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Chenxing Li

Personal Details

First Name:Chenxing
Middle Name:
Last Name:Li
Suffix:
RePEc Short-ID:pli1378
[This author has chosen not to make the email address public]
Terminal Degree:2020 DeGroote School of Business; McMaster University (from RePEc Genealogy)

Affiliation

Center for Economics, Finance and Management Studies (CEMFS)
Hunan University

Changsha, China
http://cefms.hnu.edu.cn/
RePEc:edi:cehnucn (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Li, Chenxing & Zhang, Zehua & Zhao, Ran, 2023. "Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?," MPRA Paper 118459, University Library of Munich, Germany.
  2. Li, Chenxing, 2022. "A multivariate GARCH model with an infinite hidden Markov mixture," MPRA Paper 112792, University Library of Munich, Germany.
  3. Li, Chenxing & Maheu, John M & Yang, Qiao, 2022. "An Infinite Hidden Markov Model with Stochastic Volatility," MPRA Paper 115456, University Library of Munich, Germany.
  4. Li, Chenxing & Maheu, John M, 2020. "A Multivariate GARCH-Jump Mixture Model," MPRA Paper 104770, University Library of Munich, Germany.

Articles

  1. Chenxing Li & John M. Maheu & Qiao Yang, 2024. "An infinite hidden Markov model with stochastic volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2187-2211, September.
  2. Li, Chenxing & Zhang, Zehua & Zhao, Ran, 2024. "Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?," Finance Research Letters, Elsevier, vol. 67(PB).

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Li, Chenxing, 2022. "A multivariate GARCH model with an infinite hidden Markov mixture," MPRA Paper 112792, University Library of Munich, Germany.

    Cited by:

    1. Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
    2. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.

Articles

    Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (4) 2021-01-25 2022-05-16 2023-01-02 2023-10-23. Author is listed
  2. NEP-ECM: Econometrics (3) 2021-01-25 2022-05-16 2023-01-02. Author is listed
  3. NEP-RMG: Risk Management (3) 2021-01-25 2023-01-02 2023-10-23. Author is listed
  4. NEP-ORE: Operations Research (2) 2021-01-25 2022-05-16. Author is listed
  5. NEP-SEA: South East Asia (1) 2023-01-02. Author is listed

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