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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
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Modeling long memory volatility using realized measures of volatility : a realized HAR GARCH model
Huang, Zhuo; Liu, Hao; Wang, Tianyi - In: Economic modelling 52 (2016), pp. 812-821
Persistent link: https://www.econbiz.de/10011643050
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Does measurement error matter in volatility forecasting? : empirical evidence from the Chinese stock market
Wang, Yajing; Liang, Fang; Wang, Tianyi; Huang, Zhuo - In: Economic modelling 87 (2020), pp. 148-157
Persistent link: https://www.econbiz.de/10012416413
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Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi; Liang, Fang; Huang, Zhuo; Yan, Hong - In: Economic modelling 109 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013348237