Journal of Forecasting, EarlyView.ABSTRACT Using overnight volatility as the proxy for overnight information, this paper models future Chinese stock market realized range–based volatility (RRV) within a class of heterogeneous autoregressive models augmented by this proxy. We confirm the important role of overnight information in volatility forecasting models with strong evidence from ...
Yi Zhang, Long Zhou, Zhidong Liu
wiley +1 more source
Cross-section without factors: a string model for expected returns. [PDF]
Quant FinanceDistaso W, Mele A, Vilkov G.
europepmc +1 more source
Looking into the Market Behaviors through the Lens of Correlations and Eigenvalues: An Investigation on the Chinese and US Markets Using RMT. [PDF]
Entropy (Basel), 2023 Tang Y +6 more
europepmc +1 more source
Financialization of Commodity Markets Co‐Movement Behind‐the‐Scenes
Journal of Futures Markets, EarlyView.ABSTRACT In the early 2000s, institutional investors entered the commodity futures markets en masse with passive, long only, index‐type positions in sharp contrast with those typically assumed by traditional expert participants. A heated public debate soon erupted over the perceived consequences of the phenomenon—commonly referred to as ...
Devraj Basu, Olivier Bauthéac
wiley +1 more source
Impact of RMB internationalization on China's competitiveness in financial services trade based on the VAR model: Evidence from China-US. [PDF]
PLoS OneLei Y.
europepmc +1 more source
Quantitative ESG disclosure and divergence of ESG ratings. [PDF]
Front Psychol, 2022 Liu M.
europepmc +1 more source
Dynamic Analysis of Stakeholders' Decision‐Making in Power Battery Recycling Considering Risks
Global Challenges, EarlyView.The risk‐induced loss quantification model based on conditional value‐at‐risk (CVaR) is established to elucidate the impact of various risk parameters on stakeholders' revenues and evolutionary paths, as well as identify the key parameters that affect risk‐induced loss.
Juan Huang +4 more
wiley +1 more source
Renting royalties: How the assetization of music copyrights contributes to inequality for musicians. [PDF]
Media Cult SocKaye DBV.
europepmc +1 more source
Greenhouse Gases: Science and Technology, EarlyView.ABSTRACT Carbon dioxide capture, utilization, and storage (CCUS) is a potential key to mitigating anthropogenic CO2 emissions and associated impacts on global climate change. Successful CCUS deployment hinges on both technological advancements and public support.
Ting Xiao +6 more
wiley +1 more source
Modern finance through quantum computing-A systematic literature review. [PDF]
PLoS OneBunescu L, Vârtei AM.
europepmc +1 more source