Research

Publication

Volatility forecasts by clustering: Applications for VaR estimation _{^{(joint with Peimin Chen, Chunchi Wu, Peng Liu, Interrnational Review of Finance and Economics, 2024, Vol.94, doi: https://doi.org/10.1016/j.iref.2024.05.034.)}}

Work in Progress

Network Portfolio and its Estimation under High-dimensionality _{^{(joint with Rui Ren, Wolfgang Karl Härdle, Wei Biao Wu, R&R)}}

Risk Premia in the Bitcoin Market _{^{(joint with Caio Almeida, Maria Grith, Ratmir Miftachov, working paper)}}

GEV-based Distance to Default _{^{(joint with Peimin Chen, Chunchi Wu, working paper)}}

Firms’ environmental performance and stock returns long-term volatility level and connectedness. Evidence from international comparison _{^{(joint with Gianluca Vagnani, Jinhuan Tian, Yan Dong, working paper)}}

Markov Dynamic Correlation _{^{(joint with Gianluca Vagnani, working paper)}}

Regime-Dependent Multi-Task Learning for Risk-Adjust Portfolio _{^{(joint with Junzo Watada, Yicheng Wei, working paper)}}