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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
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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
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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
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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
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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
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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
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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
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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
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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
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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