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Improved estimation of portfolio value-at-risk under Copula models with mixed marginals
Miller, Douglas J.
;
Liu, Wei-han
- In:
The journal of futures markets
26
(
2006
)
10
,
pp. 997-1018
Persistent link: https://www.econbiz.de/10003391974
Saved in:
2
On the recovery of joint distributions from limited information
Miller, Douglas J.
;
Liu, Wei-han
- In:
Journal of econometrics
107
(
2002
)
1/2
,
pp. 259-274
Persistent link: https://www.econbiz.de/10001651297
Saved in:
3
On the recovery of joint distributions from limited information
Miller, Douglas J.
;
Liu, Wei-han
- In:
Journal of econometrics
107
(
2002
)
1
,
pp. 259-274
Persistent link: https://www.econbiz.de/10006770114
Saved in:
4
On the recovery of joint distributions from limited information
Miller, Douglas J.
;
Liu, Wei-han
- In:
Journal of Econometrics
107
(
2002
)
1-2
,
pp. 259-274
Persistent link: https://www.econbiz.de/10005052855
Saved in:
5
Estimation and testing of portfolio Value-at-Risk based on L-comoment matrices
Liu, Wei-han
- In:
The journal of futures markets
30
(
2010
)
9
,
pp. 897-908
Persistent link: https://www.econbiz.de/10008900925
Saved in:
6
Detecting structural breaks in tail behaviour : from the perspective of fitting the generalized Pareto distribution
Liu, Wei-han
- In:
Applied economics
45
(
2013
)
10/12
,
pp. 1273-1286
Persistent link: https://www.econbiz.de/10009718411
Saved in:
7
Lunar calendar effect : evidence of the Chinese Farmer's Calendar on the equity markets in East Asia
Liu, Wei-han
- In:
Journal of the Asia Pacific economy
18
(
2013
)
4
,
pp. 560-593
Persistent link: https://www.econbiz.de/10010204060
Saved in:
8
Do futures prices exhibit maturity effect? : a nonparametric revisit
Liu, Wei-han
- In:
Applied economics
46
(
2014
)
7/9
,
pp. 813-825
Persistent link: https://www.econbiz.de/10010398924
Saved in:
9
A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility
Liu, Wei-han
- In:
Energy economics
56
(
2016
),
pp. 351-362
Persistent link: https://www.econbiz.de/10011664251
Saved in:
10
National culture effects on stock market volatility level
Liu, Wei-han
- In:
Empirical economics : a journal of the Institute for …
57
(
2019
)
4
,
pp. 1229-1253
Persistent link: https://www.econbiz.de/10012115296
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