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Empirical bias in intraday volatility measures
Fang, Yan; Ielpo, Florian; Sévi, Benoît - In: Finance research letters 9 (2012) 4, pp. 231-237
Persistent link: https://www.econbiz.de/10009689313
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The estimation of implied volatility from the black-scholes model : some new formulas and their applications
Li, Steven - 2003
Persistent link: https://www.econbiz.de/10001746103
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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
Persistent link: https://www.econbiz.de/10011474577
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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
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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
Persistent link: https://www.econbiz.de/10011643072
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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
Persistent link: https://www.econbiz.de/10011380764
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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
Persistent link: https://www.econbiz.de/10012390715
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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
Persistent link: https://www.econbiz.de/10012175247
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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
Persistent link: https://www.econbiz.de/10003873809