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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

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

A new model for forecasting VaR and ES using intraday returns aggregation

Song, Shijia; Li, Handong - In: Journal of forecasting 42 (2023) 5, pp. 1039-1054

Persistent link: https://www.econbiz.de/10014338800

Is a co-jump in prices a sparse jump?

Song, Shijia; Li, Handong - In: The North American journal of economics and finance : a … 67 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014483994

Research on the effects of liquidation strategies in the multi-asset artificial market

Luo, Qixuan; Song, Shijia; Li, Handong - In: Computational economics 62 (2023) 4, pp. 1721-1750

Persistent link: https://www.econbiz.de/10014437570

Prediction of Financial System Risk Based on Complex Network

SONG, SHIJIA; Handong, Li - 2023

Financial systemic risk can be characterized by coexceedances in asset prices in financial markets. This paper proposes a method to determine the lead-lag effect of stock exceedances under a complex network framework and uses the leading stocks to predict the systemic risk occurring in the...

Persistent link: https://www.econbiz.de/10014258030