This paper investigates the asymmetric characteristics of returns and volatilities of various Chinese commodity futures within the threshold stochastic volatility (THSV) framework with various distribution assumptions. To gauge the capabilities of THSV models in volatility forecasting, the...

This paper innovatively establishes the interrelationship between type I agency costs (conflicts between managers and shareholders) and type II agency costs (conflicts between controlling and minority shareholders). We further analyze the impact of agency cost interactions on the volatility of...

This paper investigates information transmission and price discovery in informationally linked markets within the multivariate generalized autoregressive conditional heteroskedasticity and information share frameworks. Based on both synchronous and non-synchronous trading information from...