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Evolutionary patterns of onshore and offshore Renminbi exchange rates with convexity-concavity indicators

Zhang, Qun; Sornette, Didier; Han, Liyan - In: Quantitative finance 22 (2022) 2, pp. 367-384

Persistent link: https://www.econbiz.de/10013167760

Modeling and forecasting the multivariate realized volatility of financial markets with time-varying sparsity

Luo, Jiawen; Chen, Langnan - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 2, pp. 392-408

Persistent link: https://www.econbiz.de/10012211461

On realized volatility of crude oil futures markets : forecasting with exogenous predictors under structural breaks

Luo, Jiawen; Ji, Qiang; Klein, Tony; Todorova, Neda; … - In: Energy economics 89 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012517048

Volatility dependences of stock markets with structural breaks

Luo, Jiawen; Chen, Langnan - In: The European journal of finance 24 (2018) 17, pp. 1727-1753

Persistent link: https://www.econbiz.de/10012259100

Realized volatility forecast of financial futures using time-varying HAR latent factor models

Luo, Jiawen; Chen, Zhenbiao; Wang, Shengquan - In: Journal of management science and engineering 8 (2023) 2, pp. 214-243

We forecast realized volatilities by developing a time-varying heterogeneous autoregressive (HAR) latent factor model with dynamic model average (DMA) and dynamic model selection (DMS) approaches. The number of latent factors is determined using Chan and Grant's (2016) deviation information...

Persistent link: https://www.econbiz.de/10014315947