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Colacito, R.; Croce, Mariano M.; Liu, Yang; … - 2015 - This draft : December 3, 2015

Persistent link: https://www.econbiz.de/10011522124

The performance of imbalance-based trading strategy on tender offer announcement day

Huang, Han-Ching; Su, Yong-chern; Liu, Yi-chun - In: Investment management and financial innovations 11 (2014) 2, pp. 38-46

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The effect of index option trading on stock market volatility in China : an empirical investigation

Wu, Kai; Liu, Yi; Feng, Weiyang - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-19

In this study, we examine the effect of introducing SSE 50ETF index options trading on stock market volatility using a panel data evaluation approach. Based on the cross-sectional dependence among international stock indices and macroeconomic indicators, we estimate the counterfactual volatility...

Persistent link: https://www.econbiz.de/10013168752

The impact of geopolitical uncertainty on energy volatility

Liu, Yang; Han, Liyan; Xu, Yang - In: International review of financial analysis 75 (2021), pp. 1-17

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Higher moments, extreme returns, and cross-section of cryptocurrency returns

Jia, Yuecheng; Liu, Yuzheng; Yan, Shu - In: Finance research letters 39 (2021), pp. 1-6

Persistent link: https://www.econbiz.de/10012804999

Volatility risk pass-through

Colacito, Riccardo; Croce, Mariano M.; Liu, Yang; … - In: The review of financial studies 35 (2022) 5, pp. 2345-2385

Persistent link: https://www.econbiz.de/10013188964

The short-run and long-run components of idiosyncratic volatility and stock returns

Liu, Yunting - In: Management science : journal of the Institute for … 68 (2022) 2, pp. 1573-1589

Persistent link: https://www.econbiz.de/10012887644

Multifractal analysis of realized volatilities in Chinese stock market

Liu, Yufang; Zhang, Weiguo; Fu, Junhui; Wu, Xiang - In: Computational economics 56 (2020) 2, pp. 319-336

Persistent link: https://www.econbiz.de/10012272033

Volatility risk pass-through

Colacito, Riccardo; Croce, Mariano M.; Liu, Yang; … - 2018

Persistent link: https://www.econbiz.de/10012060363

The upward trend in the volatility of firm productivity shocks

Liu, Yunting - In: Economics letters 163 (2018), pp. 68-71

Persistent link: https://www.econbiz.de/10011982940