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Is there a structural change in the persistence of WTI-Brent oil price spreads in the post-2010 period?

Chen, Wei; Huang, Zhuo; Yi, Yanping - In: Economic modelling 50 (2015), pp. 64-71

Persistent link: https://www.econbiz.de/10011439618

Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models

Chen, Xiaohong; Huang, Zhuo; Yi, Yanping - In: Journal of econometrics 222 (2021) 1,2, pp. 484-501

Persistent link: https://www.econbiz.de/10012619712

Estimation of extreme value-at-risk: An EVT approach for quantile GARCH model

Yi, Yanping; Feng, Xingdong; Huang, Zhuo - In: Economics Letters 124 (2014) 3, pp. 378-381

We proposed a method to estimate extreme conditional quantiles by combining quantile GARCH model of Xiao and Koenker (2009) and extreme value theory (EVT) approach. We first estimate the latent volatility process using the information of intermediate quantiles. We then apply EVT to the tail...

Persistent link: https://www.econbiz.de/10010930717

Estimation and bootstrapping under spatiotemporal models with unobserved heterogeneity

Feng, Xingdong; Li, Wenyu; Zhu, Qianqian - In: Journal of econometrics 238 (2024) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10015073797

Semiparametric identification of the bid-ask spread in extended Roll models

Chen, Xiaohong; Linton, Oliver; Yi, Yanping - In: Journal of econometrics 200 (2017) 2, pp. 312-325

Persistent link: https://www.econbiz.de/10011917258

Forecasting cointegrated nonstationary time series with time-varying variance

Tu, Yundong; Yi, Yanping - In: Journal of econometrics 196 (2017) 1, pp. 83-98

Persistent link: https://www.econbiz.de/10011743781

Balanced predictive regressions

Ren, Yu; Tu, Yundong; Yi, Yanping - In: Journal of empirical finance 54 (2019), pp. 118-142

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Semiparametric estimation of the bid-ask spread in extended roll models

Chen, Xiaohong; Linton, Oliver; Schneeberger, Stefan; … - In: Journal of econometrics 208 (2019) 1, pp. 160-178

Persistent link: https://www.econbiz.de/10012139826

VIX term structure and VIX futures pricing with realized volatility

Huang, Zhuo; Tong, Chen; Wang, Tianyi - In: Journal of Futures Markets 39 (2018) 1, pp. 72-93

Persistent link: https://www.econbiz.de/10012082148

Do VIX futures contribute to the valuation of VIX options?

Tong, Chen; Huang, Zhuo; Wang, Tianyi - In: The journal of futures markets 42 (2022) 9, pp. 1644-1664

Persistent link: https://www.econbiz.de/10013465803