial risk and utility : a longitudinal analysis

Oikonomou, Ioannis; Brooks, Chris; Pavelin, Stephen - In: Financial management 41 (2012) 2, pp. 483-515

Persistent link: https://www.econbiz.de/10009576272

The impact of corporate social performance on financial risk and utility : a longitudinal analysis

Oikonomou, Ioannis; Brooks, Chris; Pavelin, Stephen - 2010

Persistent link: https://www.econbiz.de/10009375854

Measuring the response of macroeconomic uncertainty to shocks

Shields, Kalvinder K.; Olekalns, Nilss; Henry, Ólan … - In: The review of economics and statistics 87 (2005) 2, pp. 362-370

Persistent link: https://www.econbiz.de/10002937376