Xiangjin Bruce Chen

Monash University - Department of Econometrics & Business Statistics

Wellington Road

Clayton, Victoria 3168

Australia

SCHOLARLY PAPERS

2

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392

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Scholarly Papers (2)

1.

A Semiparametric Approach to Value-at-Risk, Expected Shortfall and Optimum Asset Allocation in Stock-Bond Portfolios Before and After the Global Financial Crisis

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 56 Posted: 24 Aug 2010 Last Revised: 19 Jul 2012
Param Silvapulle, Xiangjin Bruce Chen and Mervyn J Silvapulle
Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 299 (99,393)

Abstract:

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Dependence, Blanket tests, Semi-parametric method, copula, Investment decision, Value-at risk

2.

Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models

Number of pages: 55 Posted: 04 Sep 2013
Xiangjin Bruce Chen, Jiti Gao, Degui Li and Param Silvapulle
Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics, University of York and Monash University - Department of Econometrics & Business Statistics
Downloads 93 (273,335)

Abstract:

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Bootstrap Method, Heterogeneous Autoregressive Model, Locally Stationary Process, Nonparametric Method