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Volatility spillover around price limits in an emerging market

Aktas, Osman Ulas; Kryzanowski, Lawrence; Zhang, Jie - In: Finance research letters 39 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012805352

Price-limit effectiveness : evidence from the Borsa Istanbul (BIST)

Aktas, Osman Ulas; Kryzanowski, Lawrence; Zhang, Jie - In: International journal of Islamic and Middle Eastern … 15 (2022) 3, pp. 527-568

Persistent link: https://www.econbiz.de/10013337957

Forecasting volatility in the Chinese stock market under model uncertainty

Li, Yong; Huang, Wei-ping; Zhang, Jie - In: Economic modelling 35 (2013), pp. 231-234

Persistent link: https://www.econbiz.de/10010259459

Testing for a unit root in the presence of stochastic volatility and leverage effect

Li, Yong; Chong, Terence Tai-Leung; Zhang, Jie - In: Economic modelling 29 (2012) 5, pp. 2035-2038

Persistent link: https://www.econbiz.de/10009666985

An efficient stochastic simulation algorithm for Bayesian unit root testing in stochastic volatility models

Li, Yong; Ni, Zhongxin; Zhang, Jie - In: Computational economics 37 (2011) 3, pp. 237-248

Persistent link: https://www.econbiz.de/10008902927

Do market timing hedge funds time the market?

Chen, Yong; Liang, Bing - In: Journal of financial and quantitative analysis : JFQA 42 (2007) 4, pp. 827-856

Persistent link: https://www.econbiz.de/10003586786

Dissecting real exchange rate fluctuations in China

Chen, Yong; Liu, Dingming - In: Emerging markets finance & trade : a journal of the … 54 (2018) 1/2/3, pp. 288-306

Persistent link: https://www.econbiz.de/10012122877

Research on the efficacy of the iVIX index based on VIX pricing

Huang, Wenli; Zhang, Nan; Chen, Yong; Xu, Yueling - In: Emerging markets, finance & trade : a journal of the … 60 (2024) 8, pp. 1670-1690

Persistent link: https://www.econbiz.de/10014567103

Diversification and Financialization in Commodity Markets : Evidence from Commodity Trading Advisors

Chen, Yong - 2019

We examine commodity trading advisors (CTAs) to understand the causes and consequences of the financialization of commodity markets. We find that CTAs can hedge against stock market tail risk and that CTAs with better hedging properties attract more investor flows. Meanwhile, the aggregate CTA...

Persistent link: https://www.econbiz.de/10012897343

Volatility spillovers between the Chinese and world equity markets

Zhou, Xiangyi; Zhang, Weijin; Zhang, Jie - In: Pacific-Basin finance journal 20 (2012) 2, pp. 247-270

Persistent link: https://www.econbiz.de/10009488273