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Volatility Modeling and Prediction : The Role of Price Impact

Jiang, Ying - 2018

In this paper, we are interested in exploring the role of price impact, derived from the order book, in modeling and predicting stock volatility. This is motivated by the microstructure literature that focuses on the mechanics of price formation and its relevance to market quality. Using a...

Persistent link: https://www.econbiz.de/10012913968

A two-stage Bayesian network model for corporate bankruptcy prediction

Cao, Yi; Liu, Xiaoquan; Zhai, Jia; Hua, Shan - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 455-472

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A neural network enhanced volatility component model

Zhai, Jia; Cao, Yi; Liu, Xiaoquan - In: Quantitative finance 20 (2020) 5, pp. 783-797

Persistent link: https://www.econbiz.de/10012262620

Volatility modeling and prediction : the role of price impact

Jiang, Ying; Cao, Yi; Liu, Xiaoquan; Zhai, Jia - In: Quantitative finance 19 (2019) 12, pp. 2015-2031

Persistent link: https://www.econbiz.de/10015123062

Forecasting stock volatility during the stock market crash period : the role of Hawkes process

Fan, Lina; Yang, Hao; Zhai, Jia; Zhang, Xiaotao - In: Finance research letters 55 (2023) 1, pp. 1-9

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Volatility forecasting with Hybrid-long short-term memory models : evidence from the COVID-19 period

Yang, Ao; Ye, Qing; Zhai, Jia - In: International journal of finance & economics : IJFE 29 (2024) 3, pp. 2766-2786

Persistent link: https://www.econbiz.de/10014635168

Forecasting stock return volatility : realized volatility-type or duration-based estimators

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Bond return predictability : macro factors and machine learning methods

Jiang, Ying; Liu, Xiaoquan; Liu, Yirong; Zhu, Fumin - In: European financial management : the journal of the … 30 (2024) 5, pp. 2596-2627

Persistent link: https://www.econbiz.de/10015142089

Do intraday data contain more information for volatility forecasting? : evidence from the Chinese commodity futures market

Jiang, Ying; Liu, Xiaoquan; Ye, Wuyi - In: Applied economics letters 22 (2015) 1/3, pp. 218-222

Persistent link: https://www.econbiz.de/10010481970

Can currency-based risk factors help forecast exchange rates?

Ahmed, Shamim; Liu, Xiaoquan; Valente, Giorgio - In: International journal of forecasting 32 (2016) 1, pp. 75-97

Persistent link: https://www.econbiz.de/10011596451