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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/10007283465
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Lunar calendar effect: evidence of the Chinese Farmer's Calendar onthe 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/10010184037
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On the recovery of joint distributions from limited information
Miller, Douglas J.; Liu, Wei-han - In: Journal of econometrics 107 (2002) 1, pp. 259-274
Persistent link: https://www.econbiz.de/10006770114
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Convergence in price levels across US cities
Huang, Ho-Chuan (River); Liu, Wei-Han; Yeh, Chih-Chuan - In: Economics letters 114 (2012) 3, pp. 245-249
Persistent link: https://www.econbiz.de/10009825460
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Detecting structural breaks in tail behaviour from the perspective of fitting the generalized Pareto distribution
Liu, Wei-han - In: Applied economics 45 (2013) 10, pp. 1273-1286
Persistent link: https://www.econbiz.de/10010053418