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Macroeconomic impacts of oil prices and underlying financial

Chen, Wang; Hamori, Shigeyuki; Kinkyō, Takuji - In: Journal of international financial markets, … 29 (2014), pp. 1-12

Persistent link: https://www.econbiz.de/10010411554

Time-frequency connectedness of crude oil, economic policy uncertainty and Chinese commodity markets : evidence from rolling window analysis

Zhu, Huiming; Chen, Weiyan; Hau, Liya; Chen, Qitong - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012822243

Modeling the joint dynamic value at risk of the volatility index, oil price, and exchange rate

Peng, Wei; Hu, Shichao; Chen, Wang; Zeng, Yu-feng; Yang, Lu - In: International review of economics & finance : IREF 59 (2019), pp. 137-149

Persistent link: https://www.econbiz.de/10012202498

Network structures and idiosyncratic contagion in the European sovereign credit default swap market

Chen, Wang; Ho, Kung-Cheng; Lu, Yang - In: International review of financial analysis 72 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012437342

A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean

He, Xin-Jiang; Chen, Wenting - In: Mathematics and financial economics 15 (2021) 2, pp. 381-396

Persistent link: https://www.econbiz.de/10012500035

Asymmetric multifractal features of the price-volume correlation in China’s gold futures market based on MF-ADCCA

Guo, Yaoqi; Yu, Zhuling; Yu, Chenxi; Cheng, Hui; Chen, … - In: Research in international business and finance 58 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10013287728

Revealing dynamic intrinsic temporal and spatial scale characteristics of oil price volatility in bubble and non-bubble periods

Chen, Weijia; Huang, Shupei; An, Haizhong - In: Finance research letters 55 (2023) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10014473286

On the asymptotic behavior of the optimal exercise price near expiry of an American put option under stochastic volatility

Chen, Wenting; Zhu, Song-Ping - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-19

The behavior of the optimal exercise price of American puts near expiry has been well studied under the Black-Scholes model as a result of a series of publications. However, the behavior of the optimal exercise price under a stochastic volatility model, such as the Heston model, has not been...

Persistent link: https://www.econbiz.de/10013273116

Revealing Dynamic Intrinsic Temporal and Spatial Scale Characteristics of Oil Price Volatility in Bubble and Non-Bubble Periods

Chen, Weijia; Huang, Shupei; An, Haizhong - 2023

This paper is to reveal the dynamic characteristics of crude oil price bubble volatility from intrinsic temporal and spatial scales. For this purpose, volatility series is mapped to the dynamic model described by the Langevin equation. And the Backward Sup Augmented Dickey-Fuller is used to...

Persistent link: https://www.econbiz.de/10014256708