Narrow search
Showing 1 - 8 of 8
Cover Image
Extreme co-movements and extreme impacts in high frequency data in finance
Zhang, Zhengjun; Shinki, Kazuhiko - In: Journal of banking & finance 31 (2007) 5, pp. 1399-1415
Persistent link: https://www.econbiz.de/10003461168
Cover Image
Evaluating the default risk of bond portfolios with extreme value theory
Ma, Yong; Zhang, Zhengjun; Zhang, Weiguo; Xu, Weidong - In: Computational economics 45 (2015) 4, pp. 647-668
Persistent link: https://www.econbiz.de/10011440981
Cover Image
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
Cover Image
Can cryptocurrencies be a safe haven : a tail risk perspective analysis
Feng, Wenjun; Yiming, Wang; Zhang, Zhengjun - In: Applied economics 50 (2018) 44, pp. 4745-4762
Persistent link: https://www.econbiz.de/10012061627
Cover Image
An intrinsic robust rank-one-approximation approach for currency portfolio optimization
Huang, Hongxuan; Zhang, Zhengjun - In: Quantitative finance and economics 2 (2018) 1, pp. 160-189
Persistent link: https://www.econbiz.de/10012137919
Cover Image
Special issue on financial engineering and risk management
Zhang, Zhengjun (ed.); Linton, Oliver (ed.) - 2019
Persistent link: https://www.econbiz.de/10012140255
Cover Image
Mark to market value at risk
Chen, Yu; Wang, Zhicheng; Zhang, Zhengjun - In: Journal of econometrics 208 (2019) 1, pp. 299-321
Persistent link: https://www.econbiz.de/10012145015
Cover Image
Risk-weighted cryptocurrency indices
Feng, Wenjun; Zhang, Zhengjun - In: Finance research letters 51 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014291558