Dongming Zhu

Peking University

HSBC School of Business

No. 38 Xueyuan Road

Haidian District

Beijing, Beijing 100871

China

SCHOLARLY PAPERS

2

DOWNLOADS

309

SSRN RANKINGS

Top 36,076

in Total Papers Citations

5

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Scholarly Papers (2)

1.

A Generalized Asymmetric Student-t Distribution with Application to Financial Econometrics

Number of pages: 39 Posted: 05 Nov 2009
John W. Galbraith and Dongming Zhu
McGill University - Department of Economics and Peking University
Downloads 183 (161,710)

Abstract:

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asymmetric distribution, expected shortfall, maximum likelihood estimation

2.

Forecasting Expected Shortfall with a Generalized Asymmetric Student-T Distribution

CIRANO - Scientific Publications Paper No. 2009s-24
Number of pages: 19 Posted: 12 Nov 2009
Dongming Zhu and John W. Galbraith
Peking University and McGill University - Department of Economics
Downloads 126 (220,726)

Abstract:

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asymmetric distribution, expected shortfall, GARCH model