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Time-Frequency Volatility Transmission Among Energy Commodities and Financial Markets during the COVID-19 Pandemic : A Novel TVP-VAR Frequency Connectedness Approach

Huang, Jionghao; Chen, Baifan; Xu, Yushi; Xia, Xiaohua - 2022

This paper investigates the dynamic volatility spillover among energy commodities and financial markets in pre-and mid-COVID-19 periods by utilizing a novel TVP-VAR frequency connectedness approach and the QMLE-based realized volatility data. Our findings indicate that the volatility spillover...

Persistent link: https://www.econbiz.de/10014239079

Firm-specific sentiment and individual option's implied volatility slope

Chen, Bei; Quan Gan - In: Review of behavioral finance : RBF 15 (2023) 5, pp. 672-693

Persistent link: https://www.econbiz.de/10014340891

Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes

Chen, Bei; Gel, Yulia R.; Balakrishna, N.; Abraham, Bovas - In: Journal of forecasting 30 (2011) 1, pp. 51-71

Persistent link: https://www.econbiz.de/10009233916

The effect of economic policy uncertainty on the long-run correlation between crude oil and the U.S. stock markets

Fang, Libing; Chen, Baizhu; Yu, Honghai; Xiong, Cheng - In: Finance research letters 24 (2018), pp. 56-63

Persistent link: https://www.econbiz.de/10011982466

Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic : a novel TVP-VAR frequency connectedness approach

Huang, Jionghao; Chen, Baifan; Xu, Yushi; Xia, Xiaohua - In: Finance research letters 53 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014472432

Anticipating jumps : Decomposition of straddle price

Chen, Bei; Quan Gan; Vasquez, Aurelio - In: Journal of banking & finance 149 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014462382