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Persistent link: https://www.econbiz.de/10013555091

Nonlinear asset pricing in Chinese stock market : a deep learning approach

Pan, Shuiyang; Long, Suwan; Wang, Yiming; Xie, Ying - In: International review of financial analysis 87 (2023), pp. 1-9

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Absolving beta of volatility's effects

Liu, Jianan; Stambaugh, Robert F.; Yan, Yu - 2016 - This Version: November 14, 2016

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Price Contagion between Markets Based on Heterogeneous Beliefs : Case from COVID-19's Sudden Impact on Markets

Yan, Yu; Wang, Yiming - 2021

In the early stage of COVID-19 spread, China's stocks market was greatly affected, while other stocks markets also fell to a certain extent. In order to explore the mechanism of this phenomenon in addition to global economic integration, we establish a two market asset pricing model based on...

Persistent link: https://www.econbiz.de/10013238163

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The business cycle and profitability of trading strategies

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Forecasting stock index price using the CEEMDAN-LSTM model

Lin, Yu; Yan, Yan; Xu, Jiali; Liao, Ying; Ma, Feng - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-14

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Asset pricing with two types of heterogeneous consumption volatilities in mind : evidence from China

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Circuit breakers and stock market volatility

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Robust test of the January effect in stock markets using Markov-switching model

Chu, Chia-shang James; Liu, Tung; Rathinasamy, R. S. - In: Journal of financial management and analysis : … 17 (2004) 1, pp. 22-33

Persistent link: https://www.econbiz.de/10002507016