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Pricing Discrete Barrier Options Under the Jump-Diffusion Model with Stochastic Volatility and Stochastic Intensity 期刊论文
COMMUNICATIONS IN MATHEMATICS AND STATISTICS, 2022, 页码: 25
作者:  Duan, Pingtao;  Liu, Yuting;  Ma, Zhiming
收藏  |  浏览/下载：55/0  |  提交时间：2023/02/07
Option pricing  Discrete barrier options  Jump-diffusion model  Stochastic volatility  Stochastic intensity  
Evaluating influential nodes for the Chinese energy stocks based on jump volatility spillover network 期刊论文
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2022, 卷号: 78, 页码: 81-94
作者:  Huang, Chuangxia;  Zhao, Xian;  Deng, Yunke;  Yang, Xiaoguang;  Yang, Xin
收藏  |  浏览/下载：122/0  |  提交时间：2022/04/02
Complex network  Chinese energy stock market  High-frequency data  Jump volatility  Entropy weight TOPSIS  
Jump volatility spillover network based measurement of systemic importance of Chinese financial institutions 期刊论文
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2021, 页码: 13
作者:  Yang, Xin;  Chen, Shan;  Liu, Hong;  Yang, Xiaoguang;  Huang, Chuangxia
收藏  |  浏览/下载：137/0  |  提交时间：2021/04/26
Financial institution network  jump volatility  panel data regression model  
Systemic Importance of China's Financial Institutions: A Jump Volatility Spillover Network Review 期刊论文
ENTROPY, 2020, 卷号: 22, 期号: 5, 页码: 15
作者:  Yang, Xin;  Zhao, Xian;  Gong, Xu;  Yang, Xiaoguang;  Huang, Chuangxia
收藏  |  浏览/下载：140/0  |  提交时间：2020/09/23
financial institution  complex network  jump volatility  entropy weight TOPSIS  
基于杠杆效应和结构突变的HAR族模型及其对股市波动率的预测研究 期刊论文
系统工程理论与实践, 2020, 卷号: 40.0, 期号: 005, 页码: 1113-1133
作者:  龚旭;  曹杰;  文凤华;  杨晓光
收藏  |  浏览/下载：174/0  |  提交时间：2021/01/14
HAR-RV模型  杠杆效应  结构突变  ICSS算法  MCS检验  
Futures price modeling under exchange rate volatility and its multi-period semi-variance portfolio selection 期刊论文
INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE, 2009, 卷号: 40, 期号: 11, 页码: 1139-1148
作者:  Yan, Wei;  Li, Shurong
收藏  |  浏览/下载：124/0  |  提交时间：2018/07/30
four-factor model  multi-period semi-variance portfolio  exchange rate  futures  hybrid GA with PSO  economic systems  finance  partial differential equations  genetic algorithms  
Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility 期刊论文
JOURNAL OF ECONOMETRICS, 2008, 卷号: 143, 期号: 2, 页码: 227-262
作者:  Chen, Gongmeng;  Choi, Yoon K.;  Zhou, Yong
收藏  |  浏览/下载：93/0  |  提交时间：2018/07/30
nonparametric regression  wavelet coefficient  change points  kernel estimation  local polynomial smoother  conditional heteroscedastic variance  alpha-mixing