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Dependence structure between oil and other commodity futures in China based on extreme value theory and copulas
Hussain, Saiful Izzuan; Li, Steven - In: The World Economy 45 (2021) 1, pp. 317-335
Persistent link: https://www.econbiz.de/10012538977
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Modeling the distribution of extreme returns in the Chinese stock market
Hussain, Saiful Izzuan; Li, Steven - In: Journal of international financial markets, … 34 (2015), pp. 263-276
Persistent link: https://www.econbiz.de/10011474577
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The dynamic dependence between stock markets in the greater China economic area : a study based on extreme values and copulas
Hussain, Saiful Izzuan; Li, Steven - In: Financial markets and portfolio management 32 (2018) 2, pp. 207-233
Persistent link: https://www.econbiz.de/10011951950
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Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches
Yang, Ke; Tian, Fengping; Chen, Langnan; Li, Steven - In: International review of economics & finance : IREF 49 (2017), pp. 276-291
Persistent link: https://www.econbiz.de/10011748442
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Information transmission between U.S. and China index futures markets : an asymmetric DCC GARCH approach
Hou, Yang; Li, Steven - In: Economic modelling 52 (2016), pp. 884-897
Persistent link: https://www.econbiz.de/10011643072
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Time-varying information share and autoregressive loading factors : evidence from S&P 500 cash and E-mini futures markets
Hou, Yang; Li, Steven; Wen, Fenghua - In: Review of quantitative finance and accounting 57 (2021) 1, pp. 91-110
Persistent link: https://www.econbiz.de/10012549905
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Volatility and skewness spillover between stock index and stock index futures markets during a crash period : new evidence from China
Hou, Yang; Li, Steven - In: International review of economics & finance : IREF 66 (2020), pp. 166-188
Persistent link: https://www.econbiz.de/10012390715
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Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach
Hou, Yang; Li, Steven; Wen, Fenghua - In: Energy economics 83 (2019), pp. 119-143
Persistent link: https://www.econbiz.de/10012175247
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The dependence structure between Chinese and other major stock markets using extreme values and copulas
Hussain, Saiful Izzuan; Li, Steven - In: International review of economics & finance : IREF 56 (2018), pp. 421-437
Persistent link: https://www.econbiz.de/10012033721
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Dependence structure between oil and other commodity futures in China based on extreme value theory and copulas
Hussain, Saiful Izzuan; Li, Steven - In: The world economy : the leading journal on … 45 (2022) 1, pp. 317-335
Persistent link: https://www.econbiz.de/10012818942