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Validating intra-day risk prem...
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ECONIS (ZBW)
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On the intraday return curves of Bitcoin : predictability and trading opportunities
Bouri, Elie
;
Lau, Chi Keung
;
Saeed, Tareq
;
Wang, Shixuan
; …
- In:
International review of financial analysis
76
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012804738
Saved in:
2
Detecting common breaks in the means of high dimensional cross-dependent panels
Horváth, Lajos
;
Liu, Zhenya
;
Rice, Gregory
;
Zhao, Yuqian
- In:
The econometrics journal
25
(
2022
)
2
,
pp. 362-383
Persistent link: https://www.econbiz.de/10013253840
Saved in:
3
Forecasting value at risk with intra-day return curves
Rice, Gregory
;
Wirjanto, Tony S.
;
Zhao, Yuqian
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 1023-1038
Persistent link: https://www.econbiz.de/10012497181
Saved in:
4
A study of data-driven momentum and disposition effects in the Chinese stock market by functional data analysis
Cao, Ruanmin
;
Horváth, Lajos
;
Liu, Zhenya
;
Zhao, Yuqian
- In:
Review of quantitative finance and accounting
54
(
2020
)
1
,
pp. 335-358
Persistent link: https://www.econbiz.de/10012232846
Saved in:
5
Change‐point detection in the conditional correlation structure of multivariate volatility models
Barassi, Marco R.
;
Horváth, Lajos
;
Zhao, Yuqian
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 340-349
Persistent link: https://www.econbiz.de/10012262479
Saved in:
6
Fractional integration versus structural change : testing the convergence of CO2 emissions
Barassi, Marco R.
;
Spagnolo, Nicola
;
Zhao, Yuqian
- In:
Environmental & resource economics : the official …
71
(
2018
)
4
,
pp. 923-968
Persistent link: https://www.econbiz.de/10012023534
Saved in:
7
Searching for safe-haven assets during the COVID-19 pandemic
Ji, Qiang
;
Zhang, Dayong
;
Zhao, Yuqian
- In:
International review of financial analysis
71
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012436284
Saved in:
8
Intra-day co-movements of crude oil futures : China and the international benchmarks
Ji, Qiang
;
Zhang, Dayong
;
Zhao, Yuqian
- In:
Financial modeling and risk management of energy and …
,
(pp. 77-103)
.
2022
Persistent link: https://www.econbiz.de/10013349920
Saved in:
9
Exploring volatility of crude oil intraday return curves : a functional GARCH-X model
Rice, Gregory
;
Wirjanto, Tony S.
;
Zhao, Yuqian
- In:
Journal of commodity markets
32
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014495589
Saved in:
10
The fortune and crash of common risk factors in Chinese commodity markets
Li, Hemei
;
Liu, Zhenya
;
Zhao, Yuqian
- In:
Journal of commodity markets
32
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014495776
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