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Multifractal analysis of realized volatilities in Chinese stock market

Liu, Yufang; Zhang, Weiguo; Fu, Junhui; Wu, Xiang - In: Computational economics 56 (2020) 2, pp. 319-336

Persistent link: https://www.econbiz.de/10012272033

The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic

Zhang, Yi; Zhou, Long; Chen, Yajiao; Liu, Fang - In: The North American journal of economics and finance : a … 61 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013449345

Extreme risk contagion from the United States to BRICS stock markets : a multivariate quantile analysis

Zhang, Yi; Zhou, Long; Wu, Baoxiu; Liu, Fang - In: The North American journal of economics and finance : a … 70 (2024)

Persistent link: https://www.econbiz.de/10014492033

Orthogonalized regressors and spurious precision, with an application to currency exposures

Liu, Fang; Sercu, Piet; Vandebroek, Martina - In: Journal of international money and finance 51 (2015), pp. 245-263

Persistent link: https://www.econbiz.de/10011475260

Uncertainty index and stock volatility prediction : evidence from international markets

Gong, Xue; Zhang, Weiguo; Xu, Weijun; Li, Zhe - In: Financial innovation : FIN 8 (2022), pp. 1-44

This study investigates the predictability of a fixed uncertainty index (UI) for realized variances (volatility) in the international stock markets from a high-frequency perspective. We construct a composite UI based on the scaled principal component analysis (s-PCA) method and demonstrate that...

Persistent link: https://www.econbiz.de/10013272632

Investor sentiment and stock volatility : new evidence

Gong, Xue; Zhang, Weiguo; Wang, Junbo; Wang, Chao - In: International review of financial analysis 80 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013366314

Predicting energy futures high-frequency volatility using technical indicators : the role of interaction

Gong, Xue; Ye, Xin; Zhang, Weiguo; Zhang, Yue - In: Energy economics 119 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014280143

Forecasting stock volatility with a large set of predictors : a new forecast combination method

Gong, Xue; Zhang, Weiguo; Zhao, Yuan; Ye, Xin - In: Journal of forecasting 42 (2023) 7, pp. 1622-1647

Persistent link: https://www.econbiz.de/10014432742

Recovering implied volatility

Kadan, Ohad; Liu, Fang; Tang, Xiaoxiao - In: Management science : journal of the Institute for … 70 (2024) 1, pp. 255-282

Persistent link: https://www.econbiz.de/10014469958

The cross-sector risk contagion among Chinese financial institutions : evidence from the extreme volatility spillover perspective

Ke, Rui; Shen, Anni; Yin, Man; Tan, Changchun - In: Finance research letters 63 (2024), pp. 1-11

Persistent link: https://www.econbiz.de/10014531332