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Moving beyond Volatility Index (VIX) : HARnessing the term structure of implied volatility

Clements, Adam; Liao, Yin; Tang, Yusui - In: Journal of forecasting 41 (2022) 1, pp. 86-99

Persistent link: https://www.econbiz.de/10012796271

Modeling and forecasting realized volatility : getting the most out of the jump component

Clements, Adam; Liao, Yin - 2013

Persistent link: https://www.econbiz.de/10009789511

The impact of information flow and trading activity on gold and oil futures volatility

Clements, Adam; Liao, Yin - 2014

Persistent link: https://www.econbiz.de/10011343881

The role of index jumps and cojumps in forecasting stock index volatility : evidence from the Dow Jones index

Clements, Adam; Liao, Yin - 2014

Persistent link: https://www.econbiz.de/10011343882

News and network structures in equity market volatility

Clements, Adam; Liao, Yin - 2016

Persistent link: https://www.econbiz.de/10011777149

The dynamics of co-jumps, volatility and correlation

Clements, Adam; Liao, Yin - 2013

Persistent link: https://www.econbiz.de/10009702943

Firm-specific information and systemic risk

Clements, Adam; Liao, Yin - In: Economic modelling 90 (2020), pp. 480-493

Persistent link: https://www.econbiz.de/10012428956

Forecasting volatility in commodity markets with climate risk

Guo, Yangli; Peng, Pei; Zhou, Ling; Tang, Yusui - In: Finance research letters 78 (2025), pp. 1-9

Persistent link: https://www.econbiz.de/10015416140

The role of oil futures intraday information on predicting US stock market volatility

Tang, Yusui; Xiao, Xiao; Wahab, M. I. M.; Ma, Feng - In: Journal of management science and engineering 6 (2021) 1, pp. 64-74

This study investigates the role of oil futures price information on forecasting the US stock market volatility using the HAR framework. In-sample results indicate that oil futures intraday information is helpful to increase the predictability. Moreover, compared to the benchmark model, the...

Persistent link: https://www.econbiz.de/10013206077

Stock market volatility and economic policy uncertainty : new insight into a dynamic threshold mixed-frequency model

Zeng, Qing; Tang, Yusui; Yang, Hua; Zhang, Xi - In: Finance research letters 59 (2024), pp. 1-6

Persistent link: https://www.econbiz.de/10014445136