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Co-volatility and asymmetric transmission of risks between the global oil and China's futures markets
Luo, Jiawen; Marfatia, Hardik A.; Ji, Qiang; Klein, Tony - In: Energy economics 117 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10014437127
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Modeling and forecasting the multivariate realized volatility of financial markets with time-varying sparsity
Luo, Jiawen; Chen, Langnan - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 2, pp. 392-408
Persistent link: https://www.econbiz.de/10012211461
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The asymmetric high-frequency volatility transmission across international stock markets
Luo, Jiawen; Wang, Shengquan - In: Finance research letters 31 (2019), pp. 104-109
Persistent link: https://www.econbiz.de/10012421222
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On realized volatility of crude oil futures markets : forecasting with exogenous predictors under structural breaks
Luo, Jiawen; Ji, Qiang; Klein, Tony; Todorova, Neda; … - In: Energy economics 89 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012517048
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Realized volatility forecast with the Bayesian random compressed multivariate HAR model
Luo, Jiawen; Chen, Langnan - In: International journal of forecasting 36 (2020) 3, pp. 781-799
Persistent link: https://www.econbiz.de/10012496859
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Forecasting the volatility of agricultural commodity futures : the role of co-volatility and oil volatility
Marfatia, Hardik A.; Ji, Qiang; Luo, Jiawen - In: Journal of forecasting 41 (2022) 2, pp. 383-404
Persistent link: https://www.econbiz.de/10012817783
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Volatility dependences of stock markets with structural breaks
Luo, Jiawen; Chen, Langnan - In: The European journal of finance 24 (2018) 17, pp. 1727-1753
Persistent link: https://www.econbiz.de/10012259100
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Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models
Luo, Jiawen; Klein, Tony; Ji, Qiang; Hou, Chenghan - In: International journal of forecasting 38 (2022) 1, pp. 51-73
Persistent link: https://www.econbiz.de/10013347412
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Forecasting oil and gold volatilities with sentiment indicators under structural breaks
Luo, Jiawen; Demirer, Rıza; Gupta, Rangan; Ji, Qiang - In: Energy economics 105 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013201953
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Forecasting multivariate volatilities with exogenous predictors : an application to industry diversification strategies
Luo, Jiawen; Ҫepni, Oğuzhan; Demirer, Rıza; Gupta, Rangan - 2022
Persistent link: https://www.econbiz.de/10013469716