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Measuring the subprime crisis contagion : evidence of change point analysis of copula functions
Ye, Wuyi; Liu, Xiaoquan; Miao, Baiqi - In: European journal of operational research : EJOR 222 (2012) 1, pp. 96-103
Persistent link: https://www.econbiz.de/10009569564
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Do intraday data contain more information for volatility forecasting? : evidence from the Chinese commodity futures market
Jiang, Ying; Liu, Xiaoquan; Ye, Wuyi - In: Applied economics letters 22 (2015) 1/3, pp. 218-222
Persistent link: https://www.econbiz.de/10010481970
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Financial contagion and the TIR-MIDAS model
Ye, Wuyi; Jiang, Kunliang; Liu, Xiaoquan - In: Finance research letters 39 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10012805210
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Time-varying quantile association regression model with applications to financial contagion and VaR
Ye, Wuyi; Luo, Kebing; Liu, Xiaoquan - In: European journal of operational research : EJOR 256 (2017) 3, pp. 1015-1028
Persistent link: https://www.econbiz.de/10011639292
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Bubbles and dependence between international equity markets
Ye, Wuyi; Gao, Lingbo; Liu, Xiaoquan - In: Quantitative finance 24 (2024) 1, pp. 119-138
Persistent link: https://www.econbiz.de/10014551948
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Trading restriction and the choice for derivatives
Ye, Wuyi; Chen, Pengzhan; Shi, Yining; Liu, Xiaoquan - In: International review of financial analysis 82 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013426250
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Volatility prediction for the energy sector with economic determinants : evidence from a hybrid model
Wang, Yuejing; Ye, Wuyi; Jiang, Ying; Liu, Xiaoquan - In: International review of financial analysis 92 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014492381
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Professional macroeconomic forecasts and Chinese commodity futures prices
Ye, Wuyi; Guo, Ranran; Jiang, Ying; Liu, Xiaoquan; … - In: Finance research letters 28 (2019), pp. 130-136
Persistent link: https://www.econbiz.de/10012388042
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Macroeconomic forecasts and commodity futures volatility
Ye, Wuyi; Guo, Ranran; Deschamps, Bruno; Jiang, Ying; … - In: Economic modelling 94 (2021), pp. 981-994
Persistent link: https://www.econbiz.de/10012695606
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Liquidity, Volatility, and Their Spillover in Stock Market
Wuyi, YE; Wang, Keli; Liu, Xiaoquan - 2023
This work models the spillover of liquidity and volatility and their joint dynamics in the Chinese stock market. Methodologically, we implement a copula-based vector multiplicative error model for sectors. Utilizing intraday data from 2014 to 2022, our empirical analysis reveals strong...
Persistent link: https://www.econbiz.de/10014353327