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Asset selection based on high frequency Sharpe ratio 期刊论文
JOURNAL OF ECONOMETRICS, 2022, 卷号: 227, 期号: 1, 页码: 168-188
作者:  Wang, Christina Dan;  Chen, Zhao;  Lian, Yimin;  Chen, Min
收藏  |  浏览/下载：158/0  |  提交时间：2022/04/29
Asset selection  High frequency Sharpe ratio  Ultrahigh dimensional  Serial correlation  Sure screening property  
Database Resources of the National Genomics Data Center, China National Center for Bioinformation in 2022 期刊论文
NUCLEIC ACIDS RESEARCH, 2022, 卷号: 50, 期号: D1, 页码: D27-D38
作者:  Xue, Yongbiao;  Bao, Yiming;  Zhang Zhang;  Zhao, Wenming;  Xiao, Jingfa;  He, Shun-min;  Zhang, Guoqing;  Li, Yixue;  Guoping, Zhao;  Chen, Runsheng;  Zeng, Jingyao;  Zhang, Yadong;  Shang, Yun-fei;  Mai, Jialin;  Shi, Shuo;  Lu, Mingming;  Bu, Congfan;  Zhang, Zhewen;  Du, Zhenglin;  Wang, Yinying;  Kang, Hongen;  Xu, Tianyi;  Hao, Lili;  Jia, Peilin;  Jiang, Shuai;  Qian, Qiheng;  Zhu, Tong-tong;  Shang, Yunfei;  Zong, Wenting;  Jin, Tong;  Zhang, Yuansheng;  Zou, Dong;  Zhang, Zhang;  Du, Qiang;  Feng, Changrui;  Ma, Lina;  Zhang, Sisi;  Wang, Anke;  Dong, Lili;  Wang, Yan-qing;  Liu, Wan;  Yan, Xing;  Ling, Yunchao;  Zhao, Guoping;  Zhou, Zhihua;  Kang, Wang;  Zhang, Tao;  Ma, Shuai;  Yan, Haoteng;  Liu, Zunpeng;  Ji, Zejun;  Cai, Yusheng;  Wang, Si;  Song, Moshi;  Ren, Jie;  Zhou, Qi;  Qu, Jing;  Zhang, Weiqi;  Liu, Guanghui;  Chen, Xu;  Chen, Tingting;  Sisi, Zhang;  Sun, Yanling;  Yu, Caixia;  Tang, Bixia;  Zhu, Junwei;  Zhai, Shuang;  Sun, Yubin;  Chen, Qiancheng;  Yang, Xiaoyu;  Zhang, Xin;  Sang, Zhengqi;  Wang, Yonggang;  Zhao, Yilin;  Chen, Huanxin;  Lan, Li;  Wang, Yanqing;  Ma, Yingke;  Jia, Yaokai;  Zheng, Xin-chang;  Chen, Meili;  Dong, Zou;  Zhu, Tongtong;  Ming, Chen;  Niu, Guangyi;  Pan, Rong;  Jing, Wei;  Sang, Jian;  Liu, Chang;  Xiong, Yujia;  Lili, Hao;  Zhang, Mochen;  Wang, Guoliang;  Yi, Lizhi;  Wei, Zhao;  Zong, Wenting;  Wu, Song;  Xiong, Zhuang;  Rujiao, Li;  Zheng, Gong;  Li, Rujiao;  Liu, Lin;  Li, Zhao;  Li, Qianpeng;  Wei, Jing;  Luo, Sicheng;  Wang, Jiajia;  Shi, Yirong;  Zhou, Honghong;  Zhang, Peng;  Song, Tingrui;  Li, Yanyan;  Yang, Fei;  Li, Mengwei;  Li, Zhao-hua;  Kang, Hongen;  Zheng, Xinchang;  Li, Ru-jiao;  Tian, Dongmei;  Liu, Xiaonan;  Li, Cuiping;  Teng, Xufei;  Song, Shuhui;  Zhang, Yang;  Niu, Guangyi;  Zhu, Tongtong;  Zhang, Yuansheng;  Chen, Ruru;  Zhang, Rongqin;  Xu, Feng;  Wang, Yifan;  Ling, Yunchao;  Zhou, Chenfen;  Wang, Haizhou;  Teschendorff, Andrew E.;  He, Yungang;  Zhen, Yang;  Li, Cuiping;  Zhu, Junwei;  Li, Lun;  Li, Na;  Gong, Zheng;  Chen, Meili;  Ying Cui;  Duan, Guangya;  Tong, Jin;  Wu, Gangao;  Huang, Tianhao;  Jin, Enhui;  Zhao, Wei;  Kang, Hailong;  Wang, Zhonghuang;  Zeng, Jingyao;  Chen, Hua;  Li, Mingkun;  Zhao, Wenming;  Ning, Wanshan;  Xue, Yu;  Liu, Yanhu;  Cui, Ying;  Zhou, Qijun;  Liu, Xingyan;  Zhang, Longlong;  Mao, Bingyu;  Zhang, Shihua;  Zhang, Yaping;  Wang, Guodong;  Zhu, Qianghui;  Li, Xin;  Li, Menghua;  Liu, Yuanming;  Luo, Hong;  Wu, Xiaoyuan;  Jing, Haichun;  Pan, Yitong;  Chen, Ming;  Ma, Lina;  Shi, Leisheng;  Li, Mingkun;  Lan, Li;  Bao, Yiming;  Zhao, Wen-ming;  Zuo, Zhixiang;  Ren, Jian;  Zhang, Xinxin;  Xiao, Yun;  Li, Xia;  Liu, Dan;  Zhang, Chi;  Xue, Yu;  Zhao, Zheng;  Jiang, Tao;  Wu, Wanying;  Zhao, Fangqing;  Meng, Xianwen;  Peng, Di;  Luo, Hao;  Gao, Feng;  Lin, Shaofeng;  Liu, Chuijie;  Guo, Anyuan;  Yuan, Hao;  Su, Tianhan;  Zhang, Yong E.;  Zhou, Yincong;  Zhang, Weizhi;  Fu, Shanshan;  Tan, Xiaodan;  Xie, Yubin;  Guo, Guoji;  Wang, Chenwei;  Liao, Xingyu;  Gao, Xin;  Wang, Jianxin;  Xie, Guiyan;  Yuan, Chunhui;  Tian, Feng;  Yang, Dechang;  Tang, Dachao;  Wu, Wenyi;  Gou, Yujie;  Han, Cheng;  Cui, Qinghua;  Li, Xiang Shang;  Li, Chuan-Yun;  Luo, XiaoTong;  Ren, Jia;  Li, Xia
收藏  |  浏览/下载：549/0  |  提交时间：2022/04/02
跨部门金融机构系统重要性和共振效应的动态演化研究——基于中国A股市场的实证 期刊论文
中国管理科学, 2020, 卷号: 000, 期号: 004, 页码: 36-47
作者:  陈暮紫;  赵婷婷;  刘承林;  陈敏
收藏  |  浏览/下载：161/0  |  提交时间：2021/01/14
跨部门  Granger因果网络  中心性  动态关联度  系统重要性  
M-estimation for periodic GARCH model with high-frequency data 期刊论文
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2017, 卷号: 33, 期号: 3, 页码: 717-730
作者:  Fan, Peng-ying;  Wu, Si-xin;  Zhao, Zi-long;  Chen, Min
收藏  |  浏览/下载：156/0  |  提交时间：2018/07/30
asymptotic normality  consistency  high-frequency data  PGARCH model  M-estimator  
Sure explained variability and independence screening 期刊论文
JOURNAL OF NONPARAMETRIC STATISTICS, 2017, 卷号: 29, 期号: 4, 页码: 849-883
作者:  Chen, Min;  Lian, Yimin;  Chen, Zhao;  Zhang, Zhengjun
收藏  |  浏览/下载：164/0  |  提交时间：2018/07/30
Feature screening  sure screening property  generalised measures of correlation  nonparametric inference  model-free approach  
mestimationforperiodicgarchmodelwithhighfrequencydata 期刊论文
actamathematicaeapplicataesinicaenglishseries, 2017, 卷号: 33, 期号: 3, 页码: 717
作者:  Fan Pengying;  Wu Sixin;  Zhao Zilong;  Chen Min
收藏  |  浏览/下载：152/0  |  提交时间：2020/01/10
Composite quantile regression estimation for P-GARCH processes 期刊论文
SCIENCE CHINA-MATHEMATICS, 2016, 卷号: 59, 期号: 5, 页码: 977-998
作者:  Zhao Biao;  Chen Zhao;  Tao GuiPing;  Chen Min
收藏  |  浏览/下载：168/0  |  提交时间：2018/07/30
composite quantile regression  periodic GARCH process  strictly periodic stationarity  strong consistency  asymptotic normality  
compositequantileregressionestimationforpgarchprocesses 期刊论文
sciencechinamathematics, 2016, 卷号: 59, 期号: 5, 页码: 977
作者:  Zhao Biao;  Chen Zhao;  Tao Guiping;  Chen Min
收藏  |  浏览/下载：147/0  |  提交时间：2020/01/10
基于高频夏普指数的组合证券投资模型 期刊论文
系统工程理论与实践, 2015, 卷号: 35, 期号: 1, 页码: 17
作者:  王艳;  陈敏;  赵子龙
收藏  |  浏览/下载：80/0  |  提交时间：2020/01/10
基于LARS-Lasso的指数跟踪及其在股指期货套利策略中的应用 期刊论文
数理统计与管理, 2011, 卷号: 030, 期号: 006, 页码: 1104
作者:  梁斌;  陈敏;  缪柏其;  黄意球;  陈钊
收藏  |  浏览/下载：146/0  |  提交时间：2020/01/10