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How predictable are equity covariance matrices? : evidence from high-frequency data for four markets
Buckle, Michael J.; Chen, Jing; Williams, Julian - In: Journal of forecasting 33 (2014) 7, pp. 542-557
Persistent link: https://www.econbiz.de/10011282861
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Realised higher moments : theory and practice
Buckle, Michael J.; Chen, Jing; Williams, Julian M. - In: The European journal of finance 22 (2016) 13/15, pp. 1272-1291
Persistent link: https://www.econbiz.de/10011715418
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Do ETFs lead the price moves? : evidence from the major US markets
Buckle, Michael J.; Chen, Jing; Guo, Qian; Tong, Chen - In: International review of financial analysis 58 (2018), pp. 91-103
Persistent link: https://www.econbiz.de/10012006416