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Do intraday data contain more information for volatility forecasting? : evidence from the Chinese commodity futures market
Jiang, Ying; Liu, Xiaoquan; Ye, Wuyi - In: Applied economics letters 22 (2015) 1/3, pp. 218-222
Persistent link: https://www.econbiz.de/10010481970
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Financial contagion and the TIR-MIDAS model
Ye, Wuyi; Jiang, Kunliang; Liu, Xiaoquan - In: Finance research letters 39 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10012805210
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Can currency-based risk factors help forecast exchange rates?
Ahmed, Shamim; Liu, Xiaoquan; Valente, Giorgio - In: International journal of forecasting 32 (2016) 1, pp. 75-97
Persistent link: https://www.econbiz.de/10011596451
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Volatility forecasting in the Chinese commodity futures market with intraday data
Jiang, Ying; Ahmed, Shamim; Liu, Xiaoquan - In: Review of quantitative finance and accounting 48 (2017) 4, pp. 1123-1173
Persistent link: https://www.econbiz.de/10011797006
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Intraday VaR : a copula-based approach
Wang, Keli; Liu, Xiaoquan; Ye, Wuyi - In: Journal of empirical finance 74 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014477064
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Forecasting stock return volatility : realized volatility-type or duration-based estimators
Fei, Tianlun; Liu, Xiaoquan; Wen, Conghua - In: Journal of forecasting 42 (2023) 7, pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
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Price discovery and long-memory property : simulation and empirical evidence from the bitcoin market
Xu, Ke; Chen, Yu-Lun; Liu, Bo; Chen, Jian - In: The journal of futures markets 44 (2024) 4, pp. 605-618
Persistent link: https://www.econbiz.de/10014536658
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Modeling price and variance jump clustering using the marked Hawkes process
Chen, Jian; Clements, Michael P.; Urquhart, Andrew - In: Journal of financial econometrics 22 (2024) 3, pp. 743-772
Persistent link: https://www.econbiz.de/10015045178