Xiangjin Shen

Government of Canada - Bank of Canada

234 Wellington Street

Ontario, Ottawa K1A 0G9

Canada

SCHOLARLY PAPERS

4

DOWNLOADS

71

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Comparison of Bayesian and Sample Theory Semi-Parametric Binary Response Model

Number of pages: 28 Posted: 17 Jul 2013 Last Revised: 29 Jun 2018
Xiangjin Shen, Hiroki Tsurumi and Shiliang Li
Government of Canada - Bank of Canada, Rutgers University and Rutgers, The State University of New Jersey - New Brunswick/Piscataway
Downloads 34 (483,911)

Abstract:

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Parametric and Semi-parametric binary response models, Bayesian Markov Chain Monte Carlo algorithms, Kernel densities, Standard bandwidth, Optimal bandwidth, Mean squared errors, Receiver operating characteristic curve, Marginal effect, graphic processing unit

2.

Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement

Pace University Finance Research Paper No. 2018/03
Number of pages: 55 Posted: 15 Jul 2018
Elena Goldman and Xiangjin Shen
Lubin School of Business, Pace University and Government of Canada - Bank of Canada
Downloads 32 (493,547)

Abstract:

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CCP Initial Margins, Tail Risk, Risk Aversion, Procyclicality, Threshold GARCH, Spline, Threshold Autoregressive Model, Realized Variance

Procyclicality Mitigation for Initial Margin Models with Asymmetric Volatility

Journal of Risk, VOLUME 22, ISSUE 5 (JUNE 2020)
Number of pages: 42 Posted: 16 Jun 2020
Elena Goldman and Xiangjin Shen
Lubin School of Business, Pace University and Government of Canada - Bank of Canada
Downloads 4 (700,438)

Abstract:

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central clearing counterparty (CCP) initial margins, procyclicality, threshold generalized autoregressive conditional heteroscedasticity (GARCH), spline, threshold autoregressive model, tail risk

Procyclicality Mitigation for Initial Margin Models with Asymmetric Volatility

Journal of Risk, 2020, 22(5): 1-41
Number of pages: 41 Posted: 13 May 2020
Elena Goldman and Xiangjin Shen
Lubin School of Business, Pace University and Government of Canada - Bank of Canada
Downloads 1 (734,816)
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Abstract:

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central clearing counterparty (CCP) initial margins, procyclicality, threshold generalized autoregressive conditional heteroscedasticity (GARCH), spline, threshold autoregressive model, tail risk

4.

Comparison of Bayesian Model Selection Criteria and Conditional Kolmogorov Test as Applied to Spot Asset Pricing Models

Communications in Statistics - Theory and Methods, Volume 42, Issue 9, pages 1599-1617, 2013
Posted: 17 Jul 2013
Xiangjin Shen and Hiroki Tsurumi
Government of Canada - Bank of Canada and Rutgers University

Abstract:

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Block bootstrap, Cumulative density of the mean squared errors of forecast, CIR and Vasicek models, Conditional Kolmogorov test, Deviance information criterion, Generalized methods of moments, Markov chain Monte Carlo algorithms