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Stock market interactions driven by large declines
Ma, Yong; Zhang, Weiguo; Zhang, Zhengjun; Xu, Weidong - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 159-171
Persistent link: https://www.econbiz.de/10010485770
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Copula structured M4 processes with application to high-frequency financial data
Zhang, Zhengjun; Zhu, Bin - In: Journal of econometrics 194 (2016) 2, pp. 231-241
Persistent link: https://www.econbiz.de/10011705118
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Stochastic tail index model for high frequency financial data with Bayesian analysis
Mao, Guangyu; Zhang, Zhengjun - In: Journal of econometrics 205 (2018) 2, pp. 470-487
Persistent link: https://www.econbiz.de/10012110325
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Extreme co-movements between infectious disease events and crude oil futures prices : from extreme value analysis perspective
Lin, Hang; Zhang, Zhengjun - In: Energy economics 110 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013349928
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Good and bad self-excitation : asymmetric self-exciting jumps in Bitcoin returns
Zhang, Chuanhai; Zhang, Zhengjun; Xu, Mengyu; Peng, Zhe - In: Economic modelling 119 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014249483
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Extreme co-movements between CO2 emission allowances and commodity markets and their response to economic policy uncertainty
Lu, Xunfa; He, Pengchao; Zhang, Zhengjun; Apergēs, Nikolaos - In: Energy economics 138 (2024), pp. 1-17
Persistent link: https://www.econbiz.de/10015187427