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Volatility Modeling and Prediction : The Role of Price Impact

Jiang, Ying - 2018

In this paper, we are interested in exploring the role of price impact, derived from the order book, in modeling and predicting stock volatility. This is motivated by the microstructure literature that focuses on the mechanics of price formation and its relevance to market quality. Using a...

Persistent link: https://www.econbiz.de/10012913968

A neural network enhanced volatility component model

Zhai, Jia; Cao, Yi; Liu, Xiaoquan - In: Quantitative finance 20 (2020) 5, pp. 783-797

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Volatility modeling and prediction : the role of price impact

Jiang, Ying; Cao, Yi; Liu, Xiaoquan; Zhai, Jia - In: Quantitative finance 19 (2019) 12, pp. 2015-2031

Persistent link: https://www.econbiz.de/10015123062

Investor sentiment and value and growth stock index options

Coakley, Jerry; Dotsis, George; Liu, Xiaoquan; Zhai, Jia - In: The European journal of finance 20 (2014) 10/12, pp. 1211-1229

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Wavelet-based option pricing : an empirical study

Liu, Xiaoquan; Cao, Yi; Ma, Chenghu; Shen, Liya - In: European journal of operational research : EJOR 272 (2019) 3, pp. 1132-1142

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The financial interconnectedness between global equity markets and crude oil : evidence from the GCC

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Forecasting stock volatility during the stock market crash period : the role of Hawkes process

Fan, Lina; Yang, Hao; Zhai, Jia; Zhang, Xiaotao - In: Finance research letters 55 (2023) 1, pp. 1-9

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Volatility forecasting with Hybrid-long short-term memory models : evidence from the COVID-19 period

Yang, Ao; Ye, Qing; Zhai, Jia - In: International journal of finance & economics : IJFE 29 (2024) 3, pp. 2766-2786

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Bid-ask spread, strike prices and risk-neutral densities

Liu, Xiaoquan - In: Applied financial economics 17 (2007) 10/12, pp. 887-900

Persistent link: https://www.econbiz.de/10003538047

Forecasting stock return volatility : realized volatility-type or duration-based estimators

Fei, Tianlun; Liu, Xiaoquan; Wen, Conghua - In: Journal of forecasting 42 (2023) 7, pp. 1594-1621

Persistent link: https://www.econbiz.de/10014432725