Zaichao Du

Fudan

Professor

600 GuoQuan Rd

School of Economics, Fudan

Shanghai, Shanghai 200433

China

SCHOLARLY PAPERS

7

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SSRN CITATIONS
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Top 30,793

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32

CROSSREF CITATIONS

5

Scholarly Papers (7)

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1.

Backtesting Expected Shortfall: Accounting for Tail Risk

Number of pages: 45 Posted: 14 Jan 2015 Last Revised: 28 Aug 2015
Zaichao Du and Juan Carlos Escanciano
Fudan and Universidad Carlos III de Madrid
Downloads 1,553 (23,736)
Citation 35

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risk management; expected shortfall; backtesting; tail risk; Value-at-Risk

2.

Time-Frequency Analysis of Dynamic Financial Connectedness: A New Approach With Bayesian Time-Varying Vector Autoregressions

Number of pages: 38 Posted: 18 Nov 2021 Last Revised: 13 Jan 2022
Yongjian Lyu, Zaichao Du, Heling Yi and Mo Yang
Southwestern University of Finance and Economics (SWUFE), Fudan, Southwestern University of Finance and Economics (SWUFE) and School of Finance, Dongbei University of Finance and Economics
Downloads 134 (410,162)

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Financial connectedness, frequency domain, Bayesian vector autoregression with time-varying hierarchical structure

3.

Lasso VAR for VAR

Number of pages: 39 Posted: 16 Aug 2022
Zaichao Du, Yiwei Xie, Tao Yang and Hongbao Yu
Fudan, Fudan University, Shandong University and Fudan University
Downloads 124 (435,361)

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VAR for VaR, Lasso, Value at Risk, Quantile Impulse Response Function, True Discovery Rate

4.

Automatic Portmanteau Tests with Applications to Market Risk Management

CAEPR Working Paper #2017-002
Number of pages: 15 Posted: 09 Mar 2017
Zaichao Du, Juan Carlos Escanciano and Guangwei Zhu
Fudan, Universidad Carlos III de Madrid and Southwestern University of Finance and Economics (SWUFE)
Downloads 118 (451,901)

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Autocorrelation, consistency, power, Akaike's AIC, Schwarz's BIC, Market Risk

5.

Modeling and Backtesting Systemic Risk Measures: The Case of Coes

Number of pages: 39 Posted: 29 Nov 2022
Zaichao Du, Liheng Lei, Xuhui Wang, Xin Zhou and Xin Zhou
Fudan, University of Illinois at Urbana-Champaign, Shanghai Lixin University of Accounting and Finance and Fudan UniversityVolatility Institute, NYU Shanghai
Downloads 116 (457,844)

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Systemic risk, Filtered Historical Simulation, Backtesting

6.

Nonparametric Bootstrap Tests for Independence of Generalized Errors

Center for Applied Economic & Policy Research Working Paper No. 023-2009
Number of pages: 36 Posted: 18 Dec 2009 Last Revised: 16 Jan 2015
Zaichao Du
Fudan
Downloads 111 (473,207)
Citation 3

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Independence; Generalized errors; Goodness-of-Fit; Identification; Empirical process; Parameter estimation uncertainty; Bootstrap; GARCH; Skewed t distribution

7.

The Case for Case: Estimating Heterogeneous Systemic Effects

Number of pages: 23 Posted: 23 Jul 2022
Zaichao Du, Juan Carlos Escanciano and Guangwei Zhu
Fudan, affiliation not provided to SSRN and Southwestern University of Finance and Economics
Downloads 35 (846,959)

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Systemic risk, Tail risk, Marginal Expected Shortfall