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VIX forecasting and variance risk premium : a new GARCH approach

Liu, Qiang; Guo, Shuxin; Qiao, Gaoxiu - In: The North American journal of economics and finance : a … 34 (2015), pp. 314-322

Persistent link: https://www.econbiz.de/10011540131

Variance-constrained canonical least-squares Monte Carlo : an accurate method for pricing American options

Liu, Qiang; Guo, Shuxin - In: The North American journal of economics and finance : a … 28 (2014), pp. 77-89

Persistent link: https://www.econbiz.de/10010461176

GARCH pricing and hedging of VIX options

Liu, Qiang; Jiao, Yuhan; Guo, Shuxin - In: The journal of futures markets 42 (2022) 6, pp. 1039-1066

Persistent link: https://www.econbiz.de/10013287915

Do futures lead the index under stress? : evidence from the 2015 Chinese market turmoil and its aftermath

Guo, Shuxin - In: Review of quantitative finance and accounting 56 (2021) 1, pp. 91-110

Persistent link: https://www.econbiz.de/10012432629

The evolving nature of intraday price discovery in the Chinese CSI 300 index futures market

Liu, Qiang; Qiao, Gaoxiu - In: Empirical economics : a journal of the Institute for … 52 (2017) 4, pp. 1569-1585

Persistent link: https://www.econbiz.de/10011945910

Estimation of spot volatility with superposed noisy data

Liu, Qiang; Liu, Yiqi; Liu, Zhi; Wang, Li - In: The North American journal of economics and finance : a … 44 (2018), pp. 62-79

Persistent link: https://www.econbiz.de/10012036296

Effect of crude oil futures trading on spot market volatility : a panel data-based counterfactual prediction analysis

Yao, Xin; Liu, Qiang - In: Emerging markets finance & trade : a journal of the … 53 (2017) 4, pp. 918-931

Persistent link: https://www.econbiz.de/10011764621

Statistical inference of spot correlation and spot market beta under infinite variation jumps

Liu, Qiang; Liu, Zhi - In: Journal of financial econometrics 20 (2022) 4, pp. 612-654

Persistent link: https://www.econbiz.de/10013349148

Jumps at ultra-high frequency : evidence from the Chinese stock market

Zhang, Chuanhai; Liu, Zhi; Liu, Qiang - In: Pacific-Basin finance journal 68 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10013332776

An Analytical Formula for Vix Futures and Its Applications : Error Corrections and Replication

Liu, Qiang - 2019

Zhu and Lian (Journal of Futures Markets, 2012) proposed the first closed-form formulas for VIX futures prices, whihch are conceptually appealing and easy to implement. Unfortunately, the paper is found to contain three kinds of errors. The main formula (9) for the price of futures misses the...

Persistent link: https://www.econbiz.de/10012897153