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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

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

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) C, pp. 167-179

This paper presents a new method to estimate the fractional differencing parameters in the SARFIMA model. A technique of split cosine bell tapering is suggested to improve the EGPH method. The simulation study shows that the optimal split proportion and bandwidth for the EGPH with split cosine...

Persistent link: https://www.econbiz.de/10011208971

Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall

Liu, Xiaohang; Li, Handong - In: Journal of risk 24 (2021) 1, pp. 53-77

Persistent link: https://www.econbiz.de/10012816812

An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution

Song, Shijia; Tian, Fei; Li, Handong - In: Journal of Asian economics 74 (2021), pp. 1-22

Persistent link: https://www.econbiz.de/10012803294

Research on the effects of institutional liquidation strategies on the market based on multi-agent model

Luo, Qixuan; Shi, Yu; Zhou, Xuan; Li, Handong - In: Computational economics 58 (2021) 4, pp. 1025-1049

Persistent link: https://www.econbiz.de/10012697872

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

Study on the systemic risk of China's stock markets under risk-neutral conditions

Dai, Shibo; Li, Handong - In: Journal of mathematical finance 9 (2019) 1, pp. 54-79

Persistent link: https://www.econbiz.de/10012116669

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

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