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Economic uncertainty : a key factor to understanding idiosyncratic volatility puzzle

Li, Yong; Mu, Yuandong; Qin, Tianyu - In: Finance research letters 42 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10014581390

Anchoring Heuristics, Attention to Risks, and Market Liquidity : A Regression Discontinuity Design

Cao, Xiaping; Lin, Wenlian; Li, Yong - Hong Kong Institute for Monetary and Financial Research - 2023

This working paper is written by Jerry Cao (Hang Seng University of Hong Kong), Wenlian Lin (Chinese University of Hong Kong, Shenzhen) and Yong Li (University of International Business and Economics).Market liquidity evaporation is often accompanied by investors’ attention to risks. We...

Persistent link: https://www.econbiz.de/10014350171

Economic policy uncertainty and stock market volatility in China : evidence from SV-MIDAS-t model

Wang, Nianling; Yin, Jiyuan; Li, Yong - In: International review of financial analysis 92 (2024), pp. 1-8

Persistent link: https://www.econbiz.de/10014492383

An efficient stochastic simulation algorithm for Bayesian unit root testing in stochastic volatility models

Li, Yong; Ni, Zhongxin; Zhang, Jie - In: Computational economics 37 (2011) 3, pp. 237-248

Persistent link: https://www.econbiz.de/10008902927

Testing for a unit root in the presence of stochastic volatility and leverage effect

Li, Yong; Chong, Terence Tai-Leung; Zhang, Jie - In: Economic modelling 29 (2012) 5, pp. 2035-2038

Persistent link: https://www.econbiz.de/10009666985

Bayesian testing for asset volatility persistence on multivariate stochastic volatility models

Li, Yong; Peng, Fang-ping; Xu, Hao-feng - In: Journal of mathematical finance 2 (2012) 1, pp. 83-89

Persistent link: https://www.econbiz.de/10009668272

Unit root hypothesis in the presence of stochastic volatility, a bayesian analysis

Zhang, Jin-yu; Li, Yong; Chen, Zhu-ming - In: Computational economics 41 (2013) 1, pp. 89-100

Persistent link: https://www.econbiz.de/10009705029

Testing volatility persistence on Markov switching stochastic volatility models

Pan, Qi; Li, Yong - In: Economic modelling 35 (2013), pp. 45-50

Persistent link: https://www.econbiz.de/10010258578

Forecasting volatility in the Chinese stock market under model uncertainty

Li, Yong; Huang, Wei-ping; Zhang, Jie - In: Economic modelling 35 (2013), pp. 231-234

Persistent link: https://www.econbiz.de/10010259459

An improved Bayesian unit root test in stochastic volatility models

Li, Yong; Yu, Jun - In: Annals of economics and finance 20 (2019) 1, pp. 103-122

Persistent link: https://www.econbiz.de/10012110029