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Bayesian nonparametric covariance estimation with noisy and nonsynchronous asset prices

Liu, Jia - In: Journal of risk 24 (2021) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10012816791

Institutional investor information network, analyst forecasting and stock price crash risk

Gong, Xiao-Li; Liu, Jia - In: Research in international business and finance 65 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014434053

Identification and forecasting of bull and bear markets using multivariate returns

Liu, Jia; Maheu, John M.; Song, Yong - In: Journal of applied econometrics 39 (2024) 5, pp. 723-745

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Does the choice of realized covariance measures empirically matter? : a Bayesian density prediction approach

Jin, Xin; Liu, Jia; Yang, Qiao - In: Econometrics : open access journal 9 (2021) 4, pp. 1-22

This paper suggests a new approach to evaluate realized covariance (RCOV) estimators via their predictive power on return density. By jointly modeling returns and RCOV measures under a Bayesian framework, the predictive density of returns and ex-post covariance measures are bridged. The forecast...

Persistent link: https://www.econbiz.de/10012697796

Market reaction to seasoned offerings in China

Liu, Jia; Akbar, Saeed; Ali Shah, Syed Zulfiqar; Zhang, … - In: Journal of business finance & accounting : JBFA 43 (2016) 5/6, pp. 597-653

Persistent link: https://www.econbiz.de/10011610336

Dependences and volatility spillovers between the oil and stock markets: new evidence from the copula and VAR-BEKK-GARCH models

Yu, Lean; Zha, Rui; Stafylas, Dimitrios; He, Kaijian; … - In: International review of financial analysis 68 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012301075

Fundamental and behavioural determinants of stock return volatility in ASEAN-5 countries

Thampanya, Natthinee; Wu, JunJie; Nasir, Muhammad Ali; … - In: Journal of international financial markets, … 65 (2020), pp. 1-26

Persistent link: https://www.econbiz.de/10012495783

Expected stock returns, common idiosyncratic volatility and average idiosyncratic correlation

Ni, Xuanming; Qian, Long; Zhao, Huimin; Liu, Jia - In: International review of financial analysis 76 (2021), pp. 1-9

Persistent link: https://www.econbiz.de/10012805046

Opening price manipulation and its value influences

Liu, Jie; Wu, Chonglin; Yuan, Lin; Liu, Jia - In: International review of financial analysis 83 (2022), pp. 1-17

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On the marketing effect of financial analysts : evidence from investor bids in SEO auctions

Yang, Mingjing; Cheng, Xiaoke; Guan, Xinjiao; Gao, Shenghao - In: International review of economics & finance : IREF 88 (2023), pp. 408-428

Persistent link: https://www.econbiz.de/10014474545