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Financial distress and idiosyncratic volatility : an empirical investigation

Chen, Jing (contributor); Chollete, Loran (contributor) - 2006

Persistent link: https://www.econbiz.de/10003351875

Financial distress and idiosyncratic volatility : an empirical investigation

Chen, Jing; Chollete, Lorán; Ray, Rina - In: Journal of financial markets 13 (2010) 2, pp. 249-267

Persistent link: https://www.econbiz.de/10009262108

How predictable are equity covariance matrices? : evidence from high-frequency data for four markets

Buckle, Michael J.; Chen, Jing; Williams, Julian - In: Journal of forecasting 33 (2014) 7, pp. 542-557

Persistent link: https://www.econbiz.de/10011282861

Does feedback trading drive returns of cross-listed shares?

Chen, Jing; Dong, Yizhe; Hou, Wenxuan; McMillan, David G. - In: Journal of international financial markets, … 53 (2018), pp. 179-199

Persistent link: https://www.econbiz.de/10011983852

A slightly depressing jump model : intraday volatility pattern simulation

Khashanah, Khaldoun; Chen, Jing; Hawkes, Alan - In: Quantitative finance 18 (2018) 2, pp. 213-224

Persistent link: https://www.econbiz.de/10011905864

Reexamining the impact of closing call auction on market quality : a natural experiment from the Shanghai stock exchange

Han, Qian; Zhao, Chengzhi; Chen, Jing; Guo, Qian - In: Pacific-Basin finance journal 74 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013389486

Does smile help detect the UK's price leadership change after MiFID?

Adams, Michael B.; Chen, Jing; Guo, Qian; Li, Xiaoxi - In: International review of economics & finance : IREF 84 (2023), pp. 756-769

Persistent link: https://www.econbiz.de/10014364155

Modeling market fluctuations under investor sentiment with a Hawkes-Contact process

Zhang, Junhuan; Wen, Jiaqi; Chen, Jing - In: The European journal of finance 29 (2023) 1, pp. 17-32

Persistent link: https://www.econbiz.de/10014322445

Does the world smile together? : a network analysis of global index option implied volatilities

Chen, Jing; Han, Qian; Ryu, Doojin; Tang, Jing - In: Journal of international financial markets, … 77 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013357053

A Slightly Depressing Jump Model : Intraday Volatility Pattern Simulation

Khashanah, Khaldoun - 2019

Hawkes Processes have been finding more applications in diverse areas of science, engineering and quantitative finance. In multi-frequency finance, various phenomena have been observed, such as shocks, crashes, volatility clustering, turbulent flows and contagion. Hawkes processes have been...

Persistent link: https://www.econbiz.de/10012900909