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科研机构
上海财经大学 [11]
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期刊论文 [10]
学术活动 [1]
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2019 [1]
2018 [2]
2017 [1]
2015 [2]
2014 [2]
2013 [1]
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专题:上海财经大学
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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
收藏
  |  
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
;
Zhou, Bo
;
Liang, Zhijun
收藏
  |  
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
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
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
收藏
  |  
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
Multi-factor volatility and stock returns
期刊论文
JOURNAL OF BANKING & FINANCE, 2015, 卷号: 61, 页码: S132-S149
作者:
He, Zhongzhi (Lawrence)
;
Zhu, Jie
;
Zhu, Xiaoneng
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  |  
浏览/下载:5/0
  |  
提交时间:2019/08/22
Multi-factor volatility
Cross-sectional returns
Out-of-sample predictability
Asset allocation
Dynamic factors and asset pricing: International and further US evidence
期刊论文
PACIFIC-BASIN FINANCE JOURNAL, 2015, 卷号: 32, 页码: 21-39
作者:
(Lawrence) He, Zhongzhi
;
Zhu, Jie
;
Zhu, Xiaoneng
收藏
  |  
浏览/下载:4/0
  |  
提交时间:2019/08/22
International stock markets
Cross-sectional returns
Out-of-sample predictability
Asset allocation
A Varying-Coefficient Expectile Model for Estimating Value at Risk
期刊论文
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2014, 卷号: 32, 期号: 4, 页码: 576-592
作者:
Xie, Shangyu
;
Zhou, Yong
;
Wan, Alan T. K.
收藏
  |  
浏览/下载:8/0
  |  
提交时间:2019/08/22
Local linear smoothing
Expected shortfall
One-step weighted least squares
Asymmetric squared error loss
Value at risk
alpha-mixing
Forecasting return volatility: Level shifts with varying jump probability and mean reversion
期刊论文
INTERNATIONAL JOURNAL OF FORECASTING, 2014, 卷号: 30, 期号: 3, 页码: 449-463
作者:
Xu, Jiawen
;
Perron, Pierre
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  |  
浏览/下载:4/0
  |  
提交时间:2019/08/22
Structural change
State space model
Regime switching
Long-memory
International Asset Allocation under Regime-dependent Risk Aversion and Asset Returns
学术活动
.International Asset Allocation under Regime-dependent Risk Aversion and Asset Returns
-
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  |  
浏览/下载:2/0
  |  
提交时间:2019/10/31
HEDGING AND VALUE AT RISK: A SEMI-PARAMETRIC APPROACH
期刊论文
JOURNAL OF FUTURES MARKETS, 2010, 卷号: 30, 期号: 8, 页码: 780-794
作者:
Cao, Zhiguang
;
Harris, Richard D. F.
;
Shen, Jian
收藏
  |  
浏览/下载:1/0
  |  
提交时间:2019/08/22
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