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Multi-scale risk contagion among international oil market, Chinese commodity market and Chinese stock market : a MODWT-Vine quantile regression approach
Wen, Fenghua; Liu, Zhen; Dai, Zhifeng; He, Shaoyi; Liu, … - In: Energy economics 109 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013283776
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Forecasting stock return volatility : the role of shrinkage approaches in a data-rich environment
Dai, Zhifeng; Li, Tingyu; Yang, Mi - In: Journal of forecasting 41 (2022) 5, pp. 980-996
Persistent link: https://www.econbiz.de/10013287893
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Forecasting stock market volatility : can the risk aversion measure exert an important role?
Dai, Zhifeng; Chang, Xiaoming - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10013188175
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Stock return predictability from a mixed model perspective
Dai, Zhifeng; Zhu, Huan - In: Pacific-Basin finance journal 60 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012232659
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Some improved sparse and stable portfolio optimization problems
Dai, Zhifeng; Wen, Fenghua - In: Finance research letters 27 (2018), pp. 46-52
Persistent link: https://www.econbiz.de/10012006736
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Forecasting stock market returns by combining sum-of-the-parts and ensemble empirical mode decomposition
Dai, Zhifeng; Zhu, Huan - In: Applied economics 52 (2020) 21, pp. 2309-2323
Persistent link: https://www.econbiz.de/10012197698
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Efficient predictability of oil price : the role of VIX-based panic index shadow line difference
Dai, Zhifeng; Zhang, Xiaotong; Liang, Chao - In: Energy economics 129 (2024), pp. 1-12
Persistent link: https://www.econbiz.de/10014558919
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Forecasting stock return volatility in data-rich environment : a new powerful predictor
Dai, Zhifeng; Zhang, Xiaotong; Li, Tingyu - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014246821
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Economic policy uncertainty and stock market sector time-varying spillover effect : evidence from China
Dai, Zhifeng; Peng, Yongxin - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013534158
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Time-frequency connectedness and cross-quantile dependence between crude oil, Chinese commodity market, stock market and investor sentiment
Dai, Zhifeng; Zhu, Junxin; Zhang, Xinhua - In: Energy economics 114 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013477411