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Realized skewness and the short-term predictability for aggregate stock market volatility

Zhang, Zhikai; He, Mengxi; Zhang, Yaojie; Wang, Yudong - In: Economic modelling 103 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013163911

The predictive effect of risk aversion on oil returns under different market conditions

Xiao, Jihong; Wang, Yudong; Wen, Danyan - In: Energy economics 126 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014483433

The Predictive Effect of Risk Aversion on Oil Returns Under Different Market Conditions

Xiao, Jihong; Wang, Yudong; Wen, Danyan - 2022

This paper uses a new risk aversion index to investigate the predictive effect of risk aversion on oil returns under different market conditions. Moreover, we assess whether the US partisan conflict shapes the prediction of risk aversion for oil returns. Based on the quantile regressions of oil...

Persistent link: https://www.econbiz.de/10014264773

Out-of-sample volatility prediction : rolling window, expanding window, or both?

Feng, Yuqing; Zhang, Yaojie; Wang, Yudong - In: Journal of forecasting 43 (2024) 3, pp. 567-582

Persistent link: https://www.econbiz.de/10014532353

Forecasting stock market volatility : the sum of the parts is more than the whole

Gao, Shang; Zhang, Zhikai; Wang, Yudong; Zhang, Yaojie - In: Finance research letters 55 (2023) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10014473040

Predicting stock realized variance based on an asymmetric robust regression approach

Zhang, Yaojie; He, Mengxi; Zhao, Yuqi; Hao, Xianfeng - In: Bulletin of economic research 75 (2023) 4, pp. 1022-1047

Persistent link: https://www.econbiz.de/10014435626

Forecasting the stock risk premium : a new statistical constraint

Hao, Xianfeng; Wang, Yudong - In: Journal of forecasting 42 (2023) 7, pp. 1805-1822

Persistent link: https://www.econbiz.de/10014432771

Forecasting energy market volatility using GARCH models : can multivariate models beat univariate models?

Wang, Yudong; Wu, Chongfeng - In: Energy economics 34 (2012) 6, pp. 2167-2181

Persistent link: https://www.econbiz.de/10009688795

What can we learn from the history of gasoline crack spreads? : long memory, structural breaks and modeling implications

Wang, Yudong; Wu, Chongfeng - In: Economic modelling 29 (2012) 2, pp. 349-360

Persistent link: https://www.econbiz.de/10009536826

Hedging with futures : does anything beat the naïve hedging strategy?

Wang, Yudong; Wu, Chongfeng; Li, Yang - In: Management science : journal of the Institute for … 61 (2015) 12, pp. 2870-2889

Persistent link: https://www.econbiz.de/10011413497