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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
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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
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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
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Unified inference for an AR process regardless of finite or infinite variance GARCH errors
Huang, Haitao; Leng, Xuan; Liu, Xiaohui; Peng, Liang - In: Journal of financial econometrics 18 (2020) 2, pp. 425-470
Persistent link: https://www.econbiz.de/10012232977
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A contagion test with unspecified heteroscedastic errors
Aboagye, Ernest; Ko, Stanley Iat-Meng; Lo, Chia Chun; … - In: Journal of economic dynamics & control 159 (2024), pp. 1-20
Persistent link: https://www.econbiz.de/10014532445
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Risk analysis via generalized pareto distributions
He, Yi; Peng, Liang; Zhang, Dabao; Zhao, Zifeng - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 852-867
Persistent link: https://www.econbiz.de/10013534572
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Test for market timing using daily fund returns
Jiang, Lei; Liu, Weimin; Peng, Liang - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 184-196
Persistent link: https://www.econbiz.de/10013540664
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Bootstrap analysis of mutual fund performance
Huang, Haitao; Jiang, Lei; Leng, Xuan; Peng, Liang - In: Journal of econometrics 235 (2023) 1, pp. 239-255
Persistent link: https://www.econbiz.de/10014434393
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Nonparametric tests for market timing ability using daily mutual fund returns
Ding, Jing; Jiang, Lei; Liu, Xiaohui; Peng, Liang - In: Journal of economic dynamics & control 150 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10014287781
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A unified unit root test regardless of intercept
Yang, Bingduo; Liu, Xiaohui; Long, Wei; Peng, Liang - In: Econometric reviews 42 (2023) 6, pp. 540-555
Persistent link: https://www.econbiz.de/10014305575