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The effects of economic uncertainty on financial volatility : a comprehensive investigation

Tong, Chen; Huang, Zhuo; Wang, Tianyi; Zhang, Cong - In: Journal of empirical finance 73 (2023), pp. 369-389

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Modeling dynamic higher moments of crude oil futures

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Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model

Wang, Tianyi; Liang, Fang; Huang, Zhuo; Yan, Hong - In: Economic modelling 109 (2022), pp. 1-13

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The spirit of capitalism and the equity premium

Wang, Qin; Zou, Yiheng; Ren, Yu; Huang, Zhuo - In: Annals of economics and finance 16 (2015) 2, pp. 493-513

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Have existing theories explained the accrual anomaly? : an evaluation based on the decomposition method

Hu, Zhi-an; Huang, Zhuo; Lin, Dawei; Qiu, Zhimin - In: Accounting and finance 62 (2022) 3, pp. 3645-3675

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Do high-frequency data improve multivariate volatility forecasting for investors with different investment horizons?

Yu, Limin; Huang, Zhuo - 2022

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Characterizing correlation matrices that admit a clustered factor representation

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Liquidation, leverage and optimal margin in bitcoin futures markets

Cheng, Zhiyong; Deng, Jun; Wang, Tianyi; Yu, Mei - In: Applied economics 53 (2021) 47, pp. 5415-5428

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Liquidation, Leverage and Optimal Margin in Bitcoin Futures Markets

Cheng, Zhiyong; Deng, Jun; Wang, Tianyi; Yu, Mei - 2021

Using the generalized extreme value theory to characterize tail distributions, we address liqui- dation, leverage, and optimal margins for bitcoin long and short futures positions. The empirical analysis of perpetual bitcoin futures on BitMEX shows that (1) daily forced liquidations to out-...

Persistent link: https://www.econbiz.de/10013241565