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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
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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
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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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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
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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