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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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The real effects of uncertainty on merger activity
Bhagwat, Vineet; Dam, Robert; Harford, Jarrad V. T.; … - In: The review of financial studies 29 (2016) 11, pp. 3000-3034
Persistent link: https://www.econbiz.de/10011619966
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Do long-term investors improve corporate decision making?
Harford, Jarrad V. T.; Kecskés, Ambrus; Mansi, Sattar - In: The journal of corporate finance : contracting, … 50 (2018), pp. 424-452
Persistent link: https://www.econbiz.de/10011870293
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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