Similar Search Results

Forecasting oil price volatility using high-frequency data : new evidence

Chen, Wang; Ma, Feng; Wei, Yu; Liu, Jing - In: International review of economics & finance : IREF 66 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012390514

The dependence and risk spillover between crude oil market and China stock market : new evidence from a variational mode decomposition-based copula method

Li, Xiafei; Wei, Yu - In: Energy economics 74 (2018), pp. 565-581

Persistent link: https://www.econbiz.de/10011972926

Forecasting the volatility of crude oil futures using high-frequency data : further evidence

Ma, Feng; Wei, Yu; Chen, Wang; He, Feng - In: Empirical economics : a journal of the Institute for … 55 (2018) 2, pp. 653-678

Persistent link: https://www.econbiz.de/10011949867

Forecasting realized volatility in a changing world : a dynamic model averaging approach

Wang, Yudong; Ma, Feng; Wei, Yu; Wu, Chongfeng - In: Journal of banking & finance 64 (2016), pp. 136-149

Persistent link: https://www.econbiz.de/10011634282

Modeling and forecasting multifractal volatility established upon the heterogeneous market hypothesis

Tao, Qizhi; Wei, Yu; Liu, Jiapeng; Zhang, Ting - In: International review of economics & finance : IREF 54 (2018), pp. 143-153

Persistent link: https://www.econbiz.de/10012033354

Uncertainty and crude oil market volatility : new evidence

Liang, Chao; Wei, Yu; Li, Xiafei; Zhang, Xuhui; Zhang, … - In: Applied economics 52 (2020) 27, pp. 2945-2959

Persistent link: https://www.econbiz.de/10012221463

Do green economy stocks matter for the carbon and energy markets? Evidence of connectedness effects and hedging strategies

Sun, Yingyue; Wei, Yu; Wang, Yizhi - In: China Finance Review International 14 (2024) 4, pp. 666-693

Purpose We phrase our analysis around the connectedness effects and portfolio allocation in the “Carbon-Energy-Green economy” system. Design/methodology/approach This paper utilizes the TVP-VAR method provided by Antonakakis et al . (2020) and Chatziantoniou et al . (2021), and portfolio...

Persistent link: https://www.econbiz.de/10015342004

Forecasting realized range volatility : a regime-switching approach

Ma, Feng; Liu, Li; Liu, Zhichao; Wei, Yu - In: Applied economics letters 22 (2015) 16/18, pp. 1361-1365

Persistent link: https://www.econbiz.de/10011380188

Can GARCH-class models capture long memory in WTI crude oil markets?

Wang, Yudong; Wu, Chongfeng; Wei, Yu - In: Economic modelling 28 (2011) 3, pp. 921-927

Persistent link: https://www.econbiz.de/10009271384

Volatility Spillovers between Oil and Coal Prices and its Implications for Energy Portfolio Management in China

Guo, Yanfeng; Zhao, Huanyu - 2022

In the structure of energy consumption of China, coal and oil rank the top and the second place. It is obviously important to better understand the dynamics of the price volatility between crude oil and coal in China, and then to build a reasonable energy portfolio. As the listing of China’s...

Persistent link: https://www.econbiz.de/10013405224