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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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Forecasting trading volume in the Chinese stock market based on the dynamic VWAP
Ye, Xunyu; Yan, Rui; Li, Handong - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 2, pp. 125-144
Persistent link: https://www.econbiz.de/10010347331
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Improving estimation of the fractionally differencing parameter in the SARFIMA model using tapered periodogram
Ye, Xunyu; Gao, Ping; Li, Handong - In: Economic modelling 46 (2015), pp. 167-179
Persistent link: https://www.econbiz.de/10011436579
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Research on the daily volatility measure considering the impact of overnight variance and time segment in Chinese stock market
Shi, Yu; Li, Handong - In: Journal of mathematical finance 8 (2018) 3, pp. 549-561
Persistent link: https://www.econbiz.de/10011968718
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Statistical characteristics of price impact in high-frequency trading
Jia, Can; Zhou, Tianmin; Li, Handong - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 3, pp. 19-34
Persistent link: https://www.econbiz.de/10012594148