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期刊论文 [57]
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Market volatility, market skewness, and the cross-section of expected returns in Chinese equity markets
期刊论文
APPLIED ECONOMICS, 2022, 页码: 17
作者:
Liu, Qing
;
Wang, Shouyang
;
Sui, Cong
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  |  
浏览/下载:16/0
  |  
提交时间:2023/02/07
Volatility risk
risk-neutral skewness
options
cross-sectional regression
asymmetry
Take Bitcoin into your portfolio: a novel ensemble portfolio optimization framework for broad commodity assets
期刊论文
Financial Innovation, 2021, 卷号: 7, 期号: 1
作者:
Li,Yuze
;
Jiang,Shangrong
;
Wei,Yunjie
;
Wang,Shouyang
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  |  
浏览/下载:18/0
  |  
提交时间:2021/10/26
Portfolio optimization
Bitcoin
Deep learning
Reinforcement learning
Variational mode decomposition
Oil price shocks, investor sentiment, and asset pricing anomalies in the oil and gas industry
期刊论文
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2020, 卷号: 70
作者:
Zhu, Zhaobo
;
Ji, Qiang
;
Sun, Licheng
;
Zhai, Pengxiang
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  |  
浏览/下载:25/0
  |  
提交时间:2021/01/16
Spillovers among sovereign CDS, stock and commodity markets: A correlation network perspective
期刊论文
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2020, 卷号: 68
作者:
Sun, Xiaolei
;
Wang, Jun
;
Yao, Yanzhen
;
Li, Jingyu
;
Li, Jianping
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  |  
浏览/下载:20/0
  |  
提交时间:2021/01/16
Weighing asset pricing factors: a least squares model averaging approach
期刊论文
QUANTITATIVE FINANCE, 2019
作者:
Qiu, Yue
;
Ren, Yu
;
Xie, Tian
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  |  
浏览/下载:10/0
  |  
提交时间:2019/08/22
Asset pricing
HJ-distance
Model averaging
Model screening
The Effect of Governance Quality on Economic Growth: Based on China's Provincial Panel Data
期刊论文
ECONOMIES, 2018, 卷号: 6, 期号: 4
作者:
Liu, Jiandang
;
Tang, Jie
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  |  
浏览/下载:6/0
  |  
提交时间:2019/08/22
good governance
provincial governance
diminishing marginal returns
high-speed economic growth effect
high-quality economic development effect
endogeneity
region difference
robustness check
Timing the market: the economic value of price extremes
期刊论文
Financial Innovation, 2018, 卷号: 4, 期号: 1
作者:
Xie,Haibin
;
Wang,Shouyang
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  |  
浏览/下载:15/0
  |  
提交时间:2018/11/16
Price extremes
Return decomposition
Asymmetry
Return predictability
Optimal portfolio choices and the determination of housing rents under housing market uncertainty
期刊论文
JOURNAL OF HOUSING ECONOMICS, 2018, 卷号: 41, 页码: 200-217
作者:
Fan, Gang-Zhi
;
Pu, Ming
;
Deng, Xiaoying
;
Ong, Seow Eng
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  |  
浏览/下载:3/0
  |  
提交时间:2019/08/22
Tenure choice
Resale risk
Reservation rent
Utility maximization
Incomplete markets
A sparse enhanced indexation model with chance and cardinality constraints
期刊论文
JOURNAL OF GLOBAL OPTIMIZATION, 2018, 卷号: 70, 期号: 1, 页码: 5-25
作者:
Xu, Fengmin
;
Wang, Meihua
;
Dai, Yu-Hong
;
Xu, Dachuan
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  |  
浏览/下载:17/0
  |  
提交时间:2018/07/30
Enhanced indexation
Chance constraint
Mixed integer programming
Distributionally robust approach
Asset prices and economic fluctuations: The implications of stochastic volatility
期刊论文
ECONOMIC MODELLING, 2017, 卷号: 64, 页码: 128-140
作者:
Chen, Junping
;
Xiong, Xiong
;
Zhu, Jie
;
Zhu, Xiaoneng
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  |  
浏览/下载:6/0
  |  
提交时间:2019/08/22
Economic fluctuations
Dynamic Fama-French factors
Stochastic volatility
International stock markets
Predictability
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