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Upper and Lower Bounds for Matrix Discrepancy 期刊论文
JOURNAL OF FOURIER ANALYSIS AND APPLICATIONS, 2022, 卷号: 28, 期号: 6, 页码: 23
Authors:  Xie, Jiaxin;  Xu, Zhiqiang;  Zhu, Ziheng
Favorite  |  View/Download：16/0  |  Submit date：2023/02/07
Matrix discrepancy  Tight frame  Interlacing polynomials  Kadison-Singer problem  
Sensitivity-based Conditional Value at Risk (SCVaR): An efficient measurement of credit exposure for options 期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2022, 卷号: 62, 页码: 19
Authors:  Shi, Ruoshi;  Zhao, Yanlong;  Bao, Ying;  Peng, Cheng
Favorite  |  View/Download：22/0  |  Submit date：2023/02/07
Counterparty credit exposure  VaR  CVaR  Sensitivity  Greeks  
Smooth Controllability of the Navier-Stokes Equation with Navier Conditions: Application to Lagrangian Controllability 期刊论文
ARCHIVE FOR RATIONAL MECHANICS AND ANALYSIS, 2022, 卷号: 243, 期号: 2, 页码: 869-941
Authors:  Liao, Jiajiang;  Sueur, Franck;  Zhang, Ping
Favorite  |  View/Download：80/0  |  Submit date：2022/04/02
Volatility communicator or receiver? Investigating volatility spillover mechanisms among Bitcoin and other financial markets 期刊论文
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2022, 卷号: 59, 页码: 14
Authors:  Jiang, Shangrong;  Li, Yuze;  Lu, Quanying;  Wang, Shouyang;  Wei, Yunjie
Favorite  |  View/Download：91/0  |  Submit date：2022/04/02
Volatility spillover  Financial property  TVP-VAR model  Variational mode decomposition  Hypotheses testing  
Do credit conditions matter for the impact of oil price shocks on stock returns? Evidence from a structural threshold VAR model 期刊论文
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2021, 卷号: 72, 页码: 1-15
Authors:  Jiang, Yong;  Wang, Gang-Jin;  Ma, Chaoqun;  Yang, Xiaoguang
Favorite  |  View/Download：84/0  |  Submit date：2021/04/26
Oil price shocks  Stock returns  Credit regimes  Structure threshold VAR  Nonlinear impulse response functions  
Why the Effects of Oil Price Shocks on China's Economy are Changing 期刊论文
ENERGY JOURNAL, 2020, 卷号: 41, 期号: 6, 页码: 107-132
Authors:  Wang, Shouyang;  Zhang, Xun;  Zhao, Lin
Favorite  |  View/Download：92/0  |  Submit date：2021/04/26
Oil price shocks  Macroeconomy  China  Dynamic stochastic general equilibrium model  Time varying  
Impact of the RMB Joining in the SDR Basket on Its Internationalization from the Perspective of Risk Spillover 期刊论文
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2020, 页码: 12
Authors:  Zhang, Bingjie;  Wang, Shouyang;  Wei, Yunjie;  Zhao, Xueting
Favorite  |  View/Download：105/0  |  Submit date：2020/09/23
Dynamic network  risk spillover  RMB internationalization  SDR basket  structural VAR  
基于VaR的风险平价投资策略及应用 期刊论文
系统工程学报, 2020, 卷号: 35, 期号: 5, 页码: 623-631,641
Authors:  赵大萍;  房勇
Favorite  |  View/Download：128/0  |  Submit date：2021/01/14
portfolio  risk parity  VaR  global minimum variance portfolio  equal weighted portfolio  投资组合  风险平价  VaR  全局最小方差组合  等权组合  
The return and volatility nexus among stock market and macroeconomic fundamentals for China 期刊论文
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2019, 卷号: 526, 页码: 16
Authors:  Abbas, Ghulam;  Bashir, Usman;  Wang, Shouyang;  Zebende, Gilney Figueira;  Ishfaq, Muhammad
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Returns  Volatility  Macroeconomic variables  Generalized VAR  China  
Critical first-passage percolation starting on the boundary 期刊论文
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2019, 卷号: 129, 期号: 6, 页码: 2049-2065
Authors:  Jiang, Jianping;  Yao, Chang-Long
Favorite  |  View/Download：230/0  |  Submit date：2020/01/10