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The value premium and time-varying volatility

Li, Xiafei; Brooks, Chris; Miffre, Joëlle - In: Journal of business finance & accounting : JBFA 36 (2009) 9/10, pp. 1252-1272

Persistent link: https://www.econbiz.de/10003909854

Momentum profits and time-varying unsystematic risk

Li, Xiafei; Miffre, Joëlle; Brooks, Chris; O'Sullivan, … - In: Journal of banking & finance 32 (2008) 4, pp. 541-558

Persistent link: https://www.econbiz.de/10003707678

Momentum Profits and Time-Varying Unsystematic Risk

Li, Xiafei - 2013

This study assesses whether the widely documented momentum profits can be attributed to time-varying risk as described by a GJR-GARCH(1,1)-M model. We reveal that momentum profits are a compensation for time-varying unsystematic risks, which are common to the winner and loser stocks but affect...

Persistent link: https://www.econbiz.de/10013079998

Forecasting China's stock market volatility with shrinkage method : can Adaptive Lasso select stronger predictors from numerous predictors?

Liang, Chao; Xu, Yongan; Chen, Zhonglu; Li, Xiafei - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 3689-3699

Persistent link: https://www.econbiz.de/10014429165

Uncertainty and crude oil market volatility : new evidence

Liang, Chao; Wei, Yu; Li, Xiafei; Zhang, Xuhui; Zhang, … - In: Applied economics 52 (2020) 27, pp. 2945-2959

Persistent link: https://www.econbiz.de/10012221463

Which uncertainty is powerful to forecast crude oil market volatility? : new evidence

Li, Xiafei; Wei, Yu; Chen, Xiaodan; Ma, Feng; Liang, Chao; … - In: International journal of finance & economics : IJFE 27 (2022) 4, pp. 4279-4297

Persistent link: https://www.econbiz.de/10013461327

Are categorical EPU indices predictable for carbon futures volatility? : Evidence from the machine learning method

Guo, Xiaozhu; Huang, Dengshi; Li, Xiafei; Liang, Chao - In: International review of economics & finance : IREF 83 (2023), pp. 672-693

Persistent link: https://www.econbiz.de/10014246784

Forecasting crude oil volatility with uncertainty indicators : new evidence

Li, Xiafei; Liang, Chao; Chen, Zhonglu; Umar, Muhammad - In: Energy economics 108 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013203032

Which predictor is more predictive for Bitcoin volatility? : and why?

Liang, Chao; Zhang, Yaojie; Li, Xiafei; Ma, Feng - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 1947-1961

Persistent link: https://www.econbiz.de/10013184415

An oil futures volatility forecast perspective on the selection of high-frequency jump tests

Li, Xiafei; Liao, Yin; Lu, Xinjie; Ma, Feng - In: Energy economics 116 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013542124