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VIX forecasting and variance risk premium : a new GARCH approach
Liu, Qiang; Guo, Shuxin; Qiao, Gaoxiu - In: The North American journal of economics and finance : a … 34 (2015), pp. 314-322
Persistent link: https://www.econbiz.de/10011540131
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Cross-sectional seasonalities and seasonal reversals : evidence from China
Guo, Shuxin; Yuan, Yue; Ma, Feng - In: International review of financial analysis 82 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013426257
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Estimation of spot volatility with superposed noisy data
Liu, Qiang; Liu, Yiqi; Liu, Zhi; Wang, Li - In: The North American journal of economics and finance : a … 44 (2018), pp. 62-79
Persistent link: https://www.econbiz.de/10012036296
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Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang; Liu, Zhi - In: Journal of financial econometrics 20 (2022) 4, pp. 612-654
Persistent link: https://www.econbiz.de/10013349148
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Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Liu, Qiang; Liu, Zhi - In: The econometrics journal 27 (2024) 2, pp. 278-298
Persistent link: https://www.econbiz.de/10015046377