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Can asymmetry, long memory, and current return information improve crude oil volatility prediction? : evidence from ASHARV-MIDAS model
Chen, Zhenlong; Liu, Junjie; Hao, Xiaozhen - In: Finance research letters 64 (2024), pp. 1-8
Persistent link: https://www.econbiz.de/10014531739
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Portfolio selection via high-dimensional stochastic factor Copula
Chen, Zhenlong; Chang, Jing; Hao, Xiaozhen - In: Finance research letters 67 (2024) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10015061465
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A unit root test against globally stationary ESTAR models when local condition is non-stationary
Hu, Junjuan; Chen, Zhenlong - In: Economics letters 146 (2016), pp. 89-94
Persistent link: https://www.econbiz.de/10011619120
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A RGARCH-CARR-SK model : a new high-frequency volatility forecasting and risk measurement model based on dynamic higher moments and generalized realized measures
Liu, Junjie; Zhou, Qingnan; Chen, Zhenlong - 2025
Persistent link: https://www.econbiz.de/10015374491