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Aggregation of nonparametric estimators for volatility matrix
Fan, Jianqing; Fan, Yingying; Lv, Jinchi - In: Journal of financial econometrics : official journal of … 5 (2007) 3, pp. 321-357
Persistent link: https://www.econbiz.de/10003518410
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Dynamic integration of time- and state-domain methods for volatility estimation
Fan, Jianqing; Fan, Yingying; Jiang, Jiancheng - In: Journal of the American Statistical Association : JASA 102 (2007) 478, pp. 619-631
Persistent link: https://www.econbiz.de/10003490437
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Transaction tax and stock market behavior : evidence from an emerging market
Baltagi, Badi H.; Li, Dong; Li, Qi - In: Empirical economics : a journal of the Institute for … 31 (2006) 2, pp. 393-408
Persistent link: https://www.econbiz.de/10003333479
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Does foreign institutional ownership increase return volatility? : evidence from China
Chen, Zhian; Du, Jinmin; Li, Donghui; Rui Ouyang - In: Journal of banking & finance 37 (2013) 2, pp. 660-669
Persistent link: https://www.econbiz.de/10009705607
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Impact of the securities transaction tax on stock markets : evidence from Chinese stock markets
Wang, Na; Li, Dong - In: The Chinese economy 45 (2012) 5, pp. 26-49
Persistent link: https://www.econbiz.de/10009686857
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The impact of settlement time on the volatility of stock markets
Li, Dong - In: Applied financial economics 7 (1997) 6, pp. 689-694
Persistent link: https://www.econbiz.de/10001240752
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Large foreign ownership and firm-level stock return volatility in emerging markets
Li, Donghui; Nguyen, Quang N.; Pham, Peter Kien; Wei, … - In: Journal of financial and quantitative analysis : JFQA 46 (2011) 4, pp. 1127-1155
Persistent link: https://www.econbiz.de/10010217647
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Non-standard inference for augmented double autoregressive models with null volatility coefficients
Jiang, Feiyu; Li, Dong; Zhu, Ke - In: Journal of econometrics 215 (2020) 1, pp. 165-183
Persistent link: https://www.econbiz.de/10012439437
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On a threshold double autoregressive model
Li, Dong; Ling, Shiqing; Zhang, Rongmao - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 68-80
Persistent link: https://www.econbiz.de/10011691211
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Optimal VIX-linked structure for the target benefit pension plan
Lv, Chen; Li, Danping; Wang, Yumin; Zhu, Xiaobai - In: ASTIN bulletin : the journal of the International … 54 (2024) 1, pp. 75-93
Persistent link: https://www.econbiz.de/10014485596