88 citations · 164 across the 5 of their papers we have counts for
5 papers
Predicting tail events in a RIA-EVT-Copula framework
Wei-Zhen Li, Jin-Rui Zhai, Zhi-Qiang Jiang +2
Predicting the occurrence of tail events is of great importance in financial risk management. By employing the method of peak-over-threshold (POT) to identify the financial extreme…
Sector connectedness in the Chinese stock markets
Ying-Ying Shen, Zhi-Qiang Jiang, Jun-Chao Ma +2
Uncovering the risk transmitting path within economic sectors in China is crucial for understanding the stability of the Chinese economic system, especially under the current situa…
The cooling-off effect of price limits in the Chinese stock markets
Yu-Lei Wan, Gang-Jin Wang, Zhi-Qiang Jiang +2
In this paper, we investigate the cooling-off effect (opposite to the magnet effect) from two aspects. Firstly, from the viewpoint of dynamics, we study the existence of the coolin…
Stock market as temporal network
Longfeng Zhao, Gang-Jin Wang, Mingang Wang +3
Financial networks have become extremely useful in characterizing the structure of complex financial systems. Meanwhile, the time evolution property of the stock markets can be des…
Joint multifractal analysis based on wavelet leaders
Zhi-Qiang Jiang, Yan-Hong Yang, Gang-Jin Wang +1
Mutually interacting components form complex systems and the outputs of these components are usually long-range cross-correlated. Using wavelet leaders, we propose a method of char…