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Multivariate Volatility Regula...
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1
Multivariate volatility regulated Kelly strategy : a superior choice in low correlated portfolios
Cao, Ruanmin
;
Liu, Zhenya
;
Wang, Shixuan
;
Zhou, Weifeng
- In:
Theoretical economics letters
7
(
2017
)
5
,
pp. 1453-1472
Persistent link: https://www.econbiz.de/10011748824
Saved in:
2
A study of data-driven momentum and disposition effects in the Chinese stock market by functional data analysis
Cao, Ruanmin
;
Horváth, Lajos
;
Liu, Zhenya
;
Zhao, Yuqian
- In:
Review of quantitative finance and accounting
54
(
2020
)
1
,
pp. 335-358
Persistent link: https://www.econbiz.de/10012232846
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3
Vines climbing higher : Risk management for commodity futures markets using a regular vine copula approach
Li, Hemei
;
Liu, Zhenya
;
Wang, Shixuan
- In:
International Journal of Finance & Economics
27
(
2020
)
2
,
pp. 2438-2457
Persistent link: https://www.econbiz.de/10012407093
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4
Decoding Chinese stock market returns : three-state hidden semi-Markov model
Liu, Zhenya
;
Wang, Shixuan
- In:
Pacific-Basin finance journal
44
(
2017
),
pp. 127-149
Persistent link: https://www.econbiz.de/10011800749
Saved in:
5
Understanding the Chinese stock market : international comparison and policy implications
Liu, Zhenya
;
Wang, Shixuan
- In:
Economic and political studies : EPS
5
(
2017
)
3/4
,
pp. 441-455
Persistent link: https://www.econbiz.de/10011879885
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6
Time series momentum and reversal : intraday information from realized semivariance
Liu, Zhenya
;
Lu, Shanglin
;
Li, Bo
;
Wang, Shixuan
- In:
Journal of empirical finance
72
(
2023
),
pp. 54-77
Persistent link: https://www.econbiz.de/10014476799
Saved in:
7
A functional time series analysis of forward curves derived from commodity futures
Horváth, Lajos
;
Liu, Zhenya
;
Rice, Gregory
;
Wang, Shixuan
- In:
International journal of forecasting
36
(
2020
)
2
,
pp. 646-665
Persistent link: https://www.econbiz.de/10012415316
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8
Testing stability in functional event observations with an application to IPO performance
Horváth, Lajos
;
Liu, Zhenya
;
Rice, Gregory
;
Wang, Shixuan
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
4
,
pp. 1262-1273
Persistent link: https://www.econbiz.de/10014448630
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9
Sequential monitoring for changes from stationarity to mild non-stationarity
Horváth, Lajos
;
Liu, Zhenya
;
Rice, Gregory
;
Wang, Shixuan
- In:
Journal of econometrics
215
(
2020
)
1
,
pp. 209-238
Persistent link: https://www.econbiz.de/10012439449
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10
Asymmetry, tail risk and time series momentum
Liu, Zhenya
;
Lu, Shanglin
;
Wang, Shixuan
- In:
International review of financial analysis
78
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013255854
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