Weiju Xu

TL;DR: In this article, the authors used a new spillover directional measure and asymmetric spillover measures to investigate the dynamic asymmetric volatility spillover between oil and stock markets during the period of 2007 to 2016.

TL;DR: In this paper, the authors introduce Markov regime switching models to the Heterogeneous Autoregressive model of the Realized Volatility (HAR-RV) models to forecast the realized volatility of the crude oil futures market.

TL;DR: In this article , the authors examined the effects of China's economic policy uncertainty (CEPU) index and climate policy uncertainty index on the wind carbon neutral concept (CNCI) index volatility.

TL;DR: Out-of-sample results show that investor sentiment can significantly improve the forecasting performance of volatility models and combining the regime switching of those models with Investor sentiment can substantially gain higher forecasting accuracy.

TL;DR: In this paper , the predictive ability of three popular uncertainty indices for Chinese crude oil futures market volatility was highlighted, and the RGARCH-MIDAS model was evaluated from a comprehensive perspective.