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Estimating multi-period value at risk of oil futures prices

Zhou, Chunyang; Qin, Xiao; Diao, Xundi; He, Yingchen - In: Applied economics 48 (2016) 31/33, pp. 2994-3004

Persistent link: https://www.econbiz.de/10011615344

Time-varying asymmetric tail dependence of international equities markets

Zhou, Chunyang; Qin, Xiao - In: Pacific-Basin finance journal 68 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013332425

Time-Varying Asymmetric Tail Dependence of International Equities Markets

Zhou, Chunyang; Qin, Xiao - 2022

In this paper, we use the skewed t copula with a DCC (Dynamic Conditional Correlation) model to capture the time-varying asymmetric tail dependence among MSCI US, Europe and Emerging markets. The empirical results show that it is important to take account of asymmetric tail dependence when...

Persistent link: https://www.econbiz.de/10014239631

Forecasting energy market volatility using GARCH models : can multivariate models beat univariate models?

Wang, Yudong; Wu, Chongfeng - In: Energy economics 34 (2012) 6, pp. 2167-2181

Persistent link: https://www.econbiz.de/10009688795

Can GARCH-class models capture long memory in WTI crude oil markets?

Wang, Yudong; Wu, Chongfeng; Wei, Yu - In: Economic modelling 28 (2011) 3, pp. 921-927

Persistent link: https://www.econbiz.de/10009271384

Volatility forecasting : the role of lunch-break returns, overnight returns, trading volume and leverage effects

Wang, Xunxiao; Wu, Chongfeng; Xu, Weidong - In: International journal of forecasting 31 (2015) 3, pp. 609-619

Persistent link: https://www.econbiz.de/10011474428

Modeling asymmetric and dynamic dependence of overnight and daytime returns : an empirical evidence from China banking sector

Tong, Bin; Diao, Xundi; Wu, Chongfeng - In: Economic modelling 51 (2015), pp. 366-382

Persistent link: https://www.econbiz.de/10011476058

Asymmetric volatility spillovers between crude oil and international financial markets

Wang, Xunxiao; Wu, Chongfeng - In: Energy economics 74 (2018), pp. 592-604

Persistent link: https://www.econbiz.de/10011972941

What the investors need to know about forecasting oil futures return volatility

Wang, Yudong; Liu, Li; Ma, Feng; Wu, Chongfeng - In: Energy economics 57 (2016), pp. 128-139

Persistent link: https://www.econbiz.de/10011698302

Forecasting crude oil market volatility : a Markov switching multifractal volatility approach

Wang, Yudong; Wu, Chongfeng; Li, Yang - In: International journal of forecasting 32 (2016) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10011596312