In this study, we forecast economic policy uncertainty (EPU) using input on 23 commodity price
changes. We reveal the significant predictability of EPU using three forecast combinations…

We find the momentum of predictability (MoP) that the forecasting performance of some
univariate regressions is persistent. A univariate model which outperforms the benchmark during …

Forecasting the real oil prices is important but notoriously difficult. In this paper, we apply
both economic and statistical restrictions to parameters of predictive regressions of real oil …

We investigate the impacts of retail and nonretail investor attention on post earnings
announcement drift (PEAD) in China. Prior studies mainly posited that investor attention helps to …

The networked structure of investor relationship has been documented by many researches.
This paper proposes a dynamic model based on investor network, and investigate the …

The Black–Scholes model assumes that volatility is constant, and the Heston model assumes
that volatility is stochastic, while the rough Bergomi (rBergomi) model, which allows rough …

Combining behavioral finance and asset pricing theory, we propose a modified empirical
model to examine equity return dispersion and herding behavior. We verify the effectiveness of …

The promising empirical results presented using high-frequency data show that the log-volatility
behaves essentially as a fractional Brownian motion (fBm) with a Hurst exponent smaller …

Purpose – This paper aims to explain the current state of energy consumption and economic
development in Beijing's construction industry and identify the relationship between the two …

This paper first presents a two-stage change point estimation approach in the framework of
online analysis to detect the Chinese stock market abrupt variations during the period from 4 …