Keming Yu

Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications

John Crank Building

Brunel University

Uxbridge , UB8 3PH

United Kingdom

SCHOLARLY PAPERS

6

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CITATIONS
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26

Scholarly Papers (6)

1.

Mixture Distribution Scenarios for Investment Decisions with Downside Risk

Number of pages: 31 Posted: 29 Aug 2008 Last Revised: 16 Jul 2009
CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, HSBC Global Asset Management, Brunel University London - School of Information Systems, Computing and Mathematics, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications and Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications
Downloads 278 (107,943)
Citation 1

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Scenario generation, downside risk, investment choice

2.

Catastrophic and Operational Risk Measurement for Financial Institutions

Centre for the Analysis of Risk and Optimisation Modelling Applications, Technical Report Center 79-08
Number of pages: 31 Posted: 17 Dec 2008
Brunel Business School, Brunel University Centre for Empirical Finance, Brunel University Centre for the Analysis of Risk and Optimisation Modelling Applications, Brunel University London - Brunel Business School and Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications
Downloads 209 (143,799)
Citation 1

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catastrophic risk, operational risk, value at risk, generalised Pareto distribution, extreme value theory

3.

Nonparametric Multivariate Conditional Distribution and Quantile Regression

Number of pages: 27 Posted: 10 Sep 2008
Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, HSBC Global Asset Management and Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications
Downloads 185 (160,861)
Citation 22

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Conditional distribution, Conditional quantiles, Copula, High-dimension, Local quadratic regression, nonparametric estimation, Partial derivative, Semiparametric estimation

4.

Impact of News on Asset Behaviour: Return, Volatility and Liquidity in an Intra-Day Setting

Number of pages: 33 Posted: 23 Jul 2013 Last Revised: 19 Nov 2013
Xiang Yu, Gautam Mitra and Keming Yu
OptiRisk Systems, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications and Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications
Downloads 157 (185,680)
Citation 2

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News sentiment, high frequency data, return, volatility, liquidity, predictive analysis

5.

Do Maternal Health Problems Influence Child's Worrying Status? Evidence from British Cohort Study

SFB 649 Discussion Paper 2014-021
Number of pages: 27 Posted: 05 Jan 2017
Wuhan University of Technology, Humboldt University of Berlin - Institute for Statistics and Econometrics and Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications
Downloads 5 (605,362)

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British Cohort Study data, Bayesian inference, Quantile regression, Asymmetric Laplace error distribution, Markov chain Monte Carlo, Variable selection

6.

Kernel Conditional Quantile Estimation for Stationary Processes with Application to Conditional Value-at-Risk

Journal of Financial Econometrics, Vol. 6, Issue 2, pp. 253-270, 2008
Posted: 10 Jul 2008
Wei Biao Wu, Keming Yu and Gautam Mitra
University of Chicago, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications and Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications

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asymptotic expansion, Bahadur representation, causal process, central limit theorem, kernel estimation, long-range dependence, quantile estimation, short-range dependence, value-at-risk