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A unified test for predictability of asset returns regardless of properties of predicting variables
Liu, Xiaohui; Yang, Bingduo; Cai, Zongwu; Peng, Liang - In: Journal of econometrics 208 (2019) 1, pp. 141-159
Persistent link: https://www.econbiz.de/10012139823
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Bootstrap analysis of mutual fund performance
Huang, Haitao; Jiang, Lei; Leng, Xuan; Peng, Liang - In: Journal of econometrics 235 (2023) 1, pp. 239-255
Persistent link: https://www.econbiz.de/10014434393
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Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
Chan, Ngai Hang; Deng, Shi-jie; Peng, Liang; Xia, Zhendong - In: Journal of econometrics 137 (2007) 2, pp. 556-576
Persistent link: https://www.econbiz.de/10003441983
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Tail dependence measure for examining financial extreme co-movements
Asimit, Alexandru V.; Gerrard, Russell; Hou, Yanxi; … - In: Journal of econometrics 194 (2016) 2, pp. 330-348
Persistent link: https://www.econbiz.de/10011705189
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Panel quantile regression for extreme risk
Hou, Yanxi; Leng, Xuan; Peng, Liang; Zhou, Yinggang - In: Journal of econometrics 240 (2024) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10015075043
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Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
Hang Chan, Ngai; Deng, Shi-Jie; Peng, Liang; Xia, Zhendong - In: Journal of econometrics 137 (2007) 2, pp. 556-576
Persistent link: https://www.econbiz.de/10007604720
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Posterior-based Wald-type statistics for hypothesis testing
Liu, Xiaobin; Li, Yong; Yu, Jun; Zeng, Tao - In: Journal of econometrics 230 (2022) 1, pp. 83-113
Persistent link: https://www.econbiz.de/10013441919