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中央财经大学金融学院教师论文被国际顶尖期刊Journal of Financial and Quantitative Analysis接受
中央财经大学金融学院 教师论文 国际顶尖期刊
2018/10/24
近日，金融学院朱一峰与合作者姜磊,吴轲和周国富的合作论文《Stock Return Asymmetry: Beyond Skewness》被国际金融学期刊Journal of Financial and Quantitative Analysis有条件接受。文章首先提出了两个新的非对称测度，跟传统的偏度测度不同，新的非对称测度是基于数据分布而不仅仅是三阶中心距。紧接着文章通过假设投资者具有类似...
中央财经大学金融学院教师论文被国际顶尖期刊Journal of Financial and Quantitative Analysis接受
中央财经大学金融学院 教师论文 国际顶尖期刊 Journal of Financial and Quantitative Analysis
2018/11/27
近日，金融学院朱一峰与合作者姜磊,吴轲和周国富的合作论文《Stock Return Asymmetry: Beyond Skewness》被国际金融学期刊Journal of Financial and Quantitative Analysis有条件接受。文章首先提出了两个新的非对称测度，跟传统的偏度测度不同，新的非对称测度是基于数据分布而不仅仅是三阶中心距。紧接着文章通过假设投资者具有类似...
第二届PKU-NUS国际定量金融和经济会议（Second PKU-NUS Annual International Conference on Quantitative Finance and Economics）
第二届 PKU-NUS 国际 定量 金融 经济 会议
2017/3/9
This international conference, jointly organized by HSBC Business School and Key Laboratory of Mathematical Economics and Quantitative Finance, both from Peking University, and NUS Risk Management Ins...
Enterprise Restructuring in Transition:A Quantitative Survey
Enterprise Restructuring Transition Quantitative Survey
2015/9/22
OVER THE LAST 150,000 large enterprises in 27 transi- decade, more than tion countries have encountered revolutionary changes in every aspect of their political and economic environments. Some enterpr...
Do Leaders Matter?Natural Experiment and Quantitative Case Study of Indian State Owned Laboratories
Patents Leadership State Ownership India
2015/4/29
Our study is one of the first natural experiments around the role of leaders in the context of firms. Also while most prior natural experiments around leadership in the policy world have exploited the...
Capital Taxation: Quantitative Explorations of the Inverse Euler Equation
Quantitative Explorations Inverse Euler Equation
2014/9/10
Economies with private information provide a rationale for capital taxation. In this paper we ask what the welfare gains from following this prescription are. We develop a method to answer this questi...
Theoretical Sensitivity Analysis for Quantitative Operational Risk Management
Sensitivity Analysis Quantitative Operational Risk Management Value at Risk
2011/7/22
Abstract: We study the asymptotic behaviour of the difference between the Value at Risks VaR(L) and VaR(L+S) for heavy tailed random variables L and S as an application to the sensitivity analysis of ...
An analysis of the Romanian agriculture using quantitative methods
ADF test regression models agriculture evolution
2014/2/27
The paper presents a series of models used to identify the characteristics of the Romanian agriculture in the 1960–2006 period of time. Using econometric methods we try to identify significant differe...
《Journal of financial & quantitative analysis》
Journal of financial & quantitative analysis 财务分析与定量分析杂志
2010/1/19
The Journal of Financial and Quantitative Analysis (JFQA) is published bimonthly in February, April, June, August, October, and December by the Michael G. Foster School of Business at the University o...
Quantitative features of multifractal subtleties in time series
Quantitative features multifractal subtleties time series
2010/11/1
Based on the Multifractal Detrended Fluctuation Analysis (MFDFA) and on the Wavelet Transform Modulus Maxima (WTMM) methods we investigate the origin of multifractality in the time series.
Risk Measures in Quantitative Finance
Risk measures coherent risk management portfolios investment
2010/10/29
This paper was presented and written for two seminars: a national UK University Risk Conference and a Risk Management industry workshop. The target audience is therefore a cross section of Academics a...
Quantitative law describing market dynamics before and after interest-rate change
Quantitative law interest-rate change
2010/10/29
We study the behavior of U.S. markets both before and after U.S. Federal OpenMarket Committee
(FOMC) meetings, and show that the announcement of a U.S. Federal Reserve rate change causes
a financial...
In recent years, the economic policy of privatization, which is defined as the transfer of property or responsibility from public sector to private sector, is one of the global phenomenon that increas...
Agriculture and Aggregate Productivity: A Quantitative Cross-Country Analysis
Productivity International Comparisons Agriculture Intermediate Inputs Barriers Two-sector Model
2014/7/7
A decomposition of aggregate labor productivity based on internationally comparable data reveals that a high share of employment and low labor productivity in agriculture are mainly responsible for lo...