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Volatility dynamics under duration-dependent mixing

Maheu, John M.; McCurdy, Thomas H. - In: Journal of empirical finance 7 (2000) 3/4, pp. 345-372

Persistent link: https://www.econbiz.de/10001558275

A multivariate GARCH-jump mixture model

Li, Chenxing; Maheu, John M. - In: Journal of forecasting 43 (2024) 1, pp. 182-207

Persistent link: https://www.econbiz.de/10014443194

Convex risk measures based on generalized lower deviation and their applications

Fu, Tianwen; Zhuang, Xinkai; Hui, Yongchang; Liu, Jia - In: International review of financial analysis 52 (2017), pp. 27-37

Persistent link: https://www.econbiz.de/10011868689

Time consistent multi-period robust risk measures and portfolio selection models with regime-switching

Liu, Jia; Chen, Zhiping - In: European journal of operational research : EJOR 268 (2018) 1, pp. 373-385

Persistent link: https://www.econbiz.de/10011813114

Composite time-consistent multi-period risk measure and its application in optimal portfolio selection

Chen, Zhiping; Liu, Jia; Li, Gang; Yan, Zhe - In: Top : transactions in operations research 24 (2016) 3, pp. 515-540

Persistent link: https://www.econbiz.de/10011671484

Multi-period risk measures and optimal investment policies

Chen, Zhiping; Consigli, Giorgio; Liu, Jia; Li, Gang; … - In: Optimal financial decision making under uncertainty, (pp. 1-34). 2017

Persistent link: https://www.econbiz.de/10011558439

Online portfolio selection with long-short term forecasting

Li, Roujia; Liu, Jia - In: Operations research forum 3 (2022) 4, pp. 1-15

Persistent link: https://www.econbiz.de/10013461950

The cost of delay as risk measure in target-based multi-period portfolio selection models

Liu, Jia; Chen, Zhiping; Consigli, Giorgio - In: IMA journal of management mathematics 35 (2024) 3, pp. 345-377

Persistent link: https://www.econbiz.de/10014634191

Crude oil risk forecasting : new evidence from multiscale analysis approach

He, Kaijian; Tso, Kwok Fai Geoffrey; Zou, Yingchao; Liu, Jia - In: Energy economics 76 (2018), pp. 574-583

Persistent link: https://www.econbiz.de/10011976731

Sparse Change-Point VAR models

Dufays, Arnaud - 2019

Change-point (CP) VAR models face a dimensionality curse due to the proliferation of parameters that arises when new breaks are detected. To handle large data sets, we introduce the Sparse CP-VAR model that determines which parameters truly vary when a break is detected. By doing so, the number...

Persistent link: https://www.econbiz.de/10012862035