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A modified least-squares simulation approach to value American barrier options
Zhang, Lihua; Zhang, Weiguo; Xu, Weijun; Shi, Xiang - In: Computational economics 44 (2014) 4, pp. 489-506
Persistent link: https://www.econbiz.de/10010489859
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Uncertainty index and stock volatility prediction : evidence from international markets
Gong, Xue; Zhang, Weiguo; Xu, Weijun; Li, Zhe - In: Financial innovation : FIN 8 (2022), pp. 1-44
This study investigates the predictability of a fixed uncertainty index (UI) for realized variances (volatility) in the international stock markets from a high-frequency perspective. We construct a composite UI based on the scaled principal component analysis (s-PCA) method and demonstrate that...
Persistent link: https://www.econbiz.de/10013272632
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Evaluating the default risk of bond portfolios with extreme value theory
Ma, Yong; Zhang, Zhengjun; Zhang, Weiguo; Xu, Weidong - In: Computational economics 45 (2015) 4, pp. 647-668
Persistent link: https://www.econbiz.de/10011440981
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An analytical approximation approach for pricing European options in a two-price economy
Li, Zhe; Zhang, Weiguo; Zhang, Yue; Yi, Zhigao - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-12
Persistent link: https://www.econbiz.de/10012201210
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Covariance breakdowns and connectedness of crude oil futures markets with non-synchronous data
Luo, Jiawen; Chen, Langnan; Zhang, Weiguo - In: Applied economics 51 (2019) 5, pp. 422-443
Persistent link: https://www.econbiz.de/10012160576
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Stock market interactions driven by large declines
Ma, Yong; Zhang, Weiguo; Zhang, Zhengjun; Xu, Weidong - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 159-171
Persistent link: https://www.econbiz.de/10010485770
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Multi-period portfolio optimization under possibility measures
Zhang, Xili; Zhang, Weiguo; Xiao, Weilin - In: Economic modelling 35 (2013), pp. 401-408
Persistent link: https://www.econbiz.de/10010259788
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Probability-free solutions to the non-stationary newsvendor problem
Zhang, Yong; Vovk, Vladimir; Zhang, Weiguo - 2014
Persistent link: https://www.econbiz.de/10010471935
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Multifractal analysis of realized volatilities in Chinese stock market
Liu, Yufang; Zhang, Weiguo; Fu, Junhui; Wu, Xiang - In: Computational economics 56 (2020) 2, pp. 319-336
Persistent link: https://www.econbiz.de/10012272033
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International portfolio of stock indices with spatiotemporal correlations : Can investors still benefit from portfolio, when and where?
Mo, Guoli; Tan, Chunzhi; Zhang, Weiguo; Liu, Fang - In: The North American journal of economics and finance : a … 47 (2019), pp. 168-183
Persistent link: https://www.econbiz.de/10012117833