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Volatility forecasting on China's oil futures : new evidence from interpretable ensemble boosting trees
Feng, Lingbing; Rao, Haicheng; Lucey, Brian M.; Zhu, Yiying - In: International review of economics & finance : IREF 92 (2024), pp. 1595-1615
Persistent link: https://www.econbiz.de/10014535122
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Discussions on the Zero-drift GARCH model : evidence from an Markov regime-switching extension
Feng, Lingbing; Fu, Tong; Shi, Yanlin; Wang, Zili - In: Finance research letters 40 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012819431
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Forecasting mortality with a hyperbolic spatial temporal VAR model
Feng, Lingbing; Shi, Yanlin; Chang, Le - In: International journal of forecasting 37 (2021) 1, pp. 255-273
Persistent link: https://www.econbiz.de/10012692702
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Markov Regime-Switching in-mean model with tempered stable distribution
Shi, Yanlin; Feng, Lingbing; Fu, Tong - In: Computational economics 55 (2020) 4, pp. 1275-1299
Persistent link: https://www.econbiz.de/10012223722
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A simulation study on the distributions of disturbances in the GARCH model
Feng, Lingbing; Shi, Yanlin - In: Cogent economics & finance 5 (2017) 1, pp. 1-19
Generalized autoregressive conditional heteroskedastic (GARCH) model is a standard approach to study the volatility behaviour of financial time series. The original specification of GARCH model is developed based on Normal distribution for the disturbances, which cannot accommodate fat-tailed...
Persistent link: https://www.econbiz.de/10011882518
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Can government intervention be both a curse and a blessing? : evidence from China's finance sector
Feng, Lingbing; Fu, Tong; Kutan, Ali Mustafa - In: International review of financial analysis 61 (2019), pp. 71-81
Persistent link: https://www.econbiz.de/10012206940
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Fuel intensity, access to finance and profitability : firm-level evidence from China
Feng, Lingbing; Fu, Tong; Kutan, Ali Mustafa - In: Emerging markets finance & trade : a journal of the … 54 (2018) 13/14/15, pp. 3117-3130
Persistent link: https://www.econbiz.de/10012125721
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Markov regime-switching autoregressive model with tempered stable distribution : simulation evidence
Feng, Lingbing; Shi, Yanlin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10012198500
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A discussion on the innovation distribution of the Markov regime-switching GARCH model
Shi, Yanlin; Feng, Lingbing - In: Economic modelling 53 (2016), pp. 278-288
Persistent link: https://www.econbiz.de/10011641034
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How does news sentiment affect the states of Japanese stock return volatility?
Feng, Lingbing; Fu, Tong; Shi, Yanlin - In: International review of financial analysis 84 (2022), pp. 1-11
Persistent link: https://www.econbiz.de/10013472878