1. Forecasting Chinese Stock Market Volatility With Volatilities in Bond Markets. (2025). Zhang, Yaojie ; He, Mengxi ; Lei, Likun.
   In: Journal of Forecasting.
   RePEc:wly:jforec:v:44:y:2025:i:2:p:547-555.

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2. Forecasting stock returns: the role of VIX-based upper and lower shadow of Japanese candlestick. (2025). Dai, Zhifeng ; Zhu, Haoyang ; Chang, Xiaoming ; Wen, Fenghua.
   In: Financial Innovation.
   RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00682-8.

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3. Forecasting stock returns with industry volatility concentration. (2024). Zhang, Yaojie ; He, Mengxi.
   In: Journal of Forecasting.
   RePEc:wly:jforec:v:43:y:2024:i:7:p:2705-2730.

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4. Coskewness and the short-term predictability for Bitcoin return. (2024). Chen, Yan ; Liu, Yakun ; Zhang, Feipeng.
   In: Technological Forecasting and Social Change.
   RePEc:eee:tefoso:v:200:y:2024:i:c:s0040162523008818.

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5. Forecasting crude oil prices: Does global financial uncertainty matter?. (2024). Ma, Yong ; Zhou, Mingtao ; Li, Shuaibing.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:96:y:2024:i:pc:s1059056024007159.

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6. Geopolitical risk and crude oil price predictability: Novel decomposition ensemble approach based ternary interval number series. (2024). Chen, Yiyan ; Li, YE ; Lean, Hooi Hooi.
   In: Resources Policy.
   RePEc:eee:jrpoli:v:92:y:2024:i:c:s0301420724003337.

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7. Food-fuel nexus beyond mean-variance: New evidence from a quantile approach. (2024). Etienne, Xiaoli ; Wang, Linjie ; Li, Jian.
   In: Journal of Commodity Markets.
   RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000606.

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8. The link between abnormal numbers and price movements of financial securities: How does Benford’s law predict stock returns?. (2024). Belkacem, Lotfi ; ben Hamida, Amal ; de Peretti, Christian.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:95:y:2024:i:pc:s1057521924004496.

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9. Extant linkages between Shanghai crude oil and US energy futures: Insights from spillovers of higher-order moments. (2024). Sensoy, Ahmet ; Goodell, John W ; Dionisio, Andreia ; Banerjee, Ameet Kumar.
   In: Energy Economics.
   RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324003918.

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10. Oil Price Returns Skewness and Forecastability of International Stock Returns Over One Century of Data. (2023). Salisu, Afees ; GUPTA, RANGAN.
    In: Working Papers.
    RePEc:pre:wpaper:202339.

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11. Belief-based momentum indicator and stock market return predictability. (2023). Xu, Yongan ; Li, Yan ; Huo, Jiale ; Liang, Chao.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002112.

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12. Skewness in energy returns: estimation, testing and retain-->implications for tail risk. (2023). Ñíguez Grau, Trino ; Carnero, M. Angeles ; Iguez, Trino-Manuel ; Leon, Angel.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:90:y:2023:i:c:p:178-189.

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13. The change in stock-selection risk and stock market returns. (2023). Huynh, Luu Duc Toan ; Li, Yan ; He, Qiubei ; Toan, Luu Duc ; Liu, Jing ; Liang, Chao.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004070.

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14. Forecasting crude oil price returns: Can nonlinearity help?. (2023). Zhang, Yaojie ; Wang, Yudong ; He, Mengxi ; Wen, Danyan.
    In: Energy.
    RePEc:eee:energy:v:262:y:2023:i:pb:s0360544222024756.

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15. A new hybrid deep learning model for monthly oil prices forecasting. (2023). Gong, XU ; Guan, Keqin.
    In: Energy Economics.
    RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006345.

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16. Forecasting stock return volatility in data-rich environment: A new powerful predictor. (2023). Dai, Zhifeng ; Zhang, Xiaotong ; Li, Tingyu.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001802.

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17. Forecasting Bitcoin volatility: A new insight from the threshold regression model. (2022). Zhang, Yaojie ; Wang, Yudong ; He, Mengxi ; Wen, Danyan.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:41:y:2022:i:3:p:633-652.

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18. Some new efficient mean–variance portfolio selection models. (2022). Dai, Zhifeng ; Kang, Jie.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:27:y:2022:i:4:p:4784-4796.

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19. To jump or not to jump: momentum of jumps in crude oil price volatility prediction. (2022). Zhang, Yaojie ; Wang, Yudong ; Wei, YU ; Ma, Feng.
    In: Financial Innovation.
    RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00360-7.

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20. Asymmetric effects of non-ferrous metal price shocks on clean energy stocks: Evidence from a quantile-on-quantile method. (2022). Ren, Xiaohang ; Wang, Yilin ; Chen, Jinyu.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722002446.

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21. Forecasting US stock market returns by the aggressive stock-selection opportunity. (2022). Li, Yan ; Duc, Toan Luu ; Liang, Chao.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322005025.

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22. The impact of oil price shocks on the risk-return relation in the Chinese stock market. (2022). Yue, Wei ; Zhang, Minzhi ; Xiao, Jihong ; Wen, Fenghua.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322001003.

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23. Measurement of international crude oil price cyclical fluctuations and correlation with the world economic cyclical changes. (2022). Zhen, Zhao ; Nan, YU ; Sun, Renjin ; Fangjing, Chu.
    In: Energy.
    RePEc:eee:energy:v:260:y:2022:i:c:s036054422201845x.

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24. Oil price uncertainty and stock price crash risk: Evidence from China. (2022). Li, Yang ; Chen, Xian ; Xiao, Jihong ; Wen, Fenghua.
    In: Energy Economics.
    RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322002778.

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25. Dynamic spillover effects and portfolio strategies between crude oil, gold and Chinese stock markets related to new energy vehicle. (2022). Dai, Zhifeng ; Zhang, Xinhua ; Zhu, Haoyang.
    In: Energy Economics.
    RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001359.

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26. Time-varying spillover effects and investment strategies between WTI crude oil, natural gas and Chinese stock markets related to belt and road initiative. (2022). Dai, Zhifeng ; Zhu, Haoyang.
    In: Energy Economics.
    RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322000652.

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27. The evolution of day-of-the-week and the implications in crude oil market. (2022). Li, Wenhui ; Zhu, QI ; Nor, Normaziah Mohd ; Wen, Fenghua.
    In: Energy Economics.
    RePEc:eee:eneeco:v:106:y:2022:i:c:s014098832200007x.

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28. High-dimensional CoVaR network connectedness for measuring conditional financial contagion and risk spillovers from oil markets to the G20 stock system. (2022). Hussain, Nazim ; Fan, Ying ; Ji, Qiang ; Liu, Bing-Yue.
    In: Energy Economics.
    RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321005946.

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29. What drives oil prices? — A Markov switching VAR approach. (2021). Gong, XU ; Liu, Tangyong ; Chen, Liqing ; Guan, Keqin ; Fu, Chengbo.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003263.

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30. A comprehensive look at stock return predictability by oil prices using economic constraint approaches. (2021). Lu, Xinjie ; Wahab, M. I. M., ; Wang, Ruoxin ; Ma, Feng.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002258.

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31. Predicting stock returns: A risk measurement perspective. (2021). Dai, Zhifeng ; Kang, Jie ; Wen, Fenghua.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000193.

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32. The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market. (2021). Niu, Tianjiao ; Wang, LU ; Ma, Feng ; Liang, Chao.
    In: Energy Economics.
    RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321002255.

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33. Bond yield and crude oil prices predictability. (2021). Dai, Zhifeng ; Kang, Jie.
    In: Energy Economics.
    RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321001109.

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34. Indicator selection and stock return predictability. (2021). Dai, Zhifeng ; Zhu, Huan.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000309.

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35. Realized skewness and the short-term predictability for aggregate stock market volatility. (2021). Zhang, Yaojie ; Wang, Yudong ; He, Mengxi.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:103:y:2021:i:c:s0264999321002030.

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2. Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin. (2020). Ahmed, Walid.
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4. Risk Aversion and the Predictability of Crude Oil Market Volatility: A Forecasting Experiment with Random Forests. (2019). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Gkillas, Konstantinos.
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16. THE TIME-VARYING ASYMMETRY OF EXCHANGE RATE RETURNS: A STOCHASTIC VOLATILITY – STOCHASTIC SKEWNESS MODEL. (2018). Iseringhausen, Martin.
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
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17. Time-Varying Risk Aversion and Realized Gold Volatility. (2018). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza.
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18. Forecasting (Good and Bad) Realized Exchange-Rate Volatility: Is there a Role for Realized Skewness and Kurtosis?. (2018). Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos.
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19. Investor Sentiment and Crash Risk in Safe Havens. (2018). GUPTA, RANGAN ; Demirer, Riza ; Bonato, Matteo ; Ben Nasr, Adnen.
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20. The properties of a skewness index and its relation with volatility and returns. (2018). Muzzioli, Silvia ; Gambarelli, Luca ; Elyasiani, Elyas.
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21. The use of option prices in order to evaluate the skewness risk premium. (2018). Muzzioli, Silvia ; Gambarelli, Luca ; Elyasiani, Elyas.
    In: Department of Economics.
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22. Forecasting International Index Returns using Option-implied Variables. (2018). Power, Gabriel ; Gagnon, Marie-Helene ; Toupin, Dominique.
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23. “Scaling Down Downside Risk with Inter-Quantile Semivariances”. (2018). Uribe, Jorge.
    In: IREA Working Papers.
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24. The skewness of commodity futures returns. (2018). Fuertes, Ana-Maria ; Frijns, Bart ; Fernandez-Perez, Adrian ; Miffre, Joelle.
    In: Post-Print.
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25. Investigation of the Financial Stability of S&P 500 Using Realized Volatility and Stock Returns Distribution. (2018). Akter, Nahida ; Nobi, Ashadun.
    In: JRFM.
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26. Gold futures returns and realized moments: A forecasting experiment using a quantile-boosting approach. (2018). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Bonato, Matteo.
    In: Resources Policy.
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27. Can financial innovation succeed by catering to behavioral preferences? Evidence from a callable options market. (2018). Yang, Xuewei ; Li, Xindan ; Subrahmanyam, Avanidhar.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:128:y:2018:i:1:p:38-65.

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28. The skewness of commodity futures returns. (2018). Fuertes, Ana-Maria ; Frijns, Bart ; Miffre, Joelle ; Fernandez-Perez, Adrian.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:86:y:2018:i:c:p:143-158.

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29. To trust or not to trust? A comparative study of conventional and clean energy exchange-traded funds. (2018). Alexopoulos, Thomas.
    In: Energy Economics.
    RePEc:eee:eneeco:v:72:y:2018:i:c:p:97-107.

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30. Testing for jumps and jump intensity path dependence. (2018). Swanson, Norman ; Corradi, Valentina ; Silvapulle, Mervyn J.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:204:y:2018:i:2:p:248-267.

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31. Asymptotic inference about predictive accuracy using high frequency data. (2018). Patton, Andrew ; Li, Jia.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:203:y:2018:i:2:p:223-240.

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32. Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia. (2018). ORNELAS, JOSE ; Finta, Marinela Adriana.
    In: Working Papers Series.
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33. The Memory of Stock Return Volatility: Asset Pricing Implications. (2017). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh.
    In: Hannover Economic Papers (HEP).
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34. On the gains of using high frequency data and higher moments in Portfolio Selection. (2017). Sebastião, Helder ; Godinho, Pedro ; Brito, Rui ; Sebastio, Helder.
    In: CeBER Working Papers.
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35. Forecasting stock market volatility: Do realized skewness and kurtosis help?. (2017). Chen, Wang ; Liu, Jing ; Ma, Feng ; Mei, Dexiang.
    In: Physica A: Statistical Mechanics and its Applications.
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36. Risk Control: Who Cares?. (2017). Taylor, Nick.
    In: European Financial Management.
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37. Low risk anomalies?. (2016). Zechner, Josef ; Wagner, Christian ; Schneider, Paul.
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38. On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena.
    In: University of Cyprus Working Papers in Economics.
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39. Idiosyncratic Moments and the Cross-Section of Stock Returns in Brazil. (2016). Almeida, Caio ; Tessari, Cristina ; Ricca, Bernardo.
    In: Brazilian Review of Econometrics.
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40. Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-Boosting Approach. (2016). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Bonato, Matteo.
    In: Working Papers.
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41. Fear or greed? What does a skewness index measure?. (2016). Muzzioli, Silvia ; Gambarelli, Luca ; Elyasiani, Elyas.
    In: Department of Economics.
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42. Portfolio Choice with High Frequency Data: CRRA Preferences and the Liquidity Effect. (2016). Sebastião, Helder ; Godinho, Pedro ; Brito, Rui ; Sebastio, Helder.
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43. Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns. (2016). Bollerslev, Tim ; Todorov, Viktor ; Li, Sophia Zhengzi.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:120:y:2016:i:3:p:464-490.

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44. The MAX effect: An exploration of risk and mispricing explanations. (2016). Gray, Philip ; Zhong, Angel.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:65:y:2016:i:c:p:76-90.

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45. On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:193:y:2016:i:2:p:367-389.

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46. On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena.
    In: CEPR Discussion Papers.
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47. Towards a skewness index for the Italian stock market. (2015). Muzzioli, Silvia ; Gambarelli, Luca ; Elyasiani, Elyas.
    In: Department of Economics.
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48. Downside Risk Neutral Probabilities. (2015). EECKHOUDT, LOUIS ; Chaigneau, Pierre.
    In: Cahiers de recherche.
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49. Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis. (2015). Do, Hung ; Brooks, Robert ; Treepongkaruna, Sirimon.
    In: Global Finance Journal.
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50. Downside Variance Risk Premium. (2015). Jahan-Parvar, Mohammad ; Feunou, Bruno ; Okou, Cedric.
    In: Staff Working Papers.
    RePEc:bca:bocawp:15-36.

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