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Modelling the spreading process of extreme risks via a simple agent-based model : evidence from the China stock market
Ji, Jingru; Wang, Donghua; Xu, Dinghai - In: Economic modelling 80 (2019), pp. 383-391
Persistent link: https://www.econbiz.de/10012200735
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Combining a self-exciting point process with the truncated generalized Pareto distribution : an extreme risk analysis under price limits
Ji, Jingru; Wang, Donghua; Xu, Dinghai; Xu, Chi - In: Journal of empirical finance 57 (2020), pp. 52-70
Persistent link: https://www.econbiz.de/10012430436
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Modelling the spreading process of extreme risks via a simple agent-based model : evidence from the China stock market
Ji, Jingru; Wang, Donghua; Xu, Dinghai - 2018
Persistent link: https://www.econbiz.de/10011900811