Liang Peng
Georgia State University
H-index: 40
North America-United States
Top articles of Liang Peng
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Panel quantile regression for extreme risk | Journal of Econometrics | Yanxi Hou Xuan Leng Liang Peng Yinggang Zhou | 2024/3/1 |
A contagion test with unspecified heteroscedastic errors | Journal of Economic Dynamics and Control | Ernest Aboagye Stanley Iat-Meng Ko Chia Chun Lo Cody Yu-Ling Hsiao Liang Peng | 2024/2/1 |
Uncertainty Comparison Between Value-at-Risk and Expected Shortfall | Qing Liu Weimin Liu Liang Peng Gengsheng Qin | 2024/2 | |
Validating Cross-Sectional Dependence Assumptions in a Factor Model | Available at SSRN 4808645 | Longyu Chen Haitao Huang Lei Jiang Liang Peng Zhonglin Qin | 2024/4/18 |
A unified unit root test regardless of intercept | Econometric Reviews | Bingduo Yang Xiaohui Liu Wei Long Liang Peng | 2023/6/30 |
A unified inference for predictive quantile regression | Journal of the American Statistical Association | Xiaohui Liu Wei Long Liang Peng Bingduo Yang | 2023/5/27 |
Constructing Optimal Portfolios under Risk Budgeting | City Research Online https://tinyurl. com/ys76cpvu. Working paper | Vali Asimit Liang Peng Radu Tunaru Feng Zhou | 2023/5/8 |
Diagnostic tests before modeling longitudinal actuarial data | Insurance: Mathematics and Economics | Yinhuan Li Tsz Chai Fung Liang Peng Linyi Qian | 2023/11/1 |
Nonparametric tests for market timing ability using daily mutual fund returns | Journal of Economic Dynamics and Control | Jing Ding Lei Jiang Xiaohui Liu Liang Peng | 2023/5/1 |
Bootstrap analysis of mutual fund performance | Journal of Econometrics | Haitao Huang Lei Jiang Xuan Leng Liang Peng | 2022/5/14 |
Test for market timing using daily fund returns | Journal of Business & Economic Statistics | Lei Jiang Weimin Liu Liang Peng | 2022/12/13 |
Three-step risk inference in insurance ratemaking | Insurance: Mathematics and Economics | Yanxi Hou Seul Ki Kang Chia Chun Lo Liang Peng | 2022/7/1 |
Test for zero median of errors in an arma–garch model | Econometric Theory | Yaolan Ma Mo Zhou Liang Peng Rongmao Zhang | 2022/6 |
Risk analysis via generalized Pareto distributions | Journal of Business & Economic Statistics | Yi He Liang Peng Dabao Zhang Zifeng Zhao | 2022/4/3 |
Predictive Analysis of High Conditional Quantiles for Panel Data | Available at SSRN 3815426 | Yanxi Hou Xuan Leng Liang Peng Yinggang Zhou | 2022/3/1 |
Empirical likelihood test for the equality of several high-dimensional covariance matrices | Science China Mathematics | Guili Liao Liang Peng Rongmao Zhang | 2021/12/1 |
Quantifying Diseconomies Of Scale For Mutual Funds. | Annals of Economics & Finance | Ying Liao Cuixia Li Lei Jiang Liang Peng | 2021/5/1 |
Improved regression inference using a second overlapping regression model | Liang Peng John HJ Einmahl | 2021/10/28 | |
Efficiently backtesting conditional value-at-risk and conditional expected shortfall | Journal of the American Statistical Association | Qihui Su Zhongling Qin Liang Peng Gengsheng Qin | 2021/10/2 |
Empirical likelihood test for the application of swqmele in fitting an arma‐garch model | Journal of Time Series Analysis | Mo Zhou Liang Peng Rongmao Zhang | 2021/3 |
