Liang Peng

Georgia State University - Risk Management & Insurance Department

P.O. Box 4036

Atlanta, GA 30302-4036

United States

SCHOLARLY PAPERS

8

DOWNLOADS

437

SSRN CITATIONS

4

CROSSREF CITATIONS

1

Scholarly Papers (8)

1.

Tail Dependence Measure for Examining Financial Extreme Co-Movements

Journal of Econometrics, 2016, 194(2), 330-348
Number of pages: 32 Posted: 09 Jan 2014 Last Revised: 16 Aug 2016
Cass Business School, City, University of London, City University London - Sir John Cass Business School, Georgia Institute of Technology - Mathematics and Georgia State University - Risk Management & Insurance Department
Downloads 211 (161,430)
Citation 6

Abstract:

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Asymptotic dependence and independence; Copula; Extreme co-movement; Kendall's tau; Measure of association.

2.

Bootstrap Analysis of Mutual Fund Performance

Number of pages: 81 Posted: 27 Jan 2020 Last Revised: 22 Oct 2020
Haitao Huang, Lei Jiang, Xuan Leng and Liang Peng
J. Mack Robinson College of Business, Georgia State University, Tsinghua University, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Georgia State University - Risk Management & Insurance Department
Downloads 74 (354,884)

Abstract:

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Mutual fund performance,Bootstrap,Hotelling's T-squared test,Skewness

3.

Nonparametric Tests For Market Timing Ability Using Daily Mutual Fund Returns

Number of pages: 48 Posted: 18 Mar 2020 Last Revised: 29 Sep 2020
Jing Ding, Lei Jiang, Xiaohui Liu and Liang Peng
Tsinghua University, Tsinghua University, Jiangxi University of Finance and Economics and Georgia State University - Risk Management & Insurance Department
Downloads 55 (416,447)

Abstract:

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Coskewness, Market Timing, Mutual Fund

4.

An Efficient Approach to Quantile Capital Allocation and Sensitivity Analysis

Forthcoming in Mathematical Finance
Number of pages: 32 Posted: 20 Dec 2018
Cass Business School, City, University of London, Georgia State University - Risk Management & Insurance Department, University of Waterloo - Department of Statistics and Actuarial Science and Georgia State University
Downloads 38 (479,820)

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Bootstrap, Capital Allocation, Expected Shortfall, Nonparametric Estimation, Sensitivity Analysis, Value-at-Risk

5.

Comovements and Asymmetric Tail Dependence in State Housing Prices in the US: A Nonparametric Approach

Number of pages: 10 Posted: 28 Aug 2018 Last Revised: 25 Jan 2019
Haitao Huang, Liang Peng and Vincent Yao
J. Mack Robinson College of Business, Georgia State University, Georgia State University - Risk Management & Insurance Department and Georgia State University - J. Mack Robinson College of Business
Downloads 35 (493,569)

Abstract:

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AR-GARCH Model, Comovements, House Price Index

6.

Quantifying Diseconomies Of Scale For Mutual Funds

Number of pages: 38 Posted: 01 Apr 2020 Last Revised: 18 Sep 2020
Lei Jiang, cuixia li, Ying Liao and Liang Peng
Tsinghua University, Xuzhou University of Technology, Jiangxi University of Finance and Economics - School of Statistics and Georgia State University - Risk Management & Insurance Department
Downloads 22 (566,010)

Abstract:

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Diseconomies of scale, fixed effects panel regression, mutual funds

7.

On Testing Time Series Momentum Using Predictive Regressions

Number of pages: 39
Tsinghua University, Georgia State University - Risk Management & Insurance Department, Auburn University - Department of Finance and Sun Yat-Sen Univeristy
Downloads 2

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Time Series Momentum, Log-returns, Return Predictability, Predictive Regression

8.

Inference for a Special Bilinear Time‐Series Model

Journal of Time Series Analysis, Vol. 36, Issue 1, pp. 61-66, 2015
Number of pages: 6 Posted: 30 Dec 2014
Shiqing Ling, Liang Peng and Fukang Zhu
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics, Georgia State University - Risk Management & Insurance Department and Jilin University-Lambton College (JULC)
Downloads 0 (740,082)
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Abstract:

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Asymptotic distribution, bilinear model, LSE, MLE. JEL. Primary C12