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Are systemic risk measures effective? : Evidence from macroeconomic downside risk prediction

Jian, Zhihong; Lu, Haisong; Zhu, Zhican - In: Applied economics letters 31 (2024) 18, pp. 1820-1827

Persistent link: https://www.econbiz.de/10015084409

Asymmetric extreme risk spillovers between the Chinese stock market and index futures market : an MV-CAViaR based intraday CoVaR approach

Jian, Zhihong; Wu, Shuai; Zhu, Zhican - In: Emerging markets review 37 (2018), pp. 98-113

Persistent link: https://www.econbiz.de/10012114983

High-dimensional covariance forecasting based on principal component analysis of high-frequency data

Jian, Zhihong; Deng, Pingjun; Zhu, Zhican - In: Economic modelling 75 (2018), pp. 422-431

Persistent link: https://www.econbiz.de/10012101548

Intraday price jumps, market liquidity, and the magnet effect of circuit breakers

Jian, Zhihong; Zhu, Zhican; Zhou, Jie; Wu, Shuai - In: International review of economics & finance : IREF 70 (2020), pp. 168-186

Persistent link: https://www.econbiz.de/10012486784

Sequential forecasting of downside extreme risk during overnight and daytime : evidence from the Chinese Stock Market

Jian, Zhihong; Li, Xupei; Zhu, Zhican - In: Pacific-Basin finance journal 64 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012493928

Extreme risk transmission channels between the stock index futures and spot markets : evidence from China

Jian, Zhihong; Li, Xupei; Zhu, Zhican - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013413574

The macroeconomic effects of enhanced reforms in China

Jian, Zhihong; Yang, Yeqing - In: The Singapore economic review : journal of the Economic … 65 (2020) 6, pp. 1619-1644

Persistent link: https://www.econbiz.de/10012589846

Skewness-based market integration : a systemic risk measure across international equity markets

Jian, Zhihong; Li, Xupei - In: International review of financial analysis 74 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10012803812

Can Signaling Attract Foreign Direct Investment? Effect of International Mega-Events in China

Zhang, Hejie; Lin, Shenghau; Zhu, Zhican - 2022

This paper explores the impact of signaling on foreign direct investment (FDI) by taking international mega-events hosted in different cities in China as a quasi-natural experiment. The empirical research shows that hosting international mega-events increases FDI in the host cities. Moreover,...

Persistent link: https://www.econbiz.de/10014080557

Noise Information and Default Risk Valuation

Jian, Zhihong - 2005

This paper analyzes the effect of noise information on the valuation of default risk. Main assumptions are that the true value of a firm's value and its observation follows a certain stochastic process, and a noise component that disturbs the observation is included in the process of observed...

Persistent link: https://www.econbiz.de/10012736604