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Regime shifts in a long-run risks model of stock and treasury bond markets
Li, Kai; Xu, Chenjie - In: China finance review international 12 (2022) 4, pp. 541-570
Persistent link: https://www.econbiz.de/10013453608
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Long-memory versus option-implied volatility predictions
Li, Kai - In: The journal of derivatives : the official publication … 9 (2002) 3, pp. 9-25
Persistent link: https://www.econbiz.de/10001708432
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Inferring volatility persistence from option implied volatility
Li, Kai - 2001
Persistent link: https://www.econbiz.de/10001554378
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Yes, historical volatility does contain incremental information beyond option implied volatility
Li, Kai - 2000
Persistent link: https://www.econbiz.de/10001539735
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A evolutionary CAPM under heterogeneous beliefs
Chiarella, Carl; Dieci, Roberto; He, Xue-zhong; Li, Kai - 2012
Persistent link: https://www.econbiz.de/10009626025
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The empirical performance of alternative extreme value volatility estimators
Li, Kai; Weinbaum, David - 2000
Persistent link: https://www.econbiz.de/10001554385
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On estimation, diagnostic testing and smoothing of long memory stochastic volatility models
Li, Kai; Deo, Rohit; Hurvich, Clifford - 2000
Persistent link: https://www.econbiz.de/10001486271
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Nonlinear effect of sentiment on momentum
Li, Kai - In: Journal of economic dynamics & control 133 (2021), pp. 1-22
Persistent link: https://www.econbiz.de/10014535145
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Profitability of time series momentum
He, Xue-zhong; Li, Kai - In: Journal of banking & finance 53 (2015), pp. 140-157
Persistent link: https://www.econbiz.de/10011377714
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Herding, trend chasing and market volatility
Di Guilmi, Corrado; He, Xue-zhong; Li, Kai - In: Journal of economic dynamics & control 48 (2014), pp. 349-373
Persistent link: https://www.econbiz.de/10010486646