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Identifying the risk-return tradeoff and exploring the dynamic risk exposure of country portfolio of the FSU's oil economies

Sun, Xiaolei; Li, Jianping; Tang, Ling; Wu, Dengsheng - In: Economic modelling 29 (2012) 6, pp. 2494-2503

Persistent link: https://www.econbiz.de/10009673674

Assessing the extreme risk spillovers of international commodities on maritime markets: a GARCH-Copula-CoVaR approach

Sun, Xiaolei; Liu, Chang; Wang, Jun; Li, Jianping - In: International review of financial analysis 68 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012301025

Financial stress dynamics in China : an interconnectedness perspective

Yao, Xiaoyang; Le, Wei; Sun, Xiaolei; Li, Jianping - In: International review of economics & finance : IREF 68 (2020), pp. 217-238

Persistent link: https://www.econbiz.de/10012486361

How do sovereign credit default swap spreads behave under extreme oil price movements? : evidence from G7 and BRICS countries

Wang, Jun; Sun, Xiaolei; Li, Jianping - In: Finance research letters 34 (2020), pp. 1-10

Persistent link: https://www.econbiz.de/10012438125

Dynamic interaction between economic policy uncertainty and financial stress : a multi-scale correlation framework

Sun, Xiaolei; Yao, Xiaoyang; Wang, Jun - In: Finance research letters 21 (2017), pp. 214-221

Persistent link: https://www.econbiz.de/10011807788

Dynamic spillover effect between oil prices and economic policy uncertainty in bric countries : a wavelet-based approach

Chen, Xiuwen; Sun, Xiaolei; Wang, Jun - In: Emerging markets, finance & trade : a journal of the … 55 (2019) 12, pp. 2703-2717

Persistent link: https://www.econbiz.de/10012211021

Linear and nonlinear Granger causality investigation between carbon market and crude oil market : a multi-scale approach

Yu, Lean; Li, Jingjing; Tang, Ling; Wang, Shuai - In: Energy economics 51 (2015), pp. 300-311

Persistent link: https://www.econbiz.de/10011564853

Predicting natural gas futures' volatility using climate risks

Guo, Kun; Liu, Fengqi; Sun, Xiaolei; Zhang, Dayong; Ji, … - In: Finance research letters 55 (2023) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10014473296

Calibration of Stochastic Volatility Models : An Optimal Control Approach

Dai, Min - 2012

We aim to calibrate stochastic volatility models from option prices. We develop an optimal control approach to recover the risk neutral drift term of stochastic volatility. An efficient numerical algorithm is given. Numerical results and empirical studies are presented to demonstrate our...

Persistent link: https://www.econbiz.de/10013110342

Calibration of stochastic volatility models : a Tikhonov regularization approach

Dai, Min; Tang, Ling; Yue, Xingye - In: Journal of economic dynamics & control 64 (2016), pp. 66-81

Persistent link: https://www.econbiz.de/10011708221