Chenxing Li

Hunan University - Center for Economics, Finance and Management Studies

2 Lushan South Rd

Changsha, Hunan 410082

China

SCHOLARLY PAPERS

3

DOWNLOADS

155

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

An Infinite Hidden Markov Model with Stochastic Volatility

ShanghaiTech SEM Working Paper No. 2022-001
Number of pages: 40 Posted: 29 Mar 2022 Last Revised: 28 Nov 2022
Chenxing Li, John M. Maheu and Qiao Yang
Hunan University - Center for Economics, Finance and Management Studies, McMaster University - Michael G. DeGroote School of Business and ShanghaiTech University - School of Entrepreneurship and Management
Downloads 112 (460,444)

Abstract:

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Markov-switching, MCMC, Bayesian, nonparametric, semiparametric

2.

Beyond Conditional Second Moments: Does Nonparametric Density Modelling Matter to Portfolio Allocation?

Number of pages: 34 Posted: 04 Nov 2023
John M. Maheu and Chenxing Li
McMaster University - Michael G. DeGroote School of Business and Hunan University - Center for Economics, Finance and Management Studies
Downloads 27 (903,211)

Abstract:

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Multivariate GARCH, IHMM, Bayesian nonparametric, Portfolio Allocation, Transaction costs

3.

Volatility or Higher Moments: Which is More Important in Return Density Forecasts of Stochastic Volatility Model?

Number of pages: 22 Posted: 13 Mar 2024
Chenxing Li, Zehua Zhang and Ran Zhao
Hunan University - Center for Economics, Finance and Management Studies, Hunan University and San Diego State University
Downloads 16 (1,013,375)

Abstract:

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Stochastic volatility, realized volatility, implied volatility, MCMC, density forecast