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Modeling the co-movements between crude oil and refined petroleum markets

Tong, Bin; Wu, Chongfeng; Zhou, Chunyang - In: Energy economics 40 (2013), pp. 882-898

Persistent link: https://www.econbiz.de/10010356014

Dynamic portfolio allocation with time-varying jump risk

Zhou, Chunyang; Wu, Chongfeng; Wang, Yudong - In: Journal of empirical finance 50 (2019), pp. 113-124

Persistent link: https://www.econbiz.de/10012169946

Time-varying asymmetric tail dependence of international equities markets

Zhou, Chunyang; Qin, Xiao - In: Pacific-Basin finance journal 68 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013332425

Delta-hedged gains of SSE 50 ETF options

Li, Xiaoping; Zhou, Chunyang; Huang, Wei - In: Applied economics letters 29 (2022) 20, pp. 1864-1867

Persistent link: https://www.econbiz.de/10013412320

Tobin tax, carry trade, and the exchange rate dynamics

Li, Xiaoping; Zhou, Chunyang - In: Computational economics 63 (2024) 4, pp. 1627-1647

Persistent link: https://www.econbiz.de/10014549140

A closed-form solution for spot volatility from options under limited data

Zhang, Aoran; Zhou, Chunyang - In: Finance research letters 67 (2024) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10015062164

Heterogeneous trading of option implied volatility

Li, Xiaoping; Zhou, Chunyang; Huang, Wei - In: Applied economics 55 (2023) 9, pp. 990-998

Persistent link: https://www.econbiz.de/10013498968

Time-Varying Asymmetric Tail Dependence of International Equities Markets

Zhou, Chunyang; Qin, Xiao - 2022

In this paper, we use the skewed t copula with a DCC (Dynamic Conditional Correlation) model to capture the time-varying asymmetric tail dependence among MSCI US, Europe and Emerging markets. The empirical results show that it is important to take account of asymmetric tail dependence when...

Persistent link: https://www.econbiz.de/10014239631

Dynamic asset allocation with jump risk

Xu, Weidong; Wu, Chongfeng; Xu, Weijun; Li, Hongyi - In: Journal of risk 12 (2009/10) 3, pp. 29-44

Persistent link: https://www.econbiz.de/10003970172

Oil price shocks and stock market activities : evidence from oil-importing and oil-exporting countries

Wang, Yudong; Wu, Chongfeng; Li, Yang - In: Journal of comparative economics : the journal of the … 41 (2013) 4, pp. 1220-1239

Persistent link: https://www.econbiz.de/10010227914