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Optimal asset allocation with heterogeneous discounting and stochastic income under CEV model
Li, Danping; Lai, Yongzeng; Li, Lin - In: Journal of the Operational Research Society 71 (2020) 12, pp. 2013-2026
Persistent link: https://www.econbiz.de/10012314419
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Explicit approximate analytic formulas for timer option pricing with stochastic interest rates
Ma, Jingtang; Deng, Dongya; Lai, Yongzeng - In: The North American journal of economics and finance : a … 34 (2015), pp. 1-21
Persistent link: https://www.econbiz.de/10011539653
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The day-of-the-Week effects of stock markets in different countries
Zhang, Jilin; Lai, Yongzeng; Lin, Jianghong - In: Finance research letters 20 (2017), pp. 47-62
Persistent link: https://www.econbiz.de/10011806760
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Forecasting stock index return and volatility based on GAVMD- Carbon-BiLSTM : how important is carbon emission trading?
Ouyang, Zisheng; Lu, Min; Lai, Yongzeng - In: Energy economics 128 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10015072635
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Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli; Kang, Jian; Teräsvirta, Timo; Zhang, Shuhua - In: Energy economics 97 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012821325
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Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli; Kang, Jian; Teräsvirta, Timo; Zhang, Shuhua - 2019
Persistent link: https://www.econbiz.de/10012316892
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The volatility-confined LPPL model : a consistent model of "explosive" financial bubbles with mean-reverting residuals
Lin, Li; Ren, R. E.; Sornette, Didier - In: International review of financial analysis 33 (2014), pp. 210-225
Persistent link: https://www.econbiz.de/10010520461
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The impact of securities margin trading on Chinese stock market
Chen, Shaozhen; Su, Liang; Lin, Li; Zhou, Chaoqun; Lin, … - In: International journal of economics and finance 10 (2018) 4, pp. 101-111
Persistent link: https://www.econbiz.de/10011859979
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A consistent model of "explosive" financial bubbles with mean-reversing residuals
Lin, Li; Ren, Ruoen; Sornette, Didier - 2009
We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process and a stochastic conditional return which reflects nonlinear positive feedbacks and continuous updates of the investors' beliefs and sentiments. The conditional expected returns...
Persistent link: https://www.econbiz.de/10003970340
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A Consistent Model of 'Explosive' Financial Bubbles with Mean-Reversing Residuals
li, Lin; Ren, Ruoen; Sornette, Didier - 2010
We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process and a stochastic conditional return which reflects nonlinear positive feedbacks and continuous updates of the investors' beliefs and sentiments. The conditional expected returns...
Persistent link: https://www.econbiz.de/10014195793