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Can asymmetry, long memory, and current return information improve crude oil volatility prediction? : evidence from ASHARV-MIDAS model

Chen, Zhenlong; Liu, Junjie; Hao, Xiaozhen - In: Finance research letters 64 (2024), pp. 1-8

Persistent link: https://www.econbiz.de/10014531739

Can the "good-bad" volatility and the leverage effect improve the prediction of cryptocurrency volatility? : evidence from SHARV-MGJR model

Chen, Zhenlong; Liu, Junjie; Hao, Xiaozhen - In: Finance research letters 67 (2024) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10015061457

Volatility spillover effect between internet finance and banks

Chen, Zhenlong; Zheng, Changmei; Hao, Xiaozhen - In: Journal of business research : JBR 141 (2022), pp. 512-519

Persistent link: https://www.econbiz.de/10013167990

A RGARCH-CARR-SK model : a new high-frequency volatility forecasting and risk measurement model based on dynamic higher moments and generalized realized measures

Liu, Junjie; Zhou, Qingnan; Chen, Zhenlong - 2025

Persistent link: https://www.econbiz.de/10015374491

Volatility Spillover Effect between Internet Finance and Banks in China

Chen, Zhenlong; Zheng, Changmei; Hao, Xiaozhen - 2021

With the rapid formation of cooperative relationship between Internet finance and traditional banks, it opens up the channels of volatility spillover between them. We study the direction of volatility spillover between Internet finance and banks by the Diebold-Yilmaz volatility spillover index...

Persistent link: https://www.econbiz.de/10013223415