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Realized volatility forecast of stock index under structural breaks
Yang, Ke; Chen, Langnan; Tian, Fengping - In: Journal of forecasting 34 (2015) 1, pp. 57-82
Persistent link: https://www.econbiz.de/10011305343
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Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches
Yang, Ke; Tian, Fengping; Chen, Langnan; Li, Steven - In: International review of economics & finance : IREF 49 (2017), pp. 276-291
Persistent link: https://www.econbiz.de/10011748442
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Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity
Tian, Fengping; Yang, Ke; Chen, Langnan - In: International journal of forecasting 33 (2017) 1, pp. 132-152
Persistent link: https://www.econbiz.de/10011754691
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Realized volatility forecast : structural breaks, long memory, asymmetry, and day-of-the-week effect
Yang, Ke; Chen, Langnan - In: International review of finance 14 (2014) 3, pp. 345-392
Persistent link: https://www.econbiz.de/10011569547
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Forecasting crude oil volatility using the deep learning-based hybrid models with common factors
Yang, Ke; Hu, Nan; Tian, Fengping - 2024
Persistent link: https://www.econbiz.de/10015110666
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A quasi-analytical pricing model for arithmetic Asian options
Sun, Jianqiang; Chen, Langnan; Li, Shiyin - In: The journal of futures markets 33 (2013) 12, pp. 1143-1166
Persistent link: https://www.econbiz.de/10010209081
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Modeling and forecasting the multivariate realized volatility of financial markets with time-varying sparsity
Luo, Jiawen; Chen, Langnan - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 2, pp. 392-408
Persistent link: https://www.econbiz.de/10012211461
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Covariance breakdowns and connectedness of crude oil futures markets with non-synchronous data
Luo, Jiawen; Chen, Langnan; Zhang, Weiguo - In: Applied economics 51 (2019) 5, pp. 422-443
Persistent link: https://www.econbiz.de/10012160576
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Realized volatility forecast with the Bayesian random compressed multivariate HAR model
Luo, Jiawen; Chen, Langnan - In: International journal of forecasting 36 (2020) 3, pp. 781-799
Persistent link: https://www.econbiz.de/10012496859
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Volatility dependences of stock markets with structural breaks
Luo, Jiawen; Chen, Langnan - In: The European journal of finance 24 (2018) 17, pp. 1727-1753
Persistent link: https://www.econbiz.de/10012259100