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A novel estimation of time-varying quantile correlation for financial contagion detection

Ye, Wuyi; Li, Mingge; Wu, Yuehua - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-24

Persistent link: https://www.econbiz.de/10014225731

Do intraday data contain more information for volatility forecasting? : evidence from the Chinese commodity futures market

Jiang, Ying; Liu, Xiaoquan; Ye, Wuyi - In: Applied economics letters 22 (2015) 1/3, pp. 218-222

Persistent link: https://www.econbiz.de/10010481970

Macroeconomic forecasts and commodity futures volatility

Ye, Wuyi; Guo, Ranran; Deschamps, Bruno; Jiang, Ying; … - In: Economic modelling 94 (2021), pp. 981-994

Persistent link: https://www.econbiz.de/10012695606

Using implied volatility jumps for realized volatility forecasting : evidence from the Chinese market

Ye, Wuyi; Xia, Wenjing; Wu, Bin; Chen, Pengzhan - In: International review of financial analysis 83 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013455131

Jointly forecasting the value-at-risk and expected shortfall of Bitcoin with a regime-switching CAViaR model

Gao, Lingbo; Ye, Wuyi; Guo, Ranran - In: Finance research letters 48 (2022), pp. 1-10

Persistent link: https://www.econbiz.de/10013459321

Intraday VaR : a copula-based approach

Wang, Keli; Liu, Xiaoquan; Ye, Wuyi - In: Journal of empirical finance 74 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014477064

Volatility prediction for the energy sector with economic determinants : evidence from a hybrid model

Wang, Yuejing; Ye, Wuyi; Jiang, Ying; Liu, Xiaoquan - In: International review of financial analysis 92 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014492381

Variance swaps with mean reversion and multi-factor variance

Wu, Bin; Chen, Pengzhan; Ye, Wuyi - In: European journal of operational research : EJOR 315 (2024) 1, pp. 191-212

Persistent link: https://www.econbiz.de/10014562821

Does the asymmetric dependence volatility affect risk spillovers between the crude oil market and BRICS stock markets?

Jiang, Kunliang; Ye, Wuyi - In: Economic modelling 117 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10014229176

Liquidity, Volatility, and Their Spillover in Stock Market

Wuyi, YE; Wang, Keli; Liu, Xiaoquan - 2023

This work models the spillover of liquidity and volatility and their joint dynamics in the Chinese stock market. Methodologically, we implement a copula-based vector multiplicative error model for sectors. Utilizing intraday data from 2014 to 2022, our empirical analysis reveals strong...

Persistent link: https://www.econbiz.de/10014353327

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