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ARCH model
Volatility
45
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34
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ARCH-Modell
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Wei, Yu
22
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11
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Wang, Yudong
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Ke, Rui
3
Liu, Jing
3
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Lei, Likun
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2
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2
Tang, Yusui
2
Wahab, M. I. M.
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1
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1
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1
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1
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Energy economics
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3
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International review of economics & finance : IREF
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Applied economics letters
1
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1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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International review of financial analysis
1
Journal of commodity markets
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ECONIS (ZBW)
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1
Forecasting the VaR of crude oil market: do alternative distributions help?
Lyu, Yongjian
;
Wang, Peng
;
Wei, Yu
;
Ke, Rui
- In:
Energy economics
66
(
2017
),
pp. 523-534
Persistent link: https://www.econbiz.de/10011896562
Saved in:
2
Forecasting the VaR of the crude oil market : a combination of mixed data sampling and extreme value theory
Lyu, Yongjian
;
Qin, Fanshu
;
Ke, Rui
;
Yang, Mo
;
Chang, …
- In:
Energy economics
133
(
2024
),
pp. 1-10
Persistent link: https://www.econbiz.de/10015049483
Saved in:
3
A residual-based test for multivariate GARCH models using transformed quadratic residuals
Ke, Rui
;
Jia, Jing
;
Tan, Changchun
- In:
Economics letters
206
(
2021
),
pp. 1-5
Persistent link: https://www.econbiz.de/10012886565
Saved in:
4
Does the US stock market information matter for European equity market volatility : a multivariate perspective?
Tang, Yusui
;
Ma, Feng
;
Wahab, M. I. M.
;
Wei, Yu
- In:
Applied economics
54
(
2022
)
58
,
pp. 6726-6743
Persistent link: https://www.econbiz.de/10013494246
Saved in:
5
Speculative market efficiency and hedging effectiveness of emerging Chinese index futures market
Wen, Xiaoqian
;
Wei, Yu
;
Huang, Dengshi
- In:
Journal of transnational management : the official …
16
(
2011
)
4
,
pp. 252-269
Persistent link: https://www.econbiz.de/10009500787
Saved in:
6
Forecasting crude oil market volatility : further evidence using GARCH-class models
Wei, Yu
;
Wang, Yudong
;
Huang, Dengshi
- In:
Energy economics
32
(
2010
)
6
,
pp. 1485-1498
Persistent link: https://www.econbiz.de/10008935972
Saved in:
7
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
Saved in:
8
Forecasting the volatility of crude oil futures using high-frequency data : further evidence
Ma, Feng
;
Wei, Yu
;
Chen, Wang
;
He, Feng
- In:
Empirical economics : a journal of the Institute for …
55
(
2018
)
2
,
pp. 653-678
Persistent link: https://www.econbiz.de/10011949867
Saved in:
9
Which determinant is the most informative in forecasting crude oil market volatility : fundamental, speculation, or uncertainty?
Wei, Yu
;
Liu, Jing
;
Lai, Xiaodong
;
Hu, Yang
- In:
Energy economics
68
(
2017
),
pp. 141-150
Persistent link: https://www.econbiz.de/10011905038
Saved in:
10
Forecasting the realized range-based volatility using dynamic model averaging approach
Liu, Jing
;
Wei, Yu
;
Ma, Feng
;
Wahab, M. I. M.
- In:
Economic modelling
61
(
2017
),
pp. 12-26
Persistent link: https://www.econbiz.de/10011736682
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