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Forecasting and trading high frequency volatility on large indices

Liu, Fei; Pantelous, Athanasios A.; Mettenheim, … - In: Quantitative finance 18 (2018) 5, pp. 737-748

Persistent link: https://www.econbiz.de/10011907914

Forecasting and Trading High Frequency Volatility on Large Indices

Liu, Fei - 2018

The present paper analyzes the forecastability and tradability of volatility on the large S&P500 index and the liquid SPY ETF, VIX index and VXX ETN. Even though there is already a huge array of literature on forecasting high frequency volatility, most publications only evaluate the forecast in...

Persistent link: https://www.econbiz.de/10012935482

Orthogonalized regressors and spurious precision, with an application to currency exposures

Liu, Fang; Sercu, Piet; Vandebroek, Martina - In: Journal of international money and finance 51 (2015), pp. 245-263

Persistent link: https://www.econbiz.de/10011475260

Dynamic jumps in global oil price and its impacts on China's bulk commodities

Zhang, Chuanguo; Liu, Feng; Yu, Danlin - In: Energy economics 70 (2018), pp. 297-306

Persistent link: https://www.econbiz.de/10011942739

The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic

Zhang, Yi; Zhou, Long; Chen, Yajiao; Liu, Fang - In: The North American journal of economics and finance : a … 61 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013449345

Extreme risk contagion from the United States to BRICS stock markets : a multivariate quantile analysis

Zhang, Yi; Zhou, Long; Wu, Baoxiu; Liu, Fang - In: The North American journal of economics and finance : a … 70 (2024)

Persistent link: https://www.econbiz.de/10014492033

Tail risk transmission from the United States to emerging stock Markets : empirical evidence from multivariate quantile analysis

Zhang, Yi; Zhou, Long; Wu, Baoxiu; Liu, Fang - In: The North American journal of economics and finance : a … 73 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014580778