Narrow search
Showing 1 - 10 of 21
Cover Image
Asymptotically distribution-free tests for the volatility function of a diffusion
Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
Cover Image
A model-free test for contagion between crude oil and stock markets
Pan, Zhiyuan; Zheng, Xu; Gong, Yuting - In: Economics letters 130 (2015), pp. 1-4
Persistent link: https://www.econbiz.de/10011422065
Cover Image
Forecasting U.S. real GDP using oil prices : a time-varying parameter MIDAS model
Pan, Zhiyuan; Wang, Qing; Wang, Yudong; Li, Yang - In: Energy economics 72 (2018), pp. 177-187
Persistent link: https://www.econbiz.de/10011972301
Cover Image
A nonparametric approach to test for predictability
Pan, Zhiyuan; Wang, Yudong; Wu, Chongfeng - In: Economics letters 148 (2016), pp. 10-16
Persistent link: https://www.econbiz.de/10011619752
Cover Image
Macroeconomic uncertainty and expected shortfall (and value at risk) : a new dynamic semiparametric model
Pan, Zhiyuan; Wang, Yudong; Liu, Li - In: Quantitative finance 21 (2021) 11, pp. 1791-1805
Persistent link: https://www.econbiz.de/10012696775
Cover Image
Are financial returns really predictable out-of-sample? : evidence from a new bootstrap test
Liu, Li; Bu, Ruijun; Pan, Zhiyuan; Xu, Yuhua - In: Economic modelling 81 (2019), pp. 124-135
Persistent link: https://www.econbiz.de/10012201494
Cover Image
Forecasting stock market volatility : the role of technical variables
Liu, Li; Pan, Zhiyuan - In: Economic modelling 84 (2020), pp. 55-65
Persistent link: https://www.econbiz.de/10012210290
Cover Image
Improving futures hedging performance using option information : evidence from the S&P 500 index
Bai, Yujuan; Pan, Zhiyuan; Liu, Li - In: Finance research letters 28 (2019), pp. 112-117
Persistent link: https://www.econbiz.de/10012388029
Cover Image
Time‐varying parameter realized volatility models
Wang, Yudong; Pan, Zhiyuan; Wu, Chongfeng - In: Journal of forecasting 36 (2017) 5, pp. 566-580
Persistent link: https://www.econbiz.de/10011860698
Cover Image
Industry equi-correlation : a powerful predictor of stock returns
Wang, Yudong; Pan, Zhiyuan; Wu, Chongfeng; Wu, Wenfeng - In: Journal of empirical finance 59 (2020), pp. 1-24
Persistent link: https://www.econbiz.de/10012437933