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Analysis of tail risk contagion among industry sectors in the Chinese stock market during the COVID-19 pandemic
Wu, Junfeng; Zhang, Chao; Chen, Yun - In: Pacific-Basin finance journal 83 (2024), pp. 1-18
Persistent link: https://www.econbiz.de/10014491144
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Intangible factor and idiosyncratic volatility puzzles
Li, Xing; Hou, Keqiang; Zhang, Chao - In: Finance research letters 34 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012437005
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Credit default swaps and firm risk
Lin, Hai; Binh Hoang Nguyen; Wang, Junbo; Zhang, Cheng - In: The journal of futures markets 43 (2023) 11, pp. 1668-1692
Persistent link: https://www.econbiz.de/10014432924
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Investor sentiment based on scaled PCA method : a powerful predictor of realized volatility in the Chinese stock market
Song, Ziyu; Gong, Xiaomin; Zhang, Cheng; Yu, Changrui - In: International review of economics & finance : IREF 83 (2023), pp. 528-545
Persistent link: https://www.econbiz.de/10014246745
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On the spectral density of fractional Ornstein-Uhlenbeck process : approximation, estimation, and model comparison
Shi, Shuping; Yu, Jun; Zhang, Chen - 2023
Persistent link: https://www.econbiz.de/10014320456
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Impact of network investor sentiment and news arrival on jumps
Liu, Wenwen; Zhang, Chang; Qiao, Gaoxiu; Xu, Lei - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10013538989
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Investor attention, analysts coverage and idiosyncratic volatility puzzle : based on behavioral perspective
Tian, Xinmin; Zhang, Zhiqiang; Zhang, Cheng; Gao, Mingyu - In: International journal of emerging markets 19 (2024) 7, pp. 1804-1838
Persistent link: https://www.econbiz.de/10014575631
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Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
A, Chunxiang; Li, Zhongfei - In: Insurance / Mathematics & economics 61 (2015), pp. 181-196
Persistent link: https://www.econbiz.de/10010515891
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Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
Wang, Pei; Li, Zhongfei - In: Insurance / Mathematics & economics 80 (2018), pp. 67-83
Persistent link: https://www.econbiz.de/10011872914
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Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 601-614
Persistent link: https://www.econbiz.de/10010227929