6 citations · 7 across the 2 of their papers we have counts for
2 papers
q-fin.ST2020★ 1 cited
A first econometric analysis of the CRIX family
Shi Chen, Cathy Yi-Hsuan Chen, Wolfgang Karl Härdle
In order to price contingent claims one needs to first understand the dynamics of these indices. Here we provide a first econometric analysis of the CRIX family within a time-serie…
q-fin.ST2020★ 6 cited
Regularization Approach for Network Modeling of German Power Derivative Market
Shi Chen, Wolfgang Karl Härdle, Brenda López Cabrera
In this paper we propose a regularization approach for network modeling of German power derivative market. To deal with the large portfolio, we combine high-dimensional variable se…