Liang Peng

Georgia State University

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

An Efficient Approach to Quantile Capital Allocation and Sensitivity Analysis

Mathematical Finance, Vol. 29, Issue 4, pp. 1131-1156, 2019
Number of pages: 26 Posted: 29 May 2020
Vali Asimit, Liang Peng, Ruodu Wang and Alex Yu
City University, Georgia State University, University of Waterloo - Department of Statistics and Actuarial Science and Georgia State University
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Abstract:

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bootstrap, capital allocation, expected shortfall, nonparametric estimation, sensitivity analysis, value‐at‐risk

2.

Asymptotic Theory and Unified Confidence Region for an Autoregressive Model

Journal of Time Series Analysis, Vol. 40, Issue 1, pp. 43-65, 2019
Number of pages: 23 Posted: 11 Dec 2018
Liang Peng
Georgia State University
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Autoregressive model, empirical likelihood, unified confidence region