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Qingzhao Zhong

Fudan University

SCHOLARLY PAPERS

3

DOWNLOADS

235

TOTAL CITATIONS

0

Scholarly Papers (3)

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1.

Inference for A Two-Step Joint Model of Extreme Quantile and Expected Shortfall Regression

Number of pages: 30 Posted: 24 Feb 2025
Qingzhao Zhong, Jingyu Ji, Liujun Chen, Yanxi Hou and Deyuan Li
Fudan University, Capital University of Economics and Business, University of Science and Technology China, Fudan University - School of Data Science and Fudan University
Downloads 148 (511,933)

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extreme value theory, expected shortfall regression, heteroscedastic extremes, tail risk

2.

A Unified Testing Approach for Risk Spillover based on RELTCoV

Number of pages: 24 Posted: 12 Dec 2025
Qingzhao Zhong and Yanxi Hou
Fudan University and Fudan University - School of Data Science
Downloads 46 (1,170,409)

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Risk Spillover, CoVaR, RELTCoV, Kernel Estimation

3.

A Blockwise Approach for Testing the Stability of Conditional Probability Equivalent Level of VaR and ES

Number of pages: 35 Posted: 26 Sep 2025
Qingzhao Zhong, Yuyan Wang and Yanxi Hou
Fudan University, Fudan University and Fudan University - School of Data Science
Downloads 41 (1,170,409)

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PELVE, ARMA-GARCH Model, Block-Bootstrap