... data Variable selection Volatility forecast G17 G12 C45 C53 Classical volatility models such as GARCH (Bollerslev, 1986) and stochastic volatility (Kim et al., 1998) track high-frequency return dynamics but neglect exogenous variables. Realized volatility models (Barndorff...

... Licensed re-use rights only Crash Jackpot Anomalies Limits to arbitrage Liquidity G12 G14 G17 To circumvent these problems, our prediction model introduces a new variable and takes into account the market states. Lakonishok et al. (1994) suggest that the indicator...

... Emerald Publishing Limited Licensed re-use rights only Non-fungible tokens (NFT) Investor sentiment indices Natural language processing Text analysis Explainable artificial intelligence C53 F37 G17 G41 Data-driven decision-making. Our index harnesses the power...

... Chinese stock market Exchange-traded fund Information trading G11 G14 G17 As the second-largest economy in the world, China has substantially integrated with the global economy over the past three decades. By contrast, the Chinese stock markets are highly different from those in the USA...

... and volatility forecasting in China's index futures market and reveals the underlying market mechanisms of liquidity-induced volatility. Realized volatility Volatility forecasting HAR model Trading behavior Equity futures G13 G15 G17 In this paper, we examine whether the high frequency...

... decision House-for-pension scheme Housing reverse mortgage Redemption option C58 G17 G21 H55 An aging population has become one of the most important social problems facing countries across the globe; in China, this problem has become increasingly serious. Data from the Paper...

... 2018 © Emerald Publishing Limited 2018 Emerald Publishing Limited Licensed re-use rights only Empirical research Commodity futures indices Symmetric VAR model C43 C53 G11 G17 World’s leading derivative exchanges in 2016, by number of contracts traded and/or cleared...