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