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Dynamic asset allocation with jump risk

Xu, Weidong; Wu, Chongfeng; Xu, Weijun; Li, Hongyi - In: Journal of risk 12 (2009/10) 3, pp. 29-44

Persistent link: https://www.econbiz.de/10003970172

A jump-diffusion approach to modelling vulnerable option pricing

Xu, Weidong; Xu, Weijun; Li, Hongyi; Xiao, Weilin - In: Finance research letters 9 (2012) 1, pp. 48-56

Persistent link: https://www.econbiz.de/10009575333

Robust general equilibrium under stochastic volatility model

Xu, Weidong; Wu, Chongfeng; Li, Hongyi - In: Finance research letters 7 (2010) 4, pp. 224-231

Persistent link: https://www.econbiz.de/10009272750

Chinese stock market volatility and the role of U.S. economic variables

Chen, Jian; Jiang, Fuwei; Li, Hongyi; Xu, Weidong - In: Pacific-Basin finance journal 39 (2016), pp. 70-83

Persistent link: https://www.econbiz.de/10011669190

A novel jump diffusion model based on SGT distribution and its applications

Xu, Weijun; Liu, Guifang; Li, Hongyi - In: Economic modelling 59 (2016), pp. 74-92

Persistent link: https://www.econbiz.de/10011647763

Chinese Stock Market Volatility and the Role of U.S. Economic Variables

Chen, Jian - 2017

This paper investigates the effects of U.S. economic variables on the time variation of Chinese stock market volatility. We find that several U.S. economic variables such as the dividend price ratio, dividend yield and industrial production strongly forecast the future monthly volatilities of...

Persistent link: https://www.econbiz.de/10012969357