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~subject:"Volatilität"
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Volatilität
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Li, Handong
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Song, Shijia
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Ye, Xunyu
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Gao, Ping
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Jia, Can
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
Economic modelling
1
International review of financial analysis
1
Journal of forecasting
1
Journal of mathematical finance
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ECONIS (ZBW)
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Improving estimation of the fractionally differencing parameter in the SARFIMA model using tapered periodogram
Ye, Xunyu
;
Gao, Ping
;
Li, Handong
- In:
Economic modelling
46
(
2015
),
pp. 167-179
Persistent link: https://www.econbiz.de/10011436579
Saved in:
2
Forecasting trading volume in the Chinese stock market based on the dynamic VWAP
Ye, Xunyu
;
Yan, Rui
;
Li, Handong
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
18
(
2014
)
2
,
pp. 125-144
Persistent link: https://www.econbiz.de/10010347331
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3
Research on the daily volatility measure considering the impact of overnight variance and time segment in Chinese stock market
Shi, Yu
;
Li, Handong
- In:
Journal of mathematical finance
8
(
2018
)
3
,
pp. 549-561
Persistent link: https://www.econbiz.de/10011968718
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4
Statistical characteristics of price impact in high-frequency trading
Jia, Can
;
Zhou, Tianmin
;
Li, Handong
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
3
,
pp. 19-34
Persistent link: https://www.econbiz.de/10012594148
Saved in:
5
Predicting VaR for China's stock market : a score-driven model based on normal inverse Gaussian distribution
Song, Shijia
;
Li, Handong
- In:
International review of financial analysis
82
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013426497
Saved in:
6
A new model for forecasting VaR and ES using intraday returns aggregation
Song, Shijia
;
Li, Handong
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1039-1054
Persistent link: https://www.econbiz.de/10014338800
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