3 papers
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…
q-fin.RM2025
Forecasting realized volatility in the stock market: a path-dependent perspective
Xiangdong Liu, Sicheng Fu, Shaopeng Hong
Volatility forecasting in financial markets is a topic that has received more attention from scholars. In this paper, we propose a new volatility forecasting model that combines th…
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…