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Nonparametric estimation of structural change points in volatility models for time series
Chen, Gong-meng; Choi, Yoon K.; Zhou, Yong - In: Journal of econometrics 126 (2005) 1, pp. 79-114
Persistent link: https://www.econbiz.de/10002538638
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A varying-coefficient expectile model for estimating value at risk
Xie, Shangyu; Zhou, Yong; Wan, Alan T. K. - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 4, pp. 576-592
Persistent link: https://www.econbiz.de/10010488423
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Forecasting crude oil volatility and stock volatility : new evidence from the quantile autoregressive model
Chen, Yan; Zhang, Lei; Zhang, Feipeng - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10015135066
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The asymmetric effect of G7 stock market volatility on predicting oil price volatility : evidence from quantile autoregression model
Zhang, Feipeng; Gao, Hongfu; Yuan, Di - In: Journal of commodity markets : JCM 35 (2024), pp. 1-17
Persistent link: https://www.econbiz.de/10015077268
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Time-varying causality impact of economic policy uncertainty on stock market returns : global evidence from developed and emerging countries
Hong, Yun; Zhang, Rushan; Zhang, Feipeng - In: International review of financial analysis 91 (2024), pp. 1-27
Persistent link: https://www.econbiz.de/10014446987
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Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment
Zhang, Feipeng; Xu, Yixiong; Fan, Caiyun - In: International review of financial analysis 90 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014469910
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Forecasting exchange rate markets' volatility of G7 countries : will stock market volatility help?
Zhang, Feipeng; Zhang, Zhao - In: Applied economics letters 30 (2023) 7, pp. 991-999
Persistent link: https://www.econbiz.de/10014303619
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Volatility analysis with realized GARCH-Itô models
Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; … - In: Journal of econometrics 222 (2021) 1,2, pp. 393-410
Persistent link: https://www.econbiz.de/10012619433