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Willow tree algorithms for pricing VIX derivatives under stochastic volatility models
Ma, Changfu; Xu, Wei; Kwok, Yue-Kuen - In: International journal of financial engineering 7 (2020) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10012602678
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Forecasting the realized volatility of the oil futures market : a regime switching approach
Ma, Feng; Wahab, M. I. M.; Huang, Dengshi; Xu, Weiju - In: Energy economics 67 (2017), pp. 136-145
Persistent link: https://www.econbiz.de/10011897885
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Asymmetric volatility spillovers between oil and stock markets : evidence from China and the United States
Xu, Weiju; Ma, Feng; Wang, Chen; Zhang, Bing - In: Energy economics 80 (2019), pp. 310-320
Persistent link: https://www.econbiz.de/10012173623
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Implied volatility surface construction for commodity futures options traded in China
Xu, Wei; Šević, Aleksandar; Šević, Željko - In: Research in international business and finance 61 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10014246888
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Does the volatility spillover effect matter in oil price volatility predictability? : evidence from high-frequency data
Wu, Lan; Xu, Weiju; Huang, Dengshi; Li, Pan - In: International review of economics & finance : IREF 82 (2022), pp. 299-306
Persistent link: https://www.econbiz.de/10013543121
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Volatility forecasting using intraday information with the CARR models for the China stock markets
Wu, Chun-Chou; Xu, Wen - In: Asia-Pacific journal of accounting & economics : … 30 (2023) 4, pp. 912-929
Persistent link: https://www.econbiz.de/10014319629
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Joint calibration of S&P 500 and VIX options under local stochastic volatility models
Zhou, Zhiqiang; Xu, Wei; Rubtsov, Alexey - In: International journal of finance & economics : IJFE 29 (2024) 1, pp. 273-310
Persistent link: https://www.econbiz.de/10014469009
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Stock market volatility prediction : evidence from a new bagging model
Luo, Qin; Bu, Jinfeng; Xu, Weiju; Huang, Dengshi - In: International review of economics & finance : IREF 87 (2023), pp. 445-456
Persistent link: https://www.econbiz.de/10014472410
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Uncertain energy model for electricity and gas futures with application in spark-spread option price
Mehrdoust, Farshid; Noorani, Idin; Xu, Wei - In: Fuzzy optimization and decision making : a journal of … 22 (2023) 1, pp. 123-148
Persistent link: https://www.econbiz.de/10014227971
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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