[1] |
Zhang Ping, Wang Yashi, Wu Qinyu.
Measuring systemic risk contribution with CoGVaR approach
[J]. Journal of University of Science and Technology of China, 2021, 51(6): 475-484.
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[2] |
Li Ming, Wen Canhong.
Impact of COVID-19 pandemic on stock market via sparse principal component analysis
[J]. Journal of University of Science and Technology of China, 2021, 51(5): 404-418.
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[3] |
MENG Xuran, BI Xiuchun, ZHANG Shuguang.
High frequency algorithm and its back-testing results based on GAN
[J]. Journal of University of Science and Technology of China, 2020, 50(6): 801-810.
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[4] |
ZHANG Zhiyuan,YE Wuyi.
Cryptocurrency risk measurement based on MIDAS-Expectile regression model
[J]. Journal of University of Science and Technology of China, 2020, 50(6): 860-872.
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[5] |
YE Wuyi, DING Yalin, JIAO Shoukun.
Dynamic dependence of return and volatility between BRICS stock markets based on TV-Copula-X model
[J]. Journal of University of Science and Technology of China, 2020, 50(5): 612-628.
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[6] |
ZHENG Xiang, WEI Yongfeng.
Pricing and hedging barrier options based on Merton model and Monte Carlo simulation
[J]. Journal of University of Science and Technology of China, 2018, 48(11): 906-922.
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[7] |
SUN Dachang, BI Xiuchung.
High-frequency trading strategies based on deep learning algorithms and their profitability
[J]. Journal of University of Science and Technology of China, 2018, 48(11): 923-932.
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[8] |
LONG Aoming, BI Xiuchun, ZHANG Shuguang.
An arbitrage strategy model for ferrous metal futures based on LSTM neural network
[J]. Journal of University of Science and Technology of China, 2018, 48(2): 125-132.
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[9] |
LIU Gang, CUI Zhenyu, LIU Yanchu, XIE Jingui.
A simulation approach to financial options Greeks estimation under Lévy processes
[J]. Journal of University of Science and Technology of China, 2017, 47(3): 262-266.
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[10] |
CAI Qiang, LI Yong.
Impact of spillover effect of exchange rate volatility on capital market
[J]. Journal of University of Science and Technology of China, 2016, 46(12): 1036-1040.
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[11] |
LUO Kebing, YE Wuyi, DONG Xiaowen.
Granger causality test in quantiles and conditional VaR estimation of continuously rising and falling returns
[J]. Journal of University of Science and Technology of China, 2016, 46(11): 919-927.
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[12] |
WANG Chuanhao, FANG Zhaoben, HAN Yu.
Systematic VaR model based on multi-resolution analysis and extreme value theory
[J]. Journal of University of Science and Technology of China, 2016, 46(11): 928-938.
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[13] |
DU Yuneng, DU Min.
Interactive relationship between macro-policy and efficiency of securities market in China
[J]. Journal of University of Science and Technology of China, 2016, 46(8): 696-701.
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[14] |
ZHANG Mian, CHENG Xijun, FANG Zheng, GUO Jianhong, LIU Feng.
Analysis of portfolio VaR by pair copula-LMSV-t
[J]. Journal of University of Science and Technology of China, 2015, 45(12): 1024-1029.
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[15] |
ZHU Yechun, CAO Chongyan.
Portfolio based on Black-Litterman model with entropy compensation
[J]. Journal of University of Science and Technology of China, 2015, 45(12): 1030-1035.
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