No 1088, xueyuan Rd.
Xili, Nanshan District
Shenzhen, Guangdong 518055
China
Southern University of Science and Technology
stochastic volatility, Fourier transform method, importance sampling, (conditional) value-at-risk, backtesting
Multivariate Skew Normal distribution, Multivariate Skew T Distribution, Generalized Hyperbolic Distribution, Hedge Effectiveness, dynamic optimal hedge ratio
multivariate skew normal distribution, multivariate skew T distribution, generalized hyperbolic distribution, hedge effectiveness, dynamic optimal hedge ratio
portfolio Value-at-Risk, modified VaR, the Cornish-Fisher expansion, L-comoments, backtesting
extremal quantile regression, flight-to-liquidity, gold, government bond, safe haven asset
safe haven asset, linkage, time-varying symmetrized Joe–Clayton copula
green economy, carbon emission, energy saving, real option analysis, jump-diffusion model
Machine learning, equity premium, historical average
Machine learning model, China’s inflation rate, gradient boost decision trees, the combination model
Machine learning methods, deep forest ensemble approach, support vector machine, LASSO
conditional stochastic dominance; almost stochastic dominance; covered call strategy
