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Forecasting VaR and ES using the joint regression combined forecasting model in the Chinese stock market

Lu, Xunfa; Sheng, Kang; Zhang, Zhengjun - In: International journal of emerging markets 19 (2024) 10, pp. 3393-3417

Persistent link: https://www.econbiz.de/10015386539

Why do options prices predict stock returns? : evidence from analyst tipping

Lin, Tse-Chun; Lu, Xiaolong - In: Journal of banking & finance 52 (2015), pp. 17-28

Persistent link: https://www.econbiz.de/10011377291

Volatility forecasting : long memory, regime switching and heteroscedasticity

Ma, Feng; Lu, Xinjie; Yang, Ke; Zhang, Yaojie - In: Applied economics 51 (2019) 38, pp. 4151-4163

Persistent link: https://www.econbiz.de/10012196974

Does the belt and road initiative resolve the steel overcapacity in China? : evidence from a dynamic model averaging approach

Ni, Zhongxin; Lu, Xing; Xue, Wenjun - In: Empirical economics : a quarterly journal of the … 61 (2021) 1, pp. 279-307

Persistent link: https://www.econbiz.de/10012585907

Random forest regression model application for prediction of China's railway freight volume

Wang, Yang; Lu, Xiaochun - In: Collaborative logistics and intermodality : integration …, (pp. 91-120). 2021

Persistent link: https://www.econbiz.de/10012647837

Why Do Options Prices Predict Stock Returns? Evidence from Analyst Tipping

Lin, Tse-Chun - 2014

We study the role of analysts and options traders in the information transmission between options and stock markets. We first show that the predictive power of option implied volatilities (IVs) on stock returns more than doubles around analyst-related events, indicating that a significant...

Persistent link: https://www.econbiz.de/10013065163

Singlehanded or joint race? : stock market volatility prediction

Lu, Xinjie; Ma, Feng; Wang, Jianqiong; Dong, Dayong - In: International review of economics & finance : IREF 80 (2022), pp. 734-754

Persistent link: https://www.econbiz.de/10013342735

Macroeconomic attention and stock market return predictability

Ma, Feng; Lu, Xinjie; Liu, Jia; Huang, Dengshi - In: Journal of international financial markets, … 79 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013358722

A comprehensive look at stock return predictability by oil prices using economic constraint approaches

Ma, Feng; Wang, Ruoxin; Lu, Xinjie; Wahab, M. I. M. - In: International review of financial analysis 78 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10013252647

Forecasting oil futures realized range-based volatility with jumps, leverage effect, and regime switching : new evidence from MIDAS models

Lu, Xinjie; Ma, Feng; Wang, Jiqian; Liu, Jing - In: Journal of forecasting 41 (2022) 4, pp. 853-868

Persistent link: https://www.econbiz.de/10013287870