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Anomalous Diffusions in Option Prices : Connecting Trade Duration and the Volatility Term Structure

Jacquier, Antoine (Jack) - 2020

Anomalous diffusions arise as scaling limits of continuous-time random walks (CTRWs) whose innovation times are distributed according to a power law. The impact of a non-exponential waiting time does not vanish with time and leads to different distribution spread rates compared to standard...

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An empirical study on the endogeneity of directed technical change in China

Liu, Huihui; Liu, Hao - In: Economic research 35 (2022) 1,3, pp. 2693-2711

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The determinants of liquidity with G-RJMCMC-VS model : evidence from China

Chen, Langnan; Luo, Jiawen; Liu, Hao - In: Economic modelling 35 (2013), pp. 192-198

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Firm age and beta : evidence from China

Liu, Hao; Zhang, Hao; Gao, Ya-Chun; Chen, Xu-Dong - In: International review of economics & finance : IREF 77 (2022), pp. 244-261

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Return predictability via an long short-term memory-based cross-section factor model : evidence from Chinese stock market

Yao, Haixiang; Xia, Shenghao; Liu, Hao - In: Journal of forecasting 43 (2024) 6, pp. 1770-1794

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How does the business cycle affect firm innovation? : evidence from China's listed companies

Zhang, Qun; Chen, Jingde; Zhang, Peihui; Liu, Hao - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 5, pp. 1390-1414

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