Overcoming the middle-income trap is the main task of China’s next stage of economic development. International experiences show that continuous innovation and industrial upgrading in an open market…

This paper considers estimation of semi-nonparametric GARCH filtered copula models in which the individual time series are modeled by semi-nonparametric GARCH and the joint distributions of the…

We investigate the role of realized volatility in pricing VIX options by using the generalized affine realized volatility (GARV) model, and the Realized generalized autoregressive conditionally…

This paper investigates the time-varying conditional higher moments of the daily returns on WTI crude oil futures, using the GJR-GARCH model with Gram-Charlier expansion (GCE) of normal density. The…

The beta anomaly indicates that high-beta stocks earn low future returns. We confirm the existence of the beta anomaly in the Chinese A-share stock market and propose that heterogeneous beliefs and…

Based on methods developed by Bollerslev et al. (2016), we explicitly accounted for the heteroskedasticity in the measurement errors and for the high volatility of Chinese stock prices; we proposed a…

We investigate whether and to what extent macroeconomic uncertainty predicts the volatility of commodity futures. By examining 26 commodities in six categories, we find that the measure of aggregate…

We evaluate the explanations for accrual anomaly in the Chinese stock market using the decomposition method. The results show that institutional ownership best explains the accrual anomaly with an…

In early 2015, China launched its first exchange-traded option, the Shanghai Stock Exchange (SSE) 50 ETF option, to meet the increasing demand for financial derivatives. In this article, we provide an…

Rigorous statistical tests have been designed to detect the existence of asymmetric correlations. However, these tests can hardly further facilitate future investment or risk management because…