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Short term prediction of extreme returns based on the recurrence interval analysis

Jiang, Zhi-Qiang; Wang, Gang-Jin; Canabarro, Askery; … - In: Quantitative finance 18 (2018) 3, pp. 353-370

Persistent link: https://www.econbiz.de/10011906380

Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics : Evidence from the Chinese stock market

Shi, Huai-Long; Zhou, Wei-Xing - 2021

This paper focuses on the horse race of weekly idiosyncratic momentum (IMOM) with respect to various idiosyncratic risk metrics. Using the A-share individual stocks in the Chinese market from January 1997 to December 2017, we first evaluate the performance of the weekly momentum and...

Persistent link: https://www.econbiz.de/10013225739

Measuring the contribution of Chinese financial institutions to systemic risk : an extended asymmetric CoVaR approach

Wen, Fenghua; Weng, Kaiyan; Zhou, Wei-Xing - In: Risk management : a journal of risk, crisis and disaster 22 (2020) 4, pp. 310-337

Persistent link: https://www.econbiz.de/10012382234

A global economic policy uncertainty index from principal component analysis

Dai, Peng-Fei; Xiong, Xiong; Zhou, Wei-Xing - In: Finance research letters 40 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10012819228

Carbon volatility connectedness and the role of external uncertainties : evidence from China

Chen, Huayi; Shi, Huai-Long; Zhou, Wei-Xing - In: Journal of commodity markets : JCM 33 (2024), pp. 1-27

Persistent link: https://www.econbiz.de/10014526880

Uncovering the Sino-US dynamic risk spillovers effects : evidence from agricultural futures markets

Zhu, Han-Yu; Dai, Peng-Fei; Zhou, Wei-Xing - In: The journal of futures markets 44 (2024) 12, pp. 1888-1910

Persistent link: https://www.econbiz.de/10015110748

Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics : evidence from the Chinese stock market

Shi, Huai-Long; Zhou, Wei-Xing - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-24

Persistent link: https://www.econbiz.de/10013186512

Risk spillovers between the BRICS and the US staple grain futures markets

Shao, Ying-Hui; Yang, Yan-Hong; Zhou, Wei-Xing - In: Finance research letters 75 (2025), pp. 1-11

Persistent link: https://www.econbiz.de/10015407772