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Kernel conditional quantile estimation for stationary processes with application to conditional value-at-risk

Wu, Wei Biao; Yu, Keming; Mitra, Gautam - In: Journal of financial econometrics : official journal of … 6 (2008) 2, pp. 253-270

Persistent link: https://www.econbiz.de/10003687936

A multivariate random walk model with slowly changing drift and cross-correlation applied to finance

Feng, Yuanhua; Hand, D. J.; Yu, Keming - 2012

Persistent link: https://www.econbiz.de/10009572920

A large CVaR-based portfolio selection model with weight constraints

Xu, Qifa; Zhou, Yingying; Jiang, Cuixia; Yu, Keming; … - In: Economic modelling 59 (2016), pp. 436-447

Persistent link: https://www.econbiz.de/10011647901

Mixed data sampling expectile regression with applications to measuring financial risk

Xu, Qifa; Chen, Lu; Jiang, Cuixia; Yu, Keming - In: Economic modelling 91 (2020), pp. 469-486

Persistent link: https://www.econbiz.de/10012429122

Impact of News on Asset Behaviour : Return, Volatility and Liquidity in an Intra-Day Setting

Yu, Xiang - 2013

We report an empirical study of a predictive analysis model for equities; the model uses high frequency (minute-bar) market data and quantified news sentiment data. The purpose of the study is to identify a predictive model which can be used in designing automated trading strategies. Given that...

Persistent link: https://www.econbiz.de/10013078779