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Vines climbing higher : risk management for commodity futures markets using a regular vine copula approach
Li, Hemei; Liu, Zhenya; Wang, Shixuan - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 2438-2457
Persistent link: https://www.econbiz.de/10013184895
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Loss function-based change point detection in risk measures
Lazar, Emese; Wang, Shixuan; Xue, Xiaohan - In: European journal of operational research : EJOR 310 (2023) 1, pp. 415-431
Persistent link: https://www.econbiz.de/10014340186
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On the estimation of Value-at-Risk and Expected Shortfall at extreme levels
Lazar, Emese; Pan, Jingqi; Wang, Shixuan - In: Journal of commodity markets : JCM 34 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10014548240
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Risk management for crude oil futures : an optimal stopping-timing approach
Boubaker, Sabri; Liu, Zhenya; Zhan, Yaosong - In: Financial modeling and risk management of energy and …, (pp. 9-27). 2022
Persistent link: https://www.econbiz.de/10013349892
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The fortune and crash of common risk factors in Chinese commodity markets
Li, Hemei; Liu, Zhenya; Zhao, Yuqian - In: Journal of commodity markets 32 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014495776