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  • 叶五一
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  • wyye@ustc.edu.cn
  • 统计与金融系
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English
  • Intraday VaR: A copula-based approach , Journal of Empirical Finance , 2023 , 2023(74)101419
  • A simulation-based method for estimating systemic risk measures , European Journal of Operational Research , 2024
  • Time-varying quantile association regression model with applications to ?nancial contagion and VaR , European Journal of Operational Research , 2017 , 256: 1015-1028
  • Measuring the subprime crisis contagion: Evidence of change point analysis of copula functions , European Journal of Operational Research , 2012 , 222(1): 96-103
  • Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market , Journal of Futures Markets , 2021 , 41: 1055-1073
  • Financial contagion behavior analysis based on complex network approach , Annals of Operations Research , 2018 , 268(1-2): 93-111
  • Markov regime-switching quantile regression models and financial contagion detection , Insurance: Mathematics and Economics , 2016 , 67: 21-26
  • Game-Theoretical Analysis for Supply Chain with Consumer Preference to Low Carbon , International Journal of Production Research , 2015 , 53(12): 3753-3768
  • Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure , Probability in the Engineering and Informational Sciences , 2023 , 37(1): 245-274
  • Trading restriction and the choice for derivatives , International Review of Financial Analysis , 2022 , 82(2)102118
  • Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market , International Review of Financial Analysis , 2022 , 83102277
  • Risk of declined company performance during COVID-19–Spatial quantile autoregression based on network analysis , Computers & Industrial Engineering , 2022 , 173108670
  • Stochastic Volatility Model with Correlated Jump Sizes and Independent Arrivals , Probability in the Engineering and Informational Sciences , 2021 , 2021(35): 513-531
  • A novel estimation of time-varying quantile correlation for financial contagion detection , The North American Journal of Economics and Finance , 2022 , 63101796
  • Does the asymmetric dependence volatility affect risk spillovers between the crude oil market and BRICS stock markets? , Economic Modelling , 2022 , 117106046
  • 基于机制转换CAViaR模型的比特币VaR和期望损失联合估计 , Finance Research Letters , 2022 , 48102826
  • Dependence and Systemic Risk Analysis Between S&P 500 Index and Sector Indexes: A Conditional Value-at-Risk Approach , Computational Economics , 2022 , 59(3): 1-27
  • A model of dynamic tail dependence between crude oil prices and exchange rates , The North American Journal of Economics and Finance , 2021 , 58101543
  • Macroeconomic forecasts and commodity futures volatility , Economic Modelling , 2021 , 2021(94): 981-994
  • Financial contagion and the TIR-MIDAS model , Finance Research Letters , 2021 , 2021(39): 1-11
  • Upgrade strategies in the two-sided market: Updated strategy vs. derived strategy , INFOR+ (Information Systems and Opration Research) , 2020 , 58(4): 579-605
  • Professional macroeconomic forecasts and Chinese commodity futures prices , Finance Research Letters , 2019 , 28(2019): 130-136
  • Do intraday data contain more information for volatility forecasting- Evidence from the Chinese commodity futures market , Applied Economics Letters , 2015 , 22(3): 218-222
  • The correlation analysis between the price of gold and the US dollar index based on time-varying quantile association regression model , Journal of Data Analysis , 2017 , 12(2): 1-16
  • Empirical Analysis of Financial Crisis Contagion Based on Scan Statistics , Journal of Management Science & Statistical Decision , 2014 , 11(1): 1-12
  • Estimating of CVAR and analysis of leverage effect based on nonlinear quantile regression model , Journal of Management Science & Statistical Decision , 2013 , 10(2): 56-67
  • Analysis of financial contagion based on change point testing of Archimedean copula , Journal of Chinese Statistical Association , 2008 , 46(3): 181-196
  • Dependent Analysis between Duration and Return Based on Copula-ACD-GARCH Model , Journal of Taiwan Intelligent Technologies and Applied Statistics , 2007 , 5(2): 32-45
  • 基于改进的PWY方法的泡沫检验 , 中国科学技术大学学报 , 2021 , 51(1): 43-52
  • 教育现代化 , 教育现代化 , 2021 , 8(46): 23-27
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