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Enhancing credit default swap valuation with meshfree methods

Guarin, Alexander; Liu, Xiaoquan; Wing Lon Ng - In: European journal of operational research : EJOR 214 (2011) 3, pp. 805-813

Persistent link: https://www.econbiz.de/10009316165

The signalling properties of the shape of the credit default swap term structure

Castellanos, Jenny; Constantinou, Nick; Wing Lon Ng - In: Journal of risk 17 (2014/2015) 4, pp. 71-99

Persistent link: https://www.econbiz.de/10013262935

Analysing financial contagion and asymmetric market dependence with volatility indices via copulas

Yue Peng; Wing Lon Ng - In: Annals of finance 8 (2012) 1, pp. 49-74

Persistent link: https://www.econbiz.de/10009510581

Intraday liquidity patterns in limit order books

Malik, Azeem; Wing Lon Ng - In: Studies in economics and finance 31 (2014) 1, pp. 46-71

Persistent link: https://www.econbiz.de/10010258798

Minimizing Basel III capital requirements with unconditional coverage constraint

Kleinknecht, Manuel; Wing Lon Ng - In: Intelligent systems in accounting finance and … 22 (2015) 4, pp. 263-281

Persistent link: https://www.econbiz.de/10011536590

A simulation analysis of herding and unifractal scaling behaviour

Phelps, Steve; Wing Lon Ng - In: Intelligent systems in accounting finance and … 21 (2014) 1, pp. 39-58

Persistent link: https://www.econbiz.de/10010339785

Volatility Modeling and Prediction : The Role of Price Impact

Jiang, Ying - 2018

In this paper, we are interested in exploring the role of price impact, derived from the order book, in modeling and predicting stock volatility. This is motivated by the microstructure literature that focuses on the mechanics of price formation and its relevance to market quality. Using a...

Persistent link: https://www.econbiz.de/10012913968

Can currency-based risk factors help forecast exchange rates?

Ahmed, Shamim; Liu, Xiaoquan; Valente, Giorgio - In: International journal of forecasting 32 (2016) 1, pp. 75-97

Persistent link: https://www.econbiz.de/10011596451

A two-stage Bayesian network model for corporate bankruptcy prediction

Cao, Yi; Liu, Xiaoquan; Zhai, Jia; Hua, Shan - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 455-472

Persistent link: https://www.econbiz.de/10012814601

A neural network enhanced volatility component model

Zhai, Jia; Cao, Yi; Liu, Xiaoquan - In: Quantitative finance 20 (2020) 5, pp. 783-797

Persistent link: https://www.econbiz.de/10012262620