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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

Macroeconomic forecasts and commodity futures volatility

Ye, Wuyi; Guo, Ranran; Deschamps, Bruno; Jiang, Ying; … - In: Economic modelling 94 (2021), pp. 981-994

Persistent link: https://www.econbiz.de/10012695606

Professional macroeconomic forecasts and Chinese commodity futures prices

Ye, Wuyi; Guo, Ranran; Jiang, Ying; Liu, Xiaoquan; … - In: Finance research letters 28 (2019), pp. 130-136

Persistent link: https://www.econbiz.de/10012388042

Using implied volatility jumps for realized volatility forecasting : evidence from the Chinese market

Ye, Wuyi; Xia, Wenjing; Wu, Bin; Chen, Pengzhan - In: International review of financial analysis 83 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013455131

Jointly forecasting the value-at-risk and expected shortfall of Bitcoin with a regime-switching CAViaR model

Gao, Lingbo; Ye, Wuyi; Guo, Ranran - In: Finance research letters 48 (2022), pp. 1-10

Persistent link: https://www.econbiz.de/10013459321

Volatility prediction for the energy sector with economic determinants : evidence from a hybrid model

Wang, Yuejing; Ye, Wuyi; Jiang, Ying; Liu, Xiaoquan - In: International review of financial analysis 92 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014492381

Short-term stock price trend prediction with imaging high frequency limit order book data

Ye, Wuyi; Yang, Jinting; Chen, Pengzhan - In: International journal of forecasting 40 (2024) 3, pp. 1189-1205

Persistent link: https://www.econbiz.de/10014547269

Forecasting stock returns through an efficient aggregation of mutual fund holdings

Wermers, Russ; Yao, Tong; Zhao, Jane - 2012 - Current Draft: July 2012

We develop a stock return-predictive measure based on an efficient aggregation of the portfolio holdings of all actively managed U.S. domestic equity mutual funds, and use this model to study the source of fund managers' stock-selection abilities. This "generalized-inverse alpha" (GIA) approach...

Persistent link: https://www.econbiz.de/10009705514

Forecasting stock returns through an efficient aggregation of mutual fund holdings

Wermers, Russ; Yao, Tong; Zhao, Jane - In: The review of financial studies 25 (2012) 12, pp. 3490-3529

Persistent link: https://www.econbiz.de/10009714159

Does average skewness matter? : evidence from the Taiwanese stock market

Li, Mingyi; Onishchenko, Olena; Zhao, Jing - In: Pacific-Basin finance journal 62 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012491937