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A Model-Adaptive Test for Parametric Single-Index Time Series Models

Journal Article published 28 Aug 2017 in Journal of Time Series Analysis volume 38 issue 6 on pages 981 to 999

Research funded by National Science Foundation of Guangdong Province of China (2016A030313414) | Beijing Normal University and China Postdoctoral Science Foundation (2016 M600951) | Fundamental Research Funds for the Central Universities | Ministry of Education in China Project of Humanities and Social Sciences (17YJA910002)

Authors: Qiang Xia, Kejun He, Cuizhen Niu

Time series momentum and contrarian effects in the Chinese stock market

Journal Article published Oct 2017 in Physica A: Statistical Mechanics and its Applications volume 483 on pages 309 to 318

Research funded by National Natural Science Foundation of China (71571121, 71532009) | Fundamental Research Funds for the Central Universities (222201718006)

Authors: Huai-Long Shi, Wei-Xing Zhou

The multi-scale high-order statistical moments of financial time series

Journal Article published Dec 2018 in Physica A: Statistical Mechanics and its Applications volume 512 on pages 474 to 488

Research funded by Fundamental Research Funds for the Central Universities (2018JBZ104) | China National Science (61771035) | Beijing National Science (4162047)

Authors: Jun Jiang, Pengjian Shang, Zuoquan Zhang, Xuemei Li

Fluctuation behaviors of financial time series by a stochastic Ising system on a Sierpinski carpet lattice

Journal Article published Sep 2013 in Physica A: Statistical Mechanics and its Applications volume 392 issue 18 on pages 4055 to 4063

Research funded by National Natural Science Foundation of China (71271026, 10971010) | Fundamental Research Funds for the Central Universities (2011YJS077) | China Scholarship Council

Authors: Wen Fang, Jun Wang

Estimating the Gerber–Shiu function in a Lévy risk model by Laguerre series expansion

Journal Article published Jan 2019 in Journal of Computational and Applied Mathematics volume 346 on pages 133 to 149

Research funded by National Natural Science Foundation of China (11471058, 11101451) | Ministry of Education of the People's Republic of China (16YJC910005) | Fundamental Research Funds for the Central Universities (2018CDQYST0016)

Authors: Zhimin Zhang, Wen Su

Nanoindentation hardness of a Steigmann–Ogden surface bounding an elastic half-space

Journal Article published 5 Oct 2018 in Mathematics and Mechanics of Solids on page 108128651879979

Research funded by Fundamental Research Funds for the Central Universities | Natural Science Foundation of Jiangsu Province (BK20161411) | National Key R&D Program of China (2017YFC0702800) | National Natural Science Foundation of China (11702076, 11472079)

Authors: Xiaobao Li, Changwen Mi

Cascading load model in interdependent networks with coupled strength

Journal Article published Jul 2015 in Physica A: Statistical Mechanics and its Applications volume 430 on pages 242 to 253

Research funded by National Natural Science Foundation of China (71101022) | Fundamental Research Funds for the Central Universities (N110406003) | Program for New Century Excellent Talents in University (NCET-12-0100)

Authors: Jianwei Wang, Yun Li, Qiaofang Zheng

Social network based microblog user behavior analysis

Journal Article published Apr 2013 in Physica A: Statistical Mechanics and its Applications volume 392 issue 7 on pages 1712 to 1723

Research funded by New Century Excellent Talents in University (NCET-11-0597) | Fundamental Research Funds for the Central Universities (2012RC1002)

Authors: Qiang Yan, Lianren Wu, Lan Zheng

A copula–multifractal volatility hedging model for CSI 300 index futures

Journal Article published Nov 2011 in Physica A: Statistical Mechanics and its Applications volume 390 issue 23-24 on pages 4260 to 4272

Research funded by National Natural Science Foundation of China (70771097, 71071131, 71090402) | Program for New Century Excellent Talents in University (NCET-08-0826) | Program for Changjiang Scholars and Innovative Research Team in University (PCSIRT0860) | Fundamental Research Funds for the Central Universities (SWJTU09ZT32, SWJTU09CX088)

Authors: Yu Wei, Yudong Wang, Dengshi Huang

Forecasting volatility of fuel oil futures in China: GARCH-type, SV or realized volatility models?

Journal Article published Nov 2012 in Physica A: Statistical Mechanics and its Applications volume 391 issue 22 on pages 5546 to 5556

Research funded by National Natural Science Foundation of China (70771097, 71071131, 71090402) | Program for New Century Excellent Talents in University (NCET-08-0826) | Program for Changjiang Scholars and Innovative Research Team in University (PCSIRT0860) | Fundamental Research Funds for the Central Universities (SWJTU11ZT30, SWJTU11CX137)

Authors: Yu Wei