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Interdependence of foreign exchange markets : a wavelet coherence analysis
Yang, Lu; Cai, Xiao Jing; Zhang, Huimin; Hamori, Shigeyuki - In: Economic modelling 55 (2016), pp. 6-14
Persistent link: https://www.econbiz.de/10011642425
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Modeling the dependence structure of share prices among three Chinese city banks
Liu, Guizhou; Cai, Xiao Jing; Hamori, Shigeyuki - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-18
We study the dependence structure of share price returns among the Beijing Bank, Ningbo Bank, and Nanjing Bank using copula models. We use the normal, Student’s t, rotated Gumbel, and symmetrized Joe-Clayton (SJC) copula models to estimate the underlying dependence structure in two periods:...
Persistent link: https://www.econbiz.de/10011961448
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Modeling the dynamis of international agricultural commodity prices : a comparison of GARCH and stochastic volatility models
Yang, Lu; Hamori, Shigeyuki - In: Annals of financial economics 13 (2018) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10011958469
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Love and death : a Freund model with frailty
Gouriéroux, Christian; Lu, Yang - In: Insurance / Mathematics & economics 63 (2015), pp. 191-303
Persistent link: https://www.econbiz.de/10011349835
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Love and death : a Freund model with frailty
Gouriéroux, Christian; Lu, Yang - 2013
Persistent link: https://www.econbiz.de/10010348561
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Long term care and longevity
Gouriéroux, Christian; Lu, Yang - 2013
Persistent link: https://www.econbiz.de/10010342741
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Hierarchical random effects model for insurance pricing of vehicles belonging to a fleet
Desjardins, Denise; Dionne, Georges; Lu, Yang - 2021
Persistent link: https://www.econbiz.de/10012545770
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Dynamic bayesian ratemaking : a Markov chain approximation approach
Li, Hong; Lu, Yang; Zhu, Wenjun - In: North American actuarial journal : NAAJ ; leading the … 25 (2021) 2, pp. 186-205
Persistent link: https://www.econbiz.de/10012549750
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On the ordering of credibility factors
Ahn, Jae Youn; Jeong, Himchan; Lu, Yang - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 626-638
Persistent link: https://www.econbiz.de/10012793956
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A forecast reconciliation approach to cause-of-death mortality modeling
Li, Han; Li, Hong; Lu, Yang; Panagiotelis, Anastasios - In: Insurance / Mathematics & economics 86 (2019), pp. 122-133
Persistent link: https://www.econbiz.de/10012058845