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Macroeconomic impacts of oil prices and underlying financial

Chen, Wang; Hamori, Shigeyuki; Kinkyō, Takuji - In: Journal of international financial markets, … 29 (2014), pp. 1-12

Persistent link: https://www.econbiz.de/10010411554

Time-frequency connectedness of crude oil, economic policy uncertainty and Chinese commodity markets : evidence from rolling window analysis

Zhu, Huiming; Chen, Weiyan; Hau, Liya; Chen, Qitong - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012822243

On the asymptotic behavior of the optimal exercise price near expiry of an American put option under stochastic volatility

Chen, Wenting; Zhu, Song-Ping - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-19

The behavior of the optimal exercise price of American puts near expiry has been well studied under the Black-Scholes model as a result of a series of publications. However, the behavior of the optimal exercise price under a stochastic volatility model, such as the Heston model, has not been...

Persistent link: https://www.econbiz.de/10013273116

Asymmetric multifractal features of the price-volume correlation in China’s gold futures market based on MF-ADCCA

Guo, Yaoqi; Yu, Zhuling; Yu, Chenxi; Cheng, Hui; Chen, … - In: Research in international business and finance 58 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10013287728

A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean

He, Xin-Jiang; Chen, Wenting - In: Mathematics and financial economics 15 (2021) 2, pp. 381-396

Persistent link: https://www.econbiz.de/10012500035

Modeling the joint dynamic value at risk of the volatility index, oil price, and exchange rate

Peng, Wei; Hu, Shichao; Chen, Wang; Zeng, Yu-feng; Yang, Lu - In: International review of economics & finance : IREF 59 (2019), pp. 137-149

Persistent link: https://www.econbiz.de/10012202498

Revealing dynamic intrinsic temporal and spatial scale characteristics of oil price volatility in bubble and non-bubble periods

Chen, Weijia; Huang, Shupei; An, Haizhong - In: Finance research letters 55 (2023) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10014473286

Robustly hedging variable annuities with guarantees under jump and volatility risks

Coleman, T. F.; Kim, Y.; Li, Yuying; Patron, M. - In: The journal of risk and insurance : the journal of the … 74 (2007) 2, pp. 347-376

Persistent link: https://www.econbiz.de/10003483852

Empirical evidence of the leverage effect in a stochastic volatility model : a realized volatility approach

Xu, Dinghai; Li, Yuying - 2010

Persistent link: https://www.econbiz.de/10003975439

An efficient stochastic simulation algorithm for Bayesian unit root testing in stochastic volatility models

Li, Yong; Ni, Zhongxin; Zhang, Jie - In: Computational economics 37 (2011) 3, pp. 237-248

Persistent link: https://www.econbiz.de/10008902927