·Paper Publications
简志宏, 彭伟. 基于常数和门限 AR-TGARCH 模型的 CAViaR 研究[J]. 管理工程学报, 2017 (2): 200-208.
Release time:2019-11-16 Hits:
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Jian Z, Deng P, Luo K, Zhu Z. The Effect of Market Quality on the Causality between Returns and Volatilities: Evidence from CSI 300 Index Futures[J]. Journal of Management Science and Engineering, 2018, 3(1): 16-38. (SSCI收录)
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曾裕峰, 简志宏, 彭伟. 中国金融业不同板块间风险传导的非对称性研究——基于非对称 MVMQ-CAViaR 模型的实证分析[J]. 中国管理科学, 2017 (8): 58-67.