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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

Retail investor attention and information asymmetry : evidence from China

Chen, Xing; Wu, Chongfeng - In: Pacific-Basin finance journal 75 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013552547

Oil price shocks and stock market activities : evidence from oil-importing and oil-exporting countries

Wang, Yudong; Wu, Chongfeng; Li, Yang - In: Journal of comparative economics : the journal of the … 41 (2013) 4, pp. 1220-1239

Persistent link: https://www.econbiz.de/10010227914

What drives regional differences in the stock market wealth effect in China?

Wu, Wenfeng; Wu, Chongfeng; Rui, Oliver Meng - In: Applied economics letters 19 (2012) 10/12, pp. 1157-1160

Persistent link: https://www.econbiz.de/10009656285

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

A nonlinear Granger causality test between stock returns and investor sentiment for Chinese stock market : a wavelet-based approach

Chu, Xiaojun; Wu, Chongfeng; Qiu, Jianying - In: Applied economics 48 (2016) 19/21, pp. 1915-1924

Persistent link: https://www.econbiz.de/10011590017

Heterogeneous beliefs and aggregate market volatility revisited : new evidence from China

Wang, Yudong; Diao, Xundi; Pan, Zhiyuan; Wu, Chongfeng - In: Pacific-Basin finance journal 55 (2019), pp. 127-141

Persistent link: https://www.econbiz.de/10012169519

Oil and the short-term predictability of stock return volatility

Wang, Yudong; Wei, Yu; Wu, Chongfeng; Yin, Libo - In: Journal of empirical finance 47 (2018), pp. 90-104

Persistent link: https://www.econbiz.de/10012103481

Heterogeneous investor attention and post earnings announcement drift : evidence from China

Chen, Xing; Diao, Xundi; Wu, Chongfeng - In: Economic modelling 110 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013348263

Volatility forecast with the regularity modifications

Zhu, Qinwen; Diao, Xundi; Wu, Chongfeng - In: Finance research letters 58 (2023) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10014582373