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Statistical inference for a relative risk measure

He, Yi; Hou, Yanxi; Peng, Liang; Sheng, Jiliang - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 301-311

Persistent link: https://www.econbiz.de/10012177340

Statistical inference for Lee-Carter mortality model and corresponding forecasts

Liu, Qing; Ling, Chen; Peng, Liang - In: North American actuarial journal : NAAJ ; leading the … 23 (2019) 3, pp. 335-363

Persistent link: https://www.econbiz.de/10012180629

Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors

Zhang, Rongmao; Li, Chenxue; Peng, Liang - In: Econometric reviews 38 (2019) 2, pp. 151-169

Persistent link: https://www.econbiz.de/10012180711

A unified test for predictability of asset returns regardless of properties of predicting variables

Liu, Xiaohui; Yang, Bingduo; Cai, Zongwu; Peng, Liang - In: Journal of econometrics 208 (2019) 1, pp. 141-159

Persistent link: https://www.econbiz.de/10012139823

Haezendonck-Goovaerts risk measure with a heavy tailed loss

Liu, Qing; Peng, Liang; Wang, Xing - In: Insurance / Mathematics & economics 76 (2017), pp. 28-47

Persistent link: https://www.econbiz.de/10011774767

Testing for a unit root in Lee-Carter mortality model

Leng, Xuan; Peng, Liang - In: Astin bulletin : the journal of the International … 47 (2017) 3, pp. 715-735

Persistent link: https://www.econbiz.de/10011763576

Tail dependence measure for examining financial extreme co-movements

Asimit, Alexandru V.; Gerrard, Russell; Hou, Yanxi; … - In: Journal of econometrics 194 (2016) 2, pp. 330-348

Persistent link: https://www.econbiz.de/10011705189

Mortgage Fund Flows, Capital Appreciation, and Real Estate Cycles

Arsenault, Marcel; Clayton, Jim; Peng, Liang - In: The Journal of Real Estate Finance and Economics 47 (2013) 2, pp. 243-265

This paper provides strong evidence for a positive feedback loop between property prices and mortgage supply, using data from the U.S. commercial property and mortgage markets over the 1991 to 2011 period. The empirical analyses control for the endogeneity of property prices, mortgage flows,...

Persistent link: https://www.econbiz.de/10010989350

Jackknife empirical likelihood method for copulas

Peng, Liang; Qi, Yongcheng; Keilegom, Ingrid Van - In: TEST: An Official Journal of the Spanish Society of … 21 (2012) 1, pp. 74-92

Persistent link: https://www.econbiz.de/10010994262

Interval estimation of the tail index of a GARCH(1,1) model

Chan, Ngai; Peng, Liang; Zhang, Rongmao - In: TEST: An Official Journal of the Spanish Society of … 21 (2012) 3, pp. 546-565

It is known that the tail index of a GARCH model is determined by a moment equation, which involves the underlying unknown parameters of the model. A tail index estimator can therefore be constructed by solving the sample moment equation with the unknown parameters being replaced by its...

Persistent link: https://www.econbiz.de/10010994329