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Non-linear characteristics and long-range correlations in Asian stock markets

Jiang, J.; Ma, K.; Cai, X. - In: Physica A: Statistical Mechanics and its Applications 378 (2007) 2, pp. 399-407

We test several non-linear characteristics of Asian stock markets, which indicates the failure of efficient market hypothesis and shows the essence of fractal of the financial markets. In addition, by using the method of detrended fluctuation analysis (DFA) to investigate the long range...

Persistent link: https://www.econbiz.de/10010590109

Joint extreme risk of energy prices-evidence from European energy markets

Sun, Yiqun; Ji, Hao; Cai, Xiurong; Li, Jiangchen - In: Finance research letters 56 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014473608

Currency portfolios and global foreign exchange ambiguity

Asano, Takao; Cai, Xiaojing; Sakemoto, Ryuta - In: Finance research letters 65 (2024), pp. 1-7

Persistent link: https://www.econbiz.de/10014563739

Daily institutional trades and stock price volatility in a retail investor dominated emerging market

Li, Wei; Wang, Steven Shuye - In: Journal of financial markets 13 (2010) 4, pp. 422-447

Persistent link: https://www.econbiz.de/10009262099

Volatilities implied by price changes in the S&P 500 options and futures contracts

Hilliard, Jitka; Li, Wei - In: Review of quantitative finance and accounting 42 (2014) 4, pp. 599-626

Persistent link: https://www.econbiz.de/10010431376

Market structure, fragmentation, and market quality

Bennett, Paul; Li, Wei - In: Journal of financial markets 9 (2006) 1, pp. 49-78

Persistent link: https://www.econbiz.de/10003289965

The impact of H-share derivatives on the underlying equity market

Wang, Steven Shuye; Li, Wei; Cheng, Louis T. W. - In: Review of quantitative finance and accounting 32 (2009) 3, pp. 235-267

Persistent link: https://www.econbiz.de/10003846977

Market structure, fragmentation, and market quality

Li, Wei; Bennett, Paul - 2005

Persistent link: https://www.econbiz.de/10003279240

Modeling multivariate volatilities via latent common factors

Li, Weiming; Gao, Jing; Li, Kunpeng; Yao, Qiwei - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 564-573

Persistent link: https://www.econbiz.de/10011692411

Asset returns in deep learning methods : an empirical analysis on SSE 50 and CSI 300

Li, Weiping; Mei, Feng - In: Research in international business and finance 54 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012581422