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A dynamic, volume-weighted ave...
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ECONIS (ZBW)
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Forecasting trading volume in the Chinese stock market based on the dynamic VWAP
Ye, Xunyu
;
Yan, Rui
;
Li, Handong
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
18
(
2014
)
2
,
pp. 125-144
Persistent link: https://www.econbiz.de/10010347331
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2
Improving estimation of the fractionally differencing parameter in the SARFIMA model using tapered periodogram
Ye, Xunyu
;
Gao, Ping
;
Li, Handong
- In:
Economic modelling
46
(
2015
),
pp. 167-179
Persistent link: https://www.econbiz.de/10011436579
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3
Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall
Liu, Xiaohang
;
Li, Handong
- In:
Journal of risk
24
(
2021
)
1
,
pp. 53-77
Persistent link: https://www.econbiz.de/10012816812
Saved in:
4
An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution
Song, Shijia
;
Tian, Fei
;
Li, Handong
- In:
Journal of Asian economics
74
(
2021
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012803294
Saved in:
5
Research on the effects of institutional liquidation strategies on the market based on multi-agent model
Luo, Qixuan
;
Shi, Yu
;
Zhou, Xuan
;
Li, Handong
- In:
Computational economics
58
(
2021
)
4
,
pp. 1025-1049
Persistent link: https://www.econbiz.de/10012697872
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6
Research on the daily volatility measure considering the impact of overnight variance and time segment in Chinese stock market
Shi, Yu
;
Li, Handong
- In:
Journal of mathematical finance
8
(
2018
)
3
,
pp. 549-561
Persistent link: https://www.econbiz.de/10011968718
Saved in:
7
Study on the systemic risk of China's stock markets under risk-neutral conditions
Dai, Shibo
;
Li, Handong
- In:
Journal of mathematical finance
9
(
2019
)
1
,
pp. 54-79
Persistent link: https://www.econbiz.de/10012116669
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8
Statistical characteristics of price impact in high-frequency trading
Jia, Can
;
Zhou, Tianmin
;
Li, Handong
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
3
,
pp. 19-34
Persistent link: https://www.econbiz.de/10012594148
Saved in:
9
Predicting VaR for China's stock market : a score-driven model based on normal inverse Gaussian distribution
Song, Shijia
;
Li, Handong
- In:
International review of financial analysis
82
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013426497
Saved in:
10
A new model for forecasting VaR and ES using intraday returns aggregation
Song, Shijia
;
Li, Handong
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1039-1054
Persistent link: https://www.econbiz.de/10014338800
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