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Macroeconomic uncertainty and expected shortfall (and value at risk) : a new dynamic semiparametric model
Pan, Zhiyuan; Wang, Yudong; Liu, Li - In: Quantitative finance 21 (2021) 11, pp. 1791-1805
Persistent link: https://www.econbiz.de/10012696775
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Macroeconomic fundamentals, jump dynamics and expected volatility
Pan, Zhiyuan; Bu, Ruijun; Liu, Li; Wang, Yudong - In: Quantitative finance 20 (2020) 8, pp. 1345-1371
Persistent link: https://www.econbiz.de/10012262666
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Improving forecasting performance of realized covariance with extensions of HAR-RCOV model : statistical significance and economic value
Zhang, Yaojie; Wei, Yu; Liu, Li - In: Quantitative finance 19 (2019) 9, pp. 1425-1438
Persistent link: https://www.econbiz.de/10012194796