3 papers
q-fin.RM2020
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…
q-fin.RM2020
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…
q-fin.ST2018
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…