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The cross-market dynamic effects of liquidity on volatility : evidence from Chinese stock index and futures markets
Qiao, Gaoxiu; Teng, Yuxin; Xu, Yanyan; Wang, Lu - In: Applied economics 52 (2020) 1, pp. 85-99
Persistent link: https://www.econbiz.de/10012197378
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Endogenous liquidity and volatility
Rocheteau, Guillaume; Wang, Lu - In: Journal of economic theory 210 (2023), pp. 1-43
Persistent link: https://www.econbiz.de/10014421173
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Forecasting crude oil volatility with geopolitical risk : do time-varying switching probabilities play a role?
Wang, Lu; Ma, Feng; Hao, Jianyang; Gao, Xinxin - In: International review of financial analysis 76 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012804675
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The importance of extreme shock : examining the effect of investor sentiment on the crude oil futures market
Wang, Lu; Ma, Feng; Niu, Tianjiao; Liang, Chao - In: Energy economics 99 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012939414
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Crude oil and BRICS stock markets under extreme shocks : new evidence
Wang, Lu; Ma, Feng; Niu, Tianjiao; He, Chengting - In: Economic modelling 86 (2020), pp. 54-68
Persistent link: https://www.econbiz.de/10012415223
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Forecasting stock price volatility : new evidence from the GARCH-MIDAS model
Wang, Lu; Ma, Feng; Liu, Jing; Yang, Lin - In: International journal of forecasting 36 (2020) 2, pp. 684-694
Persistent link: https://www.econbiz.de/10012415334
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Geopolitical risk uncertainty and oil future volatility : evidence from MIDAS models
Mei, Dexiang; Ma, Feng; Liao, Yin; Wang, Lu - In: Energy economics 86 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012511406
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Southern oscillation : great value of its trends for forecasting crude oil spot price volatility
Hong, Yanran; Yu, Jize; Su, Yuquan; Wang, Lu - In: International review of economics & finance : IREF 84 (2023), pp. 358-368
Persistent link: https://www.econbiz.de/10014364057
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Examining the volatility of soybean market in the MIDAS framework : the importance of bagging-based weather information
Wang, Lu; Wu, Rui; Ma, WeiChun; Xu, Weiju - In: International review of financial analysis 89 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014465545
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Do extreme shocks help forecast oil price volatility? : the augmented GARCH-MIDAS approach
Wang, Lu; Ma, Feng; Liu, Guoshan; Lang, Qiaoqi - In: International journal of finance & economics : IJFE 28 (2023) 2, pp. 2056-2073
Persistent link: https://www.econbiz.de/10014253654