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Forecasting bull and bear markets : evidence from China

Yu, Xiaojian; Chen, Zewei; Xu, Weidong; Fu, Junhui - In: Emerging markets finance & trade : a journal of the … 53 (2017) 7/8/9, pp. 1720-1733

Persistent link: https://www.econbiz.de/10011824719

Optimal quantile hedging under Markov regime switching

Lien, Da-hsiang Donald; Wang, Ziling; Yu, Xiaojian - In: Empirical economics : a quarterly journal of the … 60 (2021) 5, pp. 2177-2201

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Effects of economic policy uncertainty : a regime switching connectedness approach

Lien, Da-hsiang Donald; Zhang, Jiewen; Yu, Xiaojian - In: Economic modelling 113 (2022), pp. 1-12

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Can mutual fund investors benefit from volatility managing? : evidence from China

Zhang, Xili; Zheng, Yiran; Lien, Da-hsiang Donald; Yu, … - In: Pacific-Basin finance journal 83 (2024), pp. 1-19

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The dispersion of beta estimates and the investors’ heterogeneous Belief : evidence from the stock market in China

Hong, Jiawei; Yu, Xiaojian; Xiao, Weilin; Zhang, Xili - In: International review of economics & finance : IREF 79 (2022), pp. 540-550

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The relationship between implied volatility and autocorrelation

Faff, Robert W.; McKenzie, Michael D. - In: International Journal of Managerial Finance 3 (2007) 2, pp. 191-196

Purpose – This paper empirically assesses the determinants of conditional stock index autocorrelation with particular emphasis on the impact of return volatility that are theoretically linked through the behaviour of feedback traders. Design/methodology/approach – The S&P 100, 500 and the...

Persistent link: https://www.econbiz.de/10014785263