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Forecasting exchange rate volatility using high-frequency data : is the euro different?

Chortareas, Georgios E.; Jiang, Ying; Nankervis, John C. - In: International journal of forecasting 27 (2011) 4, pp. 1089-1107

Persistent link: https://www.econbiz.de/10009316871

Bank of Japan interventions and the volatility of the dollar/yen exchange rate

Chortareas, Georgios E.; Jiang, Ying - In: Credit and capital markets : Kredit und Kapital 50 (2017) 1, pp. 25-36

Persistent link: https://www.econbiz.de/10011944017

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

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

Spurious long memory, uncommon breaks and the implied-realized volatility puzzle

Kellard, Neil M.; Jiang, Ying; Wohar, Mark E. - In: Journal of international money and finance 56 (2015), pp. 36-54

Persistent link: https://www.econbiz.de/10011477872

Volatility forecasting in the Chinese commodity futures market with intraday data

Jiang, Ying; Ahmed, Shamim; Liu, Xiaoquan - In: Review of quantitative finance and accounting 48 (2017) 4, pp. 1123-1173

Persistent link: https://www.econbiz.de/10011797006

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

The impact of US macroeconomic news announcements on Chinese commodity futures

Cai, Haidong; Ahmed, Shamim; Jiang, Ying; Liu, Xiaoquan - In: Quantitative finance 20 (2020) 12, pp. 1927-1966

Persistent link: https://www.econbiz.de/10012313529

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

Financial uncertainty and stock market volatility

Jiang, Ying; Liu, Xiaoquan; Lu, Zhenyu - In: European financial management : the journal of the … 30 (2024) 3, pp. 1618-1667

Persistent link: https://www.econbiz.de/10014574142