Narrow search
Showing 1 - 10 of 13
Cover Image
A nonparametric dynamic network via multivariate quantile autoregressions
Cai, Zongwu; Liu, Xiyuan - 2022
Persistent link: https://www.econbiz.de/10013283992
Cover Image
Nonparametric estimation of conditional VaR and expected shortfall
Cai, Zongwu; Wang, Xian - In: Journal of econometrics 147 (2008) 1, pp. 120-130
Persistent link: https://www.econbiz.de/10003783792
Cover Image
Econometric modeling of risk measures : a selective review of the recent literature
Tian, Dingshi; Cai, Zongwu; Fang, Ying - 2018
Persistent link: https://www.econbiz.de/10011965814
Cover Image
Trending mixture copula models with copula selection
Yang, Bingduo; Cai, Zongwu; Hafner, Christian M.; Liu, … - 2018
Persistent link: https://www.econbiz.de/10011965829
Cover Image
Realized volatility forecasting based on dynamic quantile model averaging
Cai, Zongwu; Ma, Chaoqun; Mi, Xianhua - 2020
Persistent link: https://www.econbiz.de/10012312856
Cover Image
A functional-coefficient VAR model for dynamic quantiles with constructing financial network
Cai, Zongwu; Liu, Xiyuan - 2020
Persistent link: https://www.econbiz.de/10012312878
Cover Image
Time-varying mixture copula models with copula selection
Yang, Bingduo; Cai, Zongwu; Hafner, Christian M.; Liu, … - 2021
Persistent link: https://www.econbiz.de/10012602628
Cover Image
Assessing tail risk using expectile regressions with partially varying coefficients
Cai, Zongwu; Fang, Ying; Tian, Dingshi - 2018
Persistent link: https://www.econbiz.de/10011965749
Cover Image
Semiparametric conditional mixture copula models with copula selection
Cai, Zongwu; Liu, Guannan; Long, Wei; Luo, Xuehong - 2023
Persistent link: https://www.econbiz.de/10014521027
Cover Image
A functional-coefficient VAR model for dynamic quantiles and its application to constructing nonparametric financial network
Cai, Zongwu; Liu, Xiyuan; Su, Liangjun - 2024
Persistent link: https://www.econbiz.de/10014521096