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Trading volume and realized volatility forecasting : evidence from the China stock market

Liu, Min; Choo, Wei Chong; Lee, Chi-Chuan; Lee, Chien-Chiang - In: Journal of forecasting 42 (2023) 1, pp. 76-100

Persistent link: https://www.econbiz.de/10013465763

Real-Time Forecast of DSGE Models with Time-Varying Volatility in GARCH Form

ÇEKİN, S. Emre; Ivashchenko, Sergey; Gupta, Rangan; … - 2023

Recent research shows that time-varying volatility plays a crucial role in nonlinear modeling. Contributing to this literature, we suggest a DSGE-GARCH approach that allows for straightforward computation of DSGE models with time-varying volatility, where the volatility component is formulated...

Persistent link: https://www.econbiz.de/10014355460

The dynamic correlation between China's policy uncertainty and the crude oil market : a time-varying analysis

Wang, En-Ze; Lee, Chien-Chiang - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 3, pp. 692-709

Persistent link: https://www.econbiz.de/10012821599

The relationship between spot and futures oil prices : do structural breaks matter?

Chen, Pei-fen; Lee, Chien-Chiang; Zeng, Jhih-hong - In: Energy economics 43 (2014), pp. 206-217

Persistent link: https://www.econbiz.de/10010504823

Volatility forecast of country ETF : the sequential information arrival hypothesis

Tseng, Tseng-Chan; Lee, Chien-Chiang; Chen, Mei-Ping - In: Economic modelling 47 (2015), pp. 228-234

Persistent link: https://www.econbiz.de/10011439071

Do oil spot and futures prices move together?

Chang, Chun Ping; Lee, Chien-Chiang - In: Energy economics 50 (2015), pp. 379-390

Persistent link: https://www.econbiz.de/10011564138

Housing price-volume correlations and boom-bust cycles

Lee, Chien-Chiang; Wang, Chin-yu; Zeng, Jhih-hong - In: Empirical economics : a journal of the Institute for … 52 (2017) 4, pp. 1423-1450

Persistent link: https://www.econbiz.de/10011944985

The effects of U.S. unconventional monetary policy on Asian stock markets

Lee, Chien-Chiang; Chen, Mei-Ping; Huang, Chun-Chie - In: The Singapore economic review : journal of the Economic … 65 (2020) 4, pp. 917-945

Persistent link: https://www.econbiz.de/10012509364

The role of high-frequency data in volatility forecasting : evidence from the China stock market

Liu, Min; Lee, Chien-Chiang; Choo, Wei Chong - In: Applied economics 53 (2021) 22, pp. 2500-2526

Persistent link: https://www.econbiz.de/10012501284

Dynamic spillovers and connectedness between oil returns and policy uncertainty

Wang, En-Ze; Lee, Chien-Chiang - In: Applied economics 52 (2020) 35, pp. 3788-3808

Persistent link: https://www.econbiz.de/10012258981