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Estimating spot volatility under infinite variation jumps with dependent market microstructure noise Journal article
Liu, Qiang, Liu, Zhi. Estimating spot volatility under infinite variation jumps with dependent market microstructure noise[J]. Econometrics Journal, 2024, 27(2), 278-298.
Authors:  Liu, Qiang;  Liu, Zhi
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:2.9/4.8 | Submit date：2024/07/04
Dependent Market Microstructure Noise  Empirical Characteristic Function  High-frequency Data  Jump Activity  Jumps  Kernel Smoothing  Pre-averaging  Spot Volatility  
Market Sentiment Analysis Based on Image Processing With Put-Call Volatility Gap Surface Journal article
Qi, Yuanyuan, Guo, Guoxiang, Wang, Yang, Yen, Jerome. Market Sentiment Analysis Based on Image Processing With Put-Call Volatility Gap Surface[J]. IEEE Transactions on Computational Social Systems, 2024, 11(1), 267-281.
Authors:  Qi, Yuanyuan;  Guo, Guoxiang;  Wang, Yang;  Yen, Jerome
Favorite | TC[WOS]:2 TC[Scopus]:2  IF:4.5/4.6 | Submit date：2023/01/30
Asset Movement Prediction  Deep Learning  Image Processing  Implied Volatility (Iv)  Market Sentiment  
Margin purchases, short sales and stock return volatility in China: Evidence from the COVID-19 outbreak Journal article
Lin, Yongjia, Wang, Yizhi, Fu, Xiaoqing (Maggie). Margin purchases, short sales and stock return volatility in China: Evidence from the COVID-19 outbreak[J]. Finance Research Letters, 2022, 46, 102351.
Authors:  Lin, Yongjia;  Wang, Yizhi;  Fu, Xiaoqing (Maggie)
Favorite | TC[WOS]:7 TC[Scopus]:8  IF:7.4/7.6 | Submit date：2022/05/13
Chinese Stock Market  Covid-19 Outbreak  Margin Purchases  Short Sales  Volatility Innovation  
Examining stock volatility in the segmented Chinese stock markets: a SWARCH approach Journal article
Zhuo Qiao, Weiwei Qiao, Wing-Keung Wong. Examining stock volatility in the segmented Chinese stock markets: a SWARCH approach[J]. Global Economic Review, 2010, 39(3), 225-246.
Authors:  Zhuo Qiao;  Weiwei Qiao;  Wing-Keung Wong
Favorite | TC[WOS]:6 TC[Scopus]:9  IF:1.9/1.6 | Submit date：2019/11/01
Markov-switching Arch  Chinese Stock Markets  Volatility Spillover  Volatility  Market Segmentation  
Examining the Impact of the U.S. IT Stock Market on Other IT Stock Markets Book chapter
出自: Handbook of Quantitative Finance and Risk Management, Boston, MA:Springer, Boston, MA, 2010, 页码:1283-1291
Authors:  Zhuo Qiao;  Venus Khim-Sen;  Wing-Keung Wong
Favorite | TC[Scopus]:0 | Submit date：2019/11/01
Information Technology  Spillover Effect  Multivariate Garch (mGarch)  Conditional Correlation  It Bubble  Stock Market  Integration  Volatility  
A Markov Regime-Switching Model of Stock Return Volatility: Evidence from Chinese Markets Book chapter
出自: Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, London:Palgrave Macmillan UK, 2010, 页码:49-73
Authors:  Thomas C. Chiang;  Zhuo Qiao;  Wing-Keung Wong
Favorite | TC[Scopus]:1 | Submit date：2019/11/01
Stock Market  Stock Return  Garch Model  Conditional Volatility  Chinese Stock Market  
Do retail options traders know better about market volatility? Journal article
Cheny Chen, Ming-Hua Liu, Hoa Nguyen. Do retail options traders know better about market volatility?[J]. American Journal of Finance and Accounting, 2008, 1(1).
Authors:  Cheny Chen;  Ming-Hua Liu;  Hoa Nguyen
Favorite | TC[Scopus]:0 | Submit date：2019/09/10
Covered Warrants  Implied Volatility  Options Trading  Market Volatility  Hong Kong  Singapore  Retail Investors  Equity Warrants