Similar Search Results

The importance of extreme shock : examining the effect of investor sentiment on the crude oil futures market

Wang, Lu; Ma, Feng; Niu, Tianjiao; Liang, Chao - In: Energy economics 99 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012939414

Forecasting crude oil volatility with geopolitical risk : do time-varying switching probabilities play a role?

Wang, Lu; Ma, Feng; Hao, Jianyang; Gao, Xinxin - In: International review of financial analysis 76 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012804675

Geopolitical risk uncertainty and oil future volatility : evidence from MIDAS models

Mei, Dexiang; Ma, Feng; Liao, Yin; Wang, Lu - In: Energy economics 86 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012511406

Directly pricing VIX futures with observable dynamic jumps based on high-frequency VIX

Jiang, Gongyue; Qiao, Gaoxiu; Ma, Feng; Wang, Lu - In: The journal of futures markets 42 (2022) 8, pp. 1518-1548

Persistent link: https://www.econbiz.de/10013288000

Crude oil and BRICS stock markets under extreme shocks : new evidence

Wang, Lu; Ma, Feng; Niu, Tianjiao; He, Chengting - In: Economic modelling 86 (2020), pp. 54-68

Persistent link: https://www.econbiz.de/10012415223

Forecasting stock price volatility : new evidence from the GARCH-MIDAS model

Wang, Lu; Ma, Feng; Liu, Jing; Yang, Lin - In: International journal of forecasting 36 (2020) 2, pp. 684-694

Persistent link: https://www.econbiz.de/10012415334

The cross-market dynamic effects of liquidity on volatility : evidence from Chinese stock index and futures markets

Qiao, Gaoxiu; Teng, Yuxin; Xu, Yanyan; Wang, Lu - In: Applied economics 52 (2020) 1, pp. 85-99

Persistent link: https://www.econbiz.de/10012197378

Endogenous Liquidity and Volatility

Rocheteau, Guillaume; Wang, Lu - 2022

Is asset liquidity a source of price volatility? We answer this question within a continuous-time, New Monetarist economy under extrinsic uncertainty and endogenous asset liquidity. We consider single or multiple assets, risk-free or risky assets, assets that have a positive intrinsic value, no...

Persistent link: https://www.econbiz.de/10014239423

Do extreme shocks help forecast oil price volatility? : the augmented GARCH-MIDAS approach

Wang, Lu; Ma, Feng; Liu, Guoshan; Lang, Qiaoqi - In: International journal of finance & economics : IJFE 28 (2023) 2, pp. 2056-2073

Persistent link: https://www.econbiz.de/10014253654

Forecasting renewable energy stock volatility using short and long-term Markov switching GARCH-MIDAS models : either, neither or both?

Wang, Lu; Wu, Jiangbin; Cao, Yang; Hong, Yanran - In: Energy economics 111 (2022), pp. 1-12

Persistent link: https://www.econbiz.de/10013349997