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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

A mixed data sampling copula model for the return-liquidity dependence in stock index futures markets

Gong, Yuting; Chen, Qiang; Liang, Jufang - In: Economic modelling 68 (2018), pp. 586-598

Persistent link: https://www.econbiz.de/10011936141

Contagion risk between the shipping freight and stock markets : evidence from the recent US-China trade war

Gong, Yuting; Li, Kevin Xingang; Chen, Shu-Ling; Shi, … - In: Transportation research / E : an international journal 136 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012233642

EPU spillovers and stock return predictability : a cross-country study

Gong, Yuting; He, Zhongzhi; Xue, Wenjun - In: Journal of international financial markets, … 78 (2022), pp. 1-29

Persistent link: https://www.econbiz.de/10013357291

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

Estimation of parametric homogeneous stochastic volatility pricing formulae based on option data

Xu, Zheng - In: Economics letters 120 (2013) 3, pp. 369-373

Persistent link: https://www.econbiz.de/10010128844

On implied volatility for options : some reasons to smile and more to correct

Chen, Song Xi; Xu, Zheng - In: Journal of econometrics 179 (2014) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10010258291

Testing for the presence of jump components in jump diffusion models

Wang, Bin; Zheng, Xu - In: Journal of econometrics 230 (2022) 2, pp. 483-509

Persistent link: https://www.econbiz.de/10013464085

Estimation of parametric homogeneous stochastic volatility pricing formulae based on option data

Xu, Zheng - In: Economics Letters 120 (2013) 3, pp. 369-373

This article provides a procedure for the estimation of parametric homogeneous stochastic volatility (SV) pricing formulae based on option data. Our estimator has the advantage of being (i) based on option data, (ii) easy to implement in practice, (iii) with clear statistic properties and (iv)...

Persistent link: https://www.econbiz.de/10010681762

Nominal price illusion, return skewness, and momentum

Jia, Yuecheng; Xu, Zheng; Yan, Shu; Zhang, Runyu - In: Finance research letters 67 (2024) 2, pp. 1-6

Persistent link: https://www.econbiz.de/10015062608