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A novel explanation for idiosyncratic volatility anomaly : An asset decomposition perspective

Liu, Hao; Chen, Yue; Wan, Wei; Zhang, Qun - In: Economics letters 206 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10012886955

Firm age and realized idiosyncratic return volatility in China : the role of short-sales constraints

Liu, Hao; Zhang, Qun - In: International review of financial analysis 75 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012804078

Does expected idiosyncratic skewness of firms' profit predict the cross-section of stock returns? : evidence from China

Zhang, Qun; Zhang, Peihui; Liu, Hao - In: Research in international business and finance 64 (2023), pp. 1-26

Persistent link: https://www.econbiz.de/10014266342

Modeling and forecasting the multivariate realized volatility of financial markets with time-varying sparsity

Luo, Jiawen; Chen, Langnan - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 2, pp. 392-408

Persistent link: https://www.econbiz.de/10012211461

On realized volatility of crude oil futures markets : forecasting with exogenous predictors under structural breaks

Luo, Jiawen; Ji, Qiang; Klein, Tony; Todorova, Neda; … - In: Energy economics 89 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012517048

The role of uncertainty in forecasting realized covariance of US state-level stock returns : a reverse-MIDAS approach

Luo, Jiawen; Fu, Shengjie; Cepni, Oguzhan; Gupta, Rangan - 2025

Persistent link: https://www.econbiz.de/10015195194

Realized volatility forecast of financial futures using time-varying HAR latent factor models

Luo, Jiawen; Chen, Zhenbiao; Wang, Shengquan - In: Journal of management science and engineering 8 (2023) 2, pp. 214-243

We forecast realized volatilities by developing a time-varying heterogeneous autoregressive (HAR) latent factor model with dynamic model average (DMA) and dynamic model selection (DMS) approaches. The number of latent factors is determined using Chan and Grant's (2016) deviation information...

Persistent link: https://www.econbiz.de/10014315947

Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects

Luo, Jiawen; Chen, Zhenbiao; Cheng, Mingmian - In: Journal of empirical finance 80 (2025), pp. 1-24

Persistent link: https://www.econbiz.de/10015329724