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Dynamic asset allocation with jump risk

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A jump-diffusion approach to modelling vulnerable option pricing

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Robust general equilibrium under stochastic volatility model

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Stock market interactions driven by large declines

Ma, Yong; Zhang, Weiguo; Zhang, Zhengjun; Xu, Weidong - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 159-171

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Volatility forecasting : the role of lunch-break returns, overnight returns, trading volume and leverage effects

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Pricing vulnerable options with jump clustering

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Chinese stock market volatility and the role of U.S. economic variables

Chen, Jian; Jiang, Fuwei; Li, Hongyi; Xu, Weidong - In: Pacific-Basin finance journal 39 (2016), pp. 70-83

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Forecasting bull and bear markets : evidence from China

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Chinese Stock Market Volatility and the Role of U.S. Economic Variables

Chen, Jian - 2017

This paper investigates the effects of U.S. economic variables on the time variation of Chinese stock market volatility. We find that several U.S. economic variables such as the dividend price ratio, dividend yield and industrial production strongly forecast the future monthly volatilities of...

Persistent link: https://www.econbiz.de/10012969357

Is China the price taker in soybean futures?

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