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Max-linear competing factor models
Cui, Qiurong; Zhang, Zhengjun - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 62-74
Persistent link: https://www.econbiz.de/10011894393
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Modeling maxima with autoregressive conditional Fréchet model
Zhao, Zifeng; Zhang, Zhengjun; Chen, Rong - In: Journal of econometrics 207 (2018) 2, pp. 325-351
Persistent link: https://www.econbiz.de/10012116357
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Extreme co-movements between infectious disease events and crude oil futures prices : from extreme value analysis perspective
Lin, Hang; Zhang, Zhengjun - In: Energy economics 110 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013349928
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Good and bad self-excitation : asymmetric self-exciting jumps in Bitcoin returns
Zhang, Chuanhai; Zhang, Zhengjun; Xu, Mengyu; Peng, Zhe - In: Economic modelling 119 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014249483