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Forecasting international equity market volatility : a new approach

Liang, Chao; Li, Yan; Ma, Feng; Zhang, Yaojie - In: Journal of forecasting 41 (2022) 7, pp. 1433-1457

Persistent link: https://www.econbiz.de/10013465704

Volatility forecasting revisited using Markov-switching with time-varying probability transition

Wang, Jiqian; Ma, Feng; Liang, Chao; Chen, Zhonglu - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 1387-1400

Persistent link: https://www.econbiz.de/10012815077

Climate policy uncertainty and world renewable energy index volatility forecasting

Liang, Chao; Umar, Muhammad; Ma, Feng; Toan Luu Duc Huynh - In: Technological forecasting & social change : an … 182 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013449113

The role of model bias in predicting volatility : evidence from the US equity markets

Li, Yan; Luo, Lian; Liang, Chao; Ma, Feng - In: China finance review international 13 (2023) 1, pp. 140-155

Persistent link: https://www.econbiz.de/10014312248

Forecasting stock index price using the CEEMDAN-LSTM model

Lin, Yu; Yan, Yan; Xu, Jiali; Liao, Ying; Ma, Feng - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012822188

Cross-sectional uncertainty and stock market volatility : new evidence

Lu, Fei; Ma, Feng - In: Finance research letters 57 (2023), pp. 1-7

Persistent link: https://www.econbiz.de/10014513322

Liquidity and realized covariance forecasting : a hybrid method with model uncertainty

Qiao, Gaoxiu; Cao, Yangli; Ma, Feng; Li, Weiping - In: Empirical economics : a quarterly journal of the … 64 (2023) 1, pp. 437-463

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Financial risk management innovation in global commodity futures markets : a macroeconomic attention perspective

Lu, Xinjie; Ma, Feng; Guo, Qiang; Wang, Tianyang - In: Pacific-Basin finance journal 92 (2025), pp. 1-16

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Transaction costs, trading volume and momentum strategies

Li, Xiafei; Brooks, Chris; Miffre, Joëlle - In: The journal of trading 5 (2010) 1, pp. 66-81

Persistent link: https://www.econbiz.de/10003931735

Transaction Costs, Trading Volume and Momentum Strategies

Li, Xiafei - 2019

This study considers the relationship between trading volumes, transactions costs, and the profitability of momentum strategies using data from the UK. We demonstrate that round-trip transactions costs for selling loser firms are around double those of buying winners, and in particular, the...

Persistent link: https://www.econbiz.de/10012906245