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Improving volatility forecasting based on Chinese volatility index information : evidence from CSI 300 index and futures markets
Qiao, Gaoxiu; Teng, Yuxin; Li, Weiping; Liu, Wenwen - In: The North American journal of economics and finance : a … 49 (2019), pp. 133-151
Persistent link: https://www.econbiz.de/10012269160
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Liquidity and realized volatility prediction in Chinese stock market : a time-varying transitional dynamic perspective
Xu, Yanyan; Liu, Jing; Ma, Feng; Chu, Jielei - In: International review of economics & finance : IREF 89 (2024) 1, pp. 543-560
Persistent link: https://www.econbiz.de/10014446494
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VIX forecasting and variance risk premium : a new GARCH approach
Liu, Qiang; Guo, Shuxin; Qiao, Gaoxiu - In: The North American journal of economics and finance : a … 34 (2015), pp. 314-322
Persistent link: https://www.econbiz.de/10011540131
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Volatility of volatility and vix forecasting : new evidence based on jumps, the short-term and long-term volatility
Qiao, Gaoxiu; Cui, Wanmei; Zhou, Yijie; Liang, Chao - 2025
Persistent link: https://www.econbiz.de/10015376387
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Oil price volatility forecasting : threshold effect from stock market volatility
Chen, Yan; Qiao, Gaoxiu; Zhang, Feipeng - In: Technological forecasting & social change : an … 180 (2022), pp. 1-8
Persistent link: https://www.econbiz.de/10013429265
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Realized volatility forecasting based on rolling SW-SVR method : evidence from CSI 300 index
Li, Hongliang; Qiao, Gaoxiu - In: Applied economics letters 30 (2023) 7, pp. 975-980
Persistent link: https://www.econbiz.de/10014303610
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Forecasting volatility in Chinese crude oil futures : insights from volatility-of-volatility and Markov regime-switching approaches
Qiao, Gaoxiu; Pan, Yijun; Liang, Chao - 2024
Persistent link: https://www.econbiz.de/10015196975
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The importance of extreme shock : examining the effect of investor sentiment on the crude oil futures market
Wang, Lu; Ma, Feng; Niu, Tianjiao; Liang, Chao - In: Energy economics 99 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012939414
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Estimation of high-dimensional factor models with multiple structural changes
Wang, Lu; Wu, Jianhong - In: Economic modelling 108 (2022), pp. 1-11
Persistent link: https://www.econbiz.de/10013347719
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Forecasting renewable energy stock volatility using short and long-term Markov switching GARCH-MIDAS models : either, neither or both?
Wang, Lu; Wu, Jiangbin; Cao, Yang; Hong, Yanran - In: Energy economics 111 (2022), pp. 1-12
Persistent link: https://www.econbiz.de/10013349997