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The relationship between geopolitical risk and crude oil prices: evidence from nonlinear and frequency domain causality tests 期刊论文
SPANISH JOURNAL OF FINANCE AND ACCOUNTING-REVISTA ESPANOLA DE FINANCIACION Y CONTABILIDAD, 2022, 页码: 23
作者:  Jiang, Yong;  Ren, Yi-Shuai;  Yang, Xiao-Guang;  Ma, Chao-Qun;  Weber, Olaf
收藏  |  浏览/下载：69/0  |  提交时间：2023/02/07
Geopolitical risk  oil prices  nonlinear analysis  Granger causality  frequency domain  
Financial hedging in two-stage sustainable commodity supply chains 期刊论文
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2022, 卷号: 303, 期号: 2, 页码: 803-818
作者:  Wang, Moran;  Guo, Xiaolong;  Wang, Shouyang
收藏  |  浏览/下载：60/0  |  提交时间：2023/02/07
Risk analysis  Financial hedging  Index-based price contract  Sustainable supply chain management  Competition  
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach 期刊论文
JOURNAL OF FUTURES MARKETS, 2022, 页码: 25
作者:  Ding, Kailin;  Cui, Zhenyu;  Yang, Xiaoguang
收藏  |  浏览/下载：64/0  |  提交时间：2023/02/07
American Asian options  Asian option  diffusion operator integral  series expansion  
Market volatility, market skewness, and the cross-section of expected returns in Chinese equity markets 期刊论文
APPLIED ECONOMICS, 2022, 页码: 17
作者:  Liu, Qing;  Wang, Shouyang;  Sui, Cong
收藏  |  浏览/下载：61/0  |  提交时间：2023/02/07
Volatility risk  risk-neutral skewness  options  cross-sectional regression  asymmetry  
Adjusted-range self-normalized confidence interval construction for censored dependent data 期刊论文
ECONOMICS LETTERS, 2022, 卷号: 220, 页码: 5
作者:  Sun, Jiajing;  Hong, Yongmiao;  Linton, Oliver;  Zhao, Xiaolu
收藏  |  浏览/下载：70/0  |  提交时间：2023/02/07
Adjusted-range  Censored dependent data  Empirical likelihood  Self-normalization  Survival analysis  
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
作者:  Shi, Ruoshi;  Zhao, Yanlong;  Bao, Ying;  Peng, Cheng
收藏  |  浏览/下载：74/0  |  提交时间：2023/02/07
Counterparty credit exposure  VaR  CVaR  Sensitivity  Greeks  
Heterogeneity dependence between oil prices and exchange rate: Evidence from a parametric test of Granger causality in quantiles 期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2022, 卷号: 62, 页码: 15
作者:  Jiang, Yong;  Ren, Yi-Shuai;  Narayan, Seema;  Ma, Chao-Qun;  Yang, Xiao-Guang
收藏  |  浏览/下载：133/0  |  提交时间：2023/02/07
Heterogeneity dependence  Oil price  Exchange rate  Granger causality in quantiles  
New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact 期刊论文
INTERNATIONAL TRANSACTIONS IN OPERATIONAL RESEARCH, 2022, 页码: 25
作者:  Xu, Fengmin;  Li, Xuepeng;  Dai, Yu-Hong;  Wang, Meihua
收藏  |  浏览/下载：79/0  |  提交时间：2023/02/07
augmented Lagrangian algorithm  equity and liability  optimal portfolio liquidation  price impact  
Nonparametric Prediction Distribution from Resolution-Wise Regression with Heterogeneous Data 期刊论文
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2022, 页码: 16
作者:  Li, Jialu;  Zhang, Wan;  Wang, Peiyao;  Li, Qizhai;  Zhang, Kai;  Liu, Yufeng
收藏  |  浏览/下载：66/0  |  提交时间：2023/02/07
Binary expansion  Data heterogeneity  Nonparametric statistics  SSANOVA  Sure independence screening  
A Scalable Frequentist Model Averaging Method 期刊论文
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2022, 页码: 10
作者:  Zhu, Rong;  Wang, Haiying;  Zhang, Xinyu;  Liang, Hua
收藏  |  浏览/下载：97/0  |  提交时间：2023/02/07
Asymptotic optimality  High-dimensional data  Jackknife criterion  Mallows criterion  Singular value decomposition