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Analysis of stock markets risk spillover with copula models under the background of Chinese financial opening

Du, Jiangze; Chen, Xizhuo; Gong, Jincheng; Lin, Xiao; … - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 3997-4019

Persistent link: https://www.econbiz.de/10014429264

Forecasting global stock market volatilities : A shrinkage heterogeneous autoregressive (HAR) model with a large cross-market predictor set

Li, Zhao-Chen; Chi, Xie; Wang, Gang-Jin; Zhu, You; … - In: International review of economics & finance : IREF 93 (2024) 2, pp. 673-711

Persistent link: https://www.econbiz.de/10014535603

Spreading of cross-market volatility information : evidence from multiplex network analysis of volatility spillovers

Gong, Jue; Wang, Gang-Jin; Zhou, Yang; Zhu, You; Chi, Xie; … - In: Journal of international financial markets, … 83 (2023), pp. 1-27

Persistent link: https://www.econbiz.de/10014306328

Calibration of implied volatility for the exchange rate for the Chinese Yuan from its derivatives

Liang, Jin; Gao, Y. - In: Economic modelling 29 (2012) 4, pp. 1278-1285

Persistent link: https://www.econbiz.de/10009667379

On a new corporate bond pricing model with potential credit rating change and stochastic interest rate

Yin, Hong-Ming; Liang, Jin; Wu, Yuan - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-12

In this paper, we consider a new corporate bond-pricing model with credit-rating migration risks and a stochastic interest rate. In the new model, the criterion for rating change is based on a predetermined ratio of the corporation’s total asset and debt. Moreover, the rating changes are...

Persistent link: https://www.econbiz.de/10011960410