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On the recovery of joint distributions from limited information

Miller, Douglas J.; Liu, Wei-han - In: Journal of econometrics 107 (2002) 1/2, pp. 259-274

Persistent link: https://www.econbiz.de/10001651297

Improved estimation of portfolio value-at-risk under Copula models with mixed marginals

Miller, Douglas J.; Liu, Wei-han - In: The journal of futures markets 26 (2006) 10, pp. 997-1018

Persistent link: https://www.econbiz.de/10003391974

Attaining stochastic optimal control over debt ratios in U.S. markets

Liu, Wei-han - In: Review of quantitative finance and accounting 61 (2023) 3, pp. 967-993

Persistent link: https://www.econbiz.de/10014342125

Lunar calendar effect : evidence of the Chinese Farmer's Calendar on the equity markets in East Asia

Liu, Wei-han - In: Journal of the Asia Pacific economy 18 (2013) 4, pp. 560-593

This paper examines the statistical relation between the Chinese Farmer's Calendar (CFC) and public market information in 10 East Asian equity markets during 1995-2004. CATREG and CART, two data mining techniques, are employed and the implications of the outcomes are discussed. The outcomes...

Persistent link: https://www.econbiz.de/10015180010