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Correlation shrinkage : implications for risk forecasting
Menchero, Jose; Li, Peng - In: Journal of investment management : JOIM 18 (2020) 3, pp. 92-108
Persistent link: https://www.econbiz.de/10012589102
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Sample recycling method : a new approach to efficient nested Monte Carlo simulations
Fang, Runhuan; Li, Peng - In: Insurance / Mathematics & economics 105 (2022), pp. 336-359
Persistent link: https://www.econbiz.de/10013349067
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An improved FIGARCH model with the fractional differencing operator (1-νL>)d
Pan, Qunxing; Li, Peng; Du, Xiuli - In: Finance research letters 55 (2023) 2, pp. 1-13
Persistent link: https://www.econbiz.de/10014473485