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A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection
Jiang, Cuixia; Ding, Xiaoyi; Xu, Qifa; Tong, Yongbo - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012659611
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Network-augmented time-varying parametric portfolio selection : evidence from the Chinese stock market
Xu, Qifa; Li, Mengting; Jiang, Cuixia - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10013187615
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A large CVaR-based portfolio selection model with weight constraints
Xu, Qifa; Zhou, Yingying; Jiang, Cuixia; Yu, Keming; … - In: Economic modelling 59 (2016), pp. 436-447
Persistent link: https://www.econbiz.de/10011647901
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Mixed data sampling expectile regression with applications to measuring financial risk
Xu, Qifa; Chen, Lu; Jiang, Cuixia; Yu, Keming - In: Economic modelling 91 (2020), pp. 469-486
Persistent link: https://www.econbiz.de/10012429122