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北京航空航天大学 [80]
内容类型
期刊论文 [55]
会议论文 [25]
发表日期
2019 [13]
2018 [12]
2017 [9]
2016 [3]
2015 [8]
2014 [4]
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Uncertainty and currency performance: A quantile-on-quantile approach
期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2019, 卷号: 48, 页码: 702-729
作者:
Han, Liyan
;
Liu, Yang
;
Yin, Libo
收藏
  |  
浏览/下载:4/0
  |  
提交时间:2019/12/30
Financial uncertainty
Macro uncertainty
Foreign exchange rates
Nonlinear relationship
Quantile-on-quantile method
Asymmetric impact
Can skewness predict currency excess returns?
期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2019, 卷号: 48, 页码: 628-641
作者:
Jiang, Xue
;
Han, Liyan
;
Yin, Libo
收藏
  |  
浏览/下载:6/0
  |  
提交时间:2019/12/30
Skewness
Currency excess returns
Carry trade
Time-series test
Cross-sectional tests
The predictive performance of the currency futures basis for spot returns
期刊论文
QUANTITATIVE FINANCE, 2019, 卷号: 19, 页码: 391-405
作者:
Han, Liyan
;
Jiang, Xue
;
Yin, Libo
收藏
  |  
浏览/下载:13/0
  |  
提交时间:2019/12/30
Currency spot returns
Futures basis
Out-of-sample forecasts
Time-varying predictability
Economic value
Time-varying risk premium
News implied volatility and long-term foreign exchange market volatility
期刊论文
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2019, 卷号: 61, 页码: 126-142
作者:
Liu, Yang
;
Han, Liyan
;
Yin, Libo
收藏
  |  
浏览/下载:8/0
  |  
提交时间:2019/12/30
News implied volatility
Foreign exchange market
Long-term volatility
Incremental effect
GARCH-MIDAS-X model
Can skewness of the futures-spot basis predict currency spot returns?
期刊论文
JOURNAL OF FUTURES MARKETS, 2019, 卷号: 39, 页码: 1435-1449
作者:
Jiang, Xue
;
Han, Liyan
;
Yin, Libo
收藏
  |  
浏览/下载:3/0
  |  
提交时间:2019/12/30
currency spot returns
futures-spot basis
out-of-sample forecasts
skewness
time-varying risk premium
Currency strategies based on momentum, carry trade and skewness
期刊论文
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2019, 卷号: 517, 页码: 121-131
作者:
Jiang, Xue
;
Han, Liyan
;
Yin, Libo
收藏
  |  
浏览/下载:12/0
  |  
提交时间:2019/12/30
Momentum
Carry trade
Skewness
Currency excess returns
Empirical distributions of stock returns: Mixed normal or kernel density?
期刊论文
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2019, 卷号: 514, 页码: 473-486
作者:
Yan, Hanhuan
;
Han, Liyan
收藏
  |  
浏览/下载:3/0
  |  
提交时间:2019/12/30
Stock returns
Normal mixture distribution
Kernel density estimation
Kolmogorov Smirnov statistic
Stock behaviour
Normal mixture method for stock daily returns over different sub-periods
期刊论文
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2019, 卷号: 48, 页码: 447-457
作者:
Han, Liyan
;
Yan, Hanhuan
;
Zheng, Chengli
收藏
  |  
浏览/下载:5/0
  |  
提交时间:2019/12/30
Stock daily returns
Bull and bear markets
Normal mixture model
Different components
Can skewness of the futures-spot basis predict currency spot returns?
会议论文
JOURNAL OF FUTURES MARKETS, 2019-11-01
作者:
Jiang, Xue
;
Han, Liyan
;
Yin, Libo
收藏
  |  
浏览/下载:12/0
  |  
提交时间:2019/12/30
currency spot returns
futures-spot basis
out-of-sample forecasts
skewness
time-varying risk premium
Carbon Asset of Electrification: Valuing the Transition from Fossil Fuel-Powered Buses to Battery Electric Buses in Beijing
期刊论文
SUSTAINABILITY, 2019, 卷号: 11
作者:
Xu, Xinkuo
;
Lv, Xiaofeng
;
Han, Liyan
收藏
  |  
浏览/下载:4/0
  |  
提交时间:2019/12/30
carbon asset
economic value
fossil fuel-powered buses
battery electric buses
transition
electrification
Beijing
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