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ECONIS (ZBW)
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Estimation and testing of portfolio Value-at-Risk based on L-comoment matrices
Liu, Wei-han
- In:
The journal of futures markets
30
(
2010
)
9
,
pp. 897-908
Persistent link: https://www.econbiz.de/10008900925
Saved in:
2
Detecting structural breaks in tail behaviour : from the perspective of fitting the generalized Pareto distribution
Liu, Wei-han
- In:
Applied economics
45
(
2013
)
10/12
,
pp. 1273-1286
Persistent link: https://www.econbiz.de/10009718411
Saved in:
3
Lunar calendar effect : evidence of the Chinese Farmer's Calendar on the equity markets in East Asia
Liu, Wei-han
- In:
Journal of the Asia Pacific economy
18
(
2013
)
4
,
pp. 560-593
Persistent link: https://www.econbiz.de/10010204060
Saved in:
4
Do futures prices exhibit maturity effect? : a nonparametric revisit
Liu, Wei-han
- In:
Applied economics
46
(
2014
)
7/9
,
pp. 813-825
Persistent link: https://www.econbiz.de/10010398924
Saved in:
5
A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility
Liu, Wei-han
- In:
Energy economics
56
(
2016
),
pp. 351-362
Persistent link: https://www.econbiz.de/10011664251
Saved in:
6
National culture effects on stock market volatility level
Liu, Wei-han
- In:
Empirical economics : a journal of the Institute for …
57
(
2019
)
4
,
pp. 1229-1253
Persistent link: https://www.econbiz.de/10012115296
Saved in:
7
An empirical re-examination of extreme tail behavior : testing the assumptions of the power laws and the generalized Pareto distribution on the financial series
Liu, Wei-Han
- In:
Applied economics
51
(
2019
)
30
,
pp. 3310-3324
Persistent link: https://www.econbiz.de/10012196832
Saved in:
8
Attaining stochastic optimal control over debt ratios in U.S. markets
Liu, Wei-han
- In:
Review of quantitative finance and accounting
61
(
2023
)
3
,
pp. 967-993
Persistent link: https://www.econbiz.de/10014342125
Saved in:
9
Improved estimation of portfolio value-at-risk under Copula models with mixed marginals
Miller, Douglas J.
;
Liu, Wei-han
- In:
The journal of futures markets
26
(
2006
)
10
,
pp. 997-1018
Persistent link: https://www.econbiz.de/10003391974
Saved in:
10
Convergence in price levels across US cities
Huang, Ho-chuan
;
Liu, Wei-han
;
Yeh, Chih-chuan
- In:
Economics letters
114
(
2012
)
3
,
pp. 245-248
Persistent link: https://www.econbiz.de/10009550805
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