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Revisiting asymmetric price transmission in the U.S. oil-gasoline markets : a multiple threshold error-correction analysis

Qin, Xiao; Zhou, Chunyang; Wu, Chongfeng - In: Economic modelling 52 (2016), pp. 583-591

Persistent link: https://www.econbiz.de/10011642925

Financial structure and determinants of systemic risk contribution

Qin, Xiao; Zhou, Chunyang - In: Pacific-Basin finance journal 57 (2019), pp. 1-16

Persistent link: https://www.econbiz.de/10012170568

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

Estimating Multi-Period Value at Risk of Oil Futures Prices

Zhou, Chunyang; Qin, Xiao; Diao, Xundi; He, Yingcheng - 2022

In this study, we estimate the multi-period Value at Risk (VaR) of oil future prices under a generalized autoregressive conditional heteroscedasticity with a skewed-t residuals (GARCH-ST) model, which is developed to account for the stylized facts of oil futures returns, such as serial...

Persistent link: https://www.econbiz.de/10014239626