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The estimation of implied volatility from the black-scholes model : some new formulas and their applications

Li, Steven - 2003

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Modeling the distribution of extreme returns in the Chinese stock market

Hussain, Saiful Izzuan; Li, Steven - In: Journal of international financial markets, … 34 (2015), pp. 263-276

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Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches

Yang, Ke; Tian, Fengping; Chen, Langnan; Li, Steven - In: International review of economics & finance : IREF 49 (2017), pp. 276-291

Persistent link: https://www.econbiz.de/10011748442

Information transmission between U.S. and China index futures markets : an asymmetric DCC GARCH approach

Hou, Yang; Li, Steven - In: Economic modelling 52 (2016), pp. 884-897

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Volatility behaviour of stock index futures in China : a bivariate GARCH approach

Hou, Yang; Li, Steven - In: Studies in economics and finance 32 (2015) 1, pp. 128-154

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Volatility and skewness spillover between stock index and stock index futures markets during a crash period : new evidence from China

Hou, Yang; Li, Steven - In: International review of economics & finance : IREF 66 (2020), pp. 166-188

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Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach

Hou, Yang; Li, Steven; Wen, Fenghua - In: Energy economics 83 (2019), pp. 119-143

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The relationship between implied and realized volatility: evidence from the Australian stock index option market

Li, Steven; Yang, Qianqian - In: Review of quantitative finance and accounting 32 (2009) 4, pp. 405-419

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What Types of Events Provide the Strongest Evidence that the Stock Market is Affected by Company Specific News?

Wolff, Rodney C; Robertson, C.S.; Geva, S. - School of Economics and Finance, Business School - 2006

The efficient market hypothesis states that an efficient market immediately incorporates all available information into the price of the traded entity. It is well established that the stock market is not an efficient market as it consists of numerous traders with differing strategies and...

Persistent link: https://www.econbiz.de/10008694528

Does Company Specific News Effect the US, UK, and Australian Markets within 60 minutes?

Wolff, Rodney C; Robertson, C.S.; Geva, S. - School of Economics and Finance, Business School - 2006

The efficient market hypothesis states that an efficient market rapidly incorporates all available information into the price of the asset. It has been well established that no market, particularly the stock market, is truly efficient as there are too many traders with differing strategies, and...

Persistent link: https://www.econbiz.de/10008694536