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Corbet, Shaen; Hou, Yang; Hu, Yang; Oxley, Les; Xu, Danyang - In: International review of economics & finance : IREF 71 (2021), pp. 55-81

Persistent link: https://www.econbiz.de/10012627758

Time-varying spillovers of higher moments between Bitcoin and crude oil markets and the impact of the US–China trade war : a regime-switching perspective

Hou, Yang; Li, Yujia; Hu, Yang; Oxley, Les - In: The European journal of finance 30 (2024) 16, pp. 1876-1906

Persistent link: https://www.econbiz.de/10015273064

Hedging performance of Chinese stock index futures : an empirical analysis using wavelet analysis and flexible bivariate GARCH approaches

Hou, Yang; Li, Steven - In: Pacific-Basin finance journal 24 (2013), pp. 109-131

Persistent link: https://www.econbiz.de/10010346788

The impact of the CSI 300 stock index futures : positive feedback trading and autocorrelation of stock returns

Hou, Yang; Li, Steven - In: International review of economics & finance : IREF 33 (2014), pp. 319-337

Persistent link: https://www.econbiz.de/10010532719

Information transmission between U.S. and China index futures markets : an asymmetric DCC GARCH approach

Hou, Yang; Li, Steven - In: Economic modelling 52 (2016), pp. 884-897

Persistent link: https://www.econbiz.de/10011643072

Volatility behaviour of stock index futures in China : a bivariate GARCH approach

Hou, Yang; Li, Steven - In: Studies in economics and finance 32 (2015) 1, pp. 128-154

Persistent link: https://www.econbiz.de/10011380764

Do higher order moments of return distribution provide better decisions in minimum-variance hedging? : evidence from US stock index futures

Hou, Yang; Holmes, Mark J. - In: Australian journal of management 45 (2020) 2, pp. 240-265

Persistent link: https://www.econbiz.de/10012216958

Volatility and skewness spillover between stock index and stock index futures markets during a crash period : new evidence from China

Hou, Yang; Li, Steven - In: International review of economics & finance : IREF 66 (2020), pp. 166-188

Persistent link: https://www.econbiz.de/10012390715

Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach

Hou, Yang; Li, Steven; Wen, Fenghua - In: Energy economics 83 (2019), pp. 119-143

Persistent link: https://www.econbiz.de/10012175247

Extreme value modelling for forecasting market crisis impacts

Zhao, Xin; Scarrott, Carl; Oxley, Les; Reale, Marco - In: Applied financial economics 20 (2010) 1/3, pp. 63-72

This article introduces a new approach for estimating Value at Risk (VaR), which is then used to show the likelihood of the impacts of the current financial crisis. A commonly used two-stage approach is taken, by combining a Generalized Autoregressive Conditional Heteroscedasticity (GARCH)...

Persistent link: https://www.econbiz.de/10003935971