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Tobin tax, carry trade, and the exchange rate dynamics

Li, Xiaoping; Zhou, Chunyang - In: Computational economics 63 (2024) 4, pp. 1627-1647

Persistent link: https://www.econbiz.de/10014549140

Time-varying asymmetric tail dependence of international equities markets

Zhou, Chunyang; Qin, Xiao - In: Pacific-Basin finance journal 68 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013332425

Delta-hedged gains of SSE 50 ETF options

Li, Xiaoping; Zhou, Chunyang; Huang, Wei - In: Applied economics letters 29 (2022) 20, pp. 1864-1867

Persistent link: https://www.econbiz.de/10013412320

Heterogeneous trading of option implied volatility

Li, Xiaoping; Zhou, Chunyang; Huang, Wei - In: Applied economics 55 (2023) 9, pp. 990-998

Persistent link: https://www.econbiz.de/10013498968

Commodity factor investing via machine learning

Zhu, Shunwei; Zhou, Chunyang; Liu, Hailong; Ren, Yangyang - In: Pacific-Basin finance journal 83 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014491183

A closed-form solution for spot volatility from options under limited data

Zhang, Aoran; Zhou, Chunyang - In: Finance research letters 67 (2024) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10015062164

Dynamic asset allocation with asymmetric jump distribution

Li, Xiaoping; Zhou, Chunyang - In: China Finance Review International 8 (2018) 4, pp. 387-398

Purpose: The purpose of this paper is to solve the optimal dynamic portfolio problem under the double-exponential jump diffusion (DEJD) distribution, which can allow the asset returns to jump asymmetrically. Design/methodology/approach: The authors solve the problem by solving the HJB equation....

Persistent link: https://www.econbiz.de/10012067134

Incorporating time‐varying jump intensities in the mean‐variance portfolio decisions

Zhou, Chunyang; Wu, Chongfeng; Xu, Weidong - In: Journal of Futures Markets 40 (2019) 3, pp. 460-478

Persistent link: https://www.econbiz.de/10012189104

Forecasting equity returns : The role of commodity futures along the supply chain

Li, Chenchen; Wu, Chongfeng; Zhou, Chunyang - In: Journal of Futures Markets 41 (2020) 1, pp. 46-71

Persistent link: https://www.econbiz.de/10012406798

Dynamic and Asymmetric Dependences between Chinese Yuan and Other Asia-Pacific Currencies

Lien, Donald D. - 2013

This paper examines the dynamic dependence structure between Chinese Yuan and each of ve other currencies in the Asia-Paci fic region on non-deliverable forward contracts over the period of July 4, 2006 throughout August 31, 2011. Using the date that Lehman Brothers led for bankruptcy as the...

Persistent link: https://www.econbiz.de/10013088303