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VIX option pricing through nonaffine GARCH dynamics and semianalytical formula

Liu, Junting; Wang, Qi; Zhang, Yuanyuan - In: The journal of futures markets 44 (2024) 7, pp. 1189-1223

Persistent link: https://www.econbiz.de/10014553980

A study of China's financial market risks in the context of Covid-19, based on a rolling generalized autoregressive score model using the asymmetric Laplace distribution

Han, Guanghui; Liu, Panpan; Zhang, Yueqiang; Li, Xiaobo - In: The journal of risk model validation 18 (2024) 1, pp. 83-96

Persistent link: https://www.econbiz.de/10014556673

Exploring the influence of the geopolitical risks on the natural resource price volatility and correlation : evidence from DCC-MIDAS-X model

Liu, Han; Yang, Peng; He, Yongda; Oxley, Les; Guo, Pengwei - In: Energy economics 129 (2024), pp. 1-11

Persistent link: https://www.econbiz.de/10014558922

Asymmetric volatility spillover between crude oil and other asset markets

Guan, Bo; Mazouz, Khelifa; Xu, Yongdeng - In: Energy economics 130 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10014559169

Can Internet concern about COVID-19 help predict stock markets : new evidence from high-concern and low-concern periods

Ren, Jiqin; Guo, Yuanxuan; Li, Jingjing; Li, Jingjing - In: Applied economics 56 (2024) 35, pp. 4155-4176

Persistent link: https://www.econbiz.de/10014559277

Systematic extreme correlation of Chinese stock market

Long, Jun; Yuan, Xianghui; Jin, Liwei; Zhao, Chencheng; … - In: Applied economics 56 (2024) 39, pp. 4718-4729

Persistent link: https://www.econbiz.de/10014560394

Do Green bonds affect extreme spillover and hedging effects across stocks and commodities?

Mezghani, Taicir; Ben Hamadou, Fatma; Abbes, Mouna … - In: International journal of the economics of business 31 (2024) 2, pp. 103-130

Persistent link: https://www.econbiz.de/10014560546

Volatility predictability in crude oil futures : evidence based on OVX, GARCH and stochastic volatility models

Zhang, Zheng; Raza, Muhammad Yousaf; Wang, Wenxue; Sui, Lu - In: Energy strategy reviews 50 (2023), pp. 1-12

The paper examines the volatility predictive ability of the CBOE crude oil volatility index (OVX), GARCH and Stochastic Volatility Models in the crude oil market. Specifically, the dynamics of two major crude oil pricing benchmarks - Brent in Europe and WTI in America are compared. OVX index is...

Persistent link: https://www.econbiz.de/10014574074

Asymmetric volatility in the cryptocurrency market : new evidence from models with structural breaks

Aharon, David Y.; Butt, Hassan Anjum; Jaffri, Ali; … - In: International review of financial analysis 87 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014460602

Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets

Xu, Yongdeng; Guan, Bo; Lu, Wenna; Heravi, Saeed M. - In: Energy economics 136 (2024), pp. 1-12

Persistent link: https://www.econbiz.de/10015046875