| Publication | Date of Publication | Type |
|---|
A new variable selection and estimation algorithm for the high-dimensional quantile single-index model
Communications in Statistics. Simulation and Computation | 2026-02-25 | Paper |
Assessing time-varying risk in China's GDP growth
Economics Letters | 2024-11-12 | Paper |
Statistical inference of mode regression with adaptive Lasso
Chinese Journal of Applied Probability and Statistics | 2024-08-12 | Paper |
Variance swaps with mean reversion and multi-factor variance
European Journal of Operational Research | 2024-06-13 | Paper |
Bubbles and dependence between international equity markets
Quantitative Finance | 2024-04-12 | Paper |
Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure
Probability in the Engineering and Informational Sciences | 2023-06-16 | Paper |
Upgrade strategies in the two-sided market: Updated strategy vs. derived strategy
INFOR: Information Systems and Operational Research | 2023-03-15 | Paper |
Stochastic volatility model with correlated jump sizes and independent arrivals
Probability in the Engineering and Informational Sciences | 2022-11-18 | Paper |
| Cryptocurrency risk measurement based on MIDAS-Expectile regression model | 2021-12-17 | Paper |
| A study of dynamic cointegration of gold and bitcoin --- based on semiparametric MIDAS quantile regression model | 2021-07-01 | Paper |
| scientific article; zbMATH DE number 7366629 (Why is no real title available?) | 2021-07-01 | Paper |
| Dynamic correlation of quantile regression model based on smooth transition mechanism | 2021-01-14 | Paper |
Measuring contagion of subprime crisis based on MVMQ-CAViaR method
Discrete Dynamics in Nature and Society | 2019-08-23 | Paper |
| scientific article; zbMATH DE number 7028962 (Why is no real title available?) | 2019-02-22 | Paper |
| Risk spillover effect between oil and exchange rates: based on MV-CAViaR model | 2018-10-22 | Paper |
Time-varying quantile association regression model with applications to financial contagion and VaR
European Journal of Operational Research | 2018-05-24 | Paper |
| Analysis of sub-prime loan crisis contagion based on change-point testing method of FIDC model | 2017-10-20 | Paper |
| Granger causality test in quantiles and conditional VaR estimation of continuously rising and falling returns | 2017-10-20 | Paper |
Markov regime-switching quantile regression models and financial contagion detection
Insurance Mathematics & Economics | 2016-05-12 | Paper |
Evaluating CVaR conditioned on VPIN based on the threshold quantile regression model
Journal of University of Science and Technology of China | 2014-11-03 | Paper |
Nonlinear features and mean reversion mechanism research based on the basis of stock index futures
Journal of University of Science and Technology of China | 2014-11-03 | Paper |
| Estimating auto-dependence structure and conditional VaR based on canonical vine copula | 2014-06-30 | Paper |
| scientific article; zbMATH DE number 6262816 (Why is no real title available?) | 2014-02-28 | Paper |
Measuring the subprime crisis contagion: evidence of change point analysis of copula functions
European Journal of Operational Research | 2012-12-29 | Paper |
Analysis of a multivariate Gaussian mixture model based on the DRJMCMC method
Journal of University of Science and Technology of China | 2012-10-05 | Paper |
| Evaluation of condition VaR based on threshold quantile regression model | 2009-07-22 | Paper |
The application of spectral distribution of product of two random matrices in the factor analysis
Science in China. Series A | 2007-12-19 | Paper |
