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Do intraday data contain more information for volatility forecasting? : evidence from the Chinese commodity futures market
Jiang, Ying; Liu, Xiaoquan; Ye, Wuyi - In: Applied economics letters 22 (2015) 1/3, pp. 218-222
Persistent link: https://www.econbiz.de/10010481970
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Intraday VaR : a copula-based approach
Wang, Keli; Liu, Xiaoquan; Ye, Wuyi - In: Journal of empirical finance 74 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014477064
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Short-term stock price trend prediction with imaging high frequency limit order book data
Ye, Wuyi; Yang, Jinting; Chen, Pengzhan - In: International journal of forecasting 40 (2024) 3, pp. 1189-1205
Persistent link: https://www.econbiz.de/10014547269
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Bubbles and dependence between international equity markets
Ye, Wuyi; Gao, Lingbo; Liu, Xiaoquan - In: Quantitative finance 24 (2024) 1, pp. 119-138
Persistent link: https://www.econbiz.de/10014551948
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A hidden markov model approach to information-based trading : theory and applications
Yin, Xiangkang; Zhao, Jing - In: Journal of applied econometrics 30 (2015) 7, pp. 1210-1234
Persistent link: https://www.econbiz.de/10011431764
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Factor reversal in the euro zone stock returns : evidence from the crisis period
Chou, Hsin-I; Zhao, Jing; Suardi, Sandy - In: Journal of international financial markets, … 33 (2014), pp. 28-55
Persistent link: https://www.econbiz.de/10011299871
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Factors driving European stock returns : evidence from shift-share decomposition
Chiang, Shu-hen; Liu, Wenchien; Suardi, Sandy; Zhao, Jing - 2017
Persistent link: https://www.econbiz.de/10011887076
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Factor Reversal in the Euro Zone Stock Returns : Evidence from the Crisis Period
Chou, Hsin-I - 2012
The introduction of the common currency in the Euro zone has led to a shift in factor importance from country to industry effects. Nevertheless, there is overwhelming evidence that the recent spate of crises has engendered a reversal in factor importance, returning it to country effect. This...
Persistent link: https://www.econbiz.de/10013098895
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Information-based trading and information propagation: evidence from the exchange traded fund market
Xu, Liao; Xu, Lu; Zhao, Jing; Zhao, Yang - In: International review of financial analysis 70 (2020), pp. 1-10
Persistent link: https://www.econbiz.de/10012317397
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Does program trading contribute to excess comovement of stock returns?
Li, Mingyi; Yin, Xiangkang; Zhao, Jing - In: Journal of empirical finance 59 (2020), pp. 257-277
Persistent link: https://www.econbiz.de/10012437986