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econ.GN2026
A dynamic factor semiparametric model for VaR and expected shortfall driven by realized measures
Sicheng Fu
This paper proposes a semiparametric joint VaRES framework driven by realized information, mo tivated by the economic mechanisms underlying tail risk generation. Building on the CA…
econ.GN2025
A Predictive Framework Integrating Multi-Scale Volatility Components and Time-Varying Quantile Spillovers: Evidence from the Cryptocurrency Market
Sicheng Fu, Fangfang Zhu, Xiangdong Liu
This paper investigates the dynamics of risk transmission in cryptocurrency markets and proposes a novel framework for volatility forecasting. The framework uncovers two key empiri…