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Modeling dynamic conditional correlations with leverage effects and volatility spillover effects : evidence from the Chinese and US stock markets affected by the recent trade friction

Pan, Qunxing; Mei, Xiaowen; Gao, Tianqing - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013413579

Changes in volatility leverage and spillover effects of crude oil futures markets affected by the 2022 Russia-Ukraine conflict

Pan, Qunxing; Sun, Yujia - In: Finance research letters 58 (2023) 2, pp. 1-9

Persistent link: https://www.econbiz.de/10014583950

Changes in Volatility Leverage and Spillover Effects of Crude Oil Futures Markets Affected by the 2022 Russia-Ukraine Conflict

Pan, Qunxing; Sun, Yujia - 2023

We investigate the changes in volatility leverage and spillover effects of three crude oil futures markets—WTI, Brent, and Oman—under the 2022 Russia-Ukraine conflict. We find that this conflict eliminates the regular leverage effect in WTI and Brent markets, slightly increases and...

Persistent link: https://www.econbiz.de/10014353169

Correlation shrinkage : implications for risk forecasting

Menchero, Jose; Li, Peng - In: Journal of investment management : JOIM 18 (2020) 3, pp. 92-108

Persistent link: https://www.econbiz.de/10012589102

What can explain momentum? : evidence from decomposition

Guo, Jiaqi; Li, Peng; Li, Youwei - In: Management science : journal of the Institute for … 68 (2022) 8, pp. 6184-6218

Persistent link: https://www.econbiz.de/10013372945