Feipeng Zhang
Biographic Data
| ID | 7545386 |
|---|---|
| NAME | Feipeng Zhang |
| GIVEN NAMES | Feipeng |
| FAMILY NAME | Zhang |
| SIGNATURE | ZHANG F |
| AFFILIATIONS | Xi'an Jiaotong University |
| ORCID | 0000-0002-8110-5837 |
| VERIFIED | Yes |
| TOTAL WORKS | 4 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 4 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2022 |
| LATEST PUBLICATION YEAR | 2026 |
| H-INDEX | 0 |
A New Estimator for Conditional Expectile-Based Value-at-Risk of a Linear Predictive Regression
Since it is the only elicitable law-invariant coherent risk measure, the expectile-based value-at-risk (EVaR) is a recently recommended risk measure in financial risk management. This paper considers the large sample statistical inference problem of conditional EVaR under a linear predictive regression model. Based on the least-squares residuals, we propose a novel least-squares residual estimator for the conditional EVaR of a linear predictive r…
Threshold Expectile Regressions With an Unknown Threshold for Dependent Data
This article introduces a threshold expectile regression model with an unknown threshold for dependent data, which enables simple characterization of nonlinearity and heteroscedasticity in economic and financial applications. Profile estimation is proposed for the unknown parameters, and a sup‐Wald test is developed to test the existence of the threshold effect at a fixed expectile level. Inference issues across multiple expectile levels are furt…
Coskewness and the short-term predictability for Bitcoin return
Oil price volatility forecasting
No prominent works on this page.
Oil price volatility forecasting
Coskewness and the short-term predictability for Bitcoin return
Threshold Expectile Regressions With an Unknown Threshold for Dependent Data
This article introduces a threshold expectile regression model with an unknown threshold for dependent data, which enables simple characterization of nonlinearity and heteroscedasticity in economic and financial applications. Profile estimation is proposed for the unknown parameters, and a sup‐Wald test is developed to test the existence of the threshold effect at a fixed expectile level. Inference issues across multiple expectile levels are furt…
A New Estimator for Conditional Expectile-Based Value-at-Risk of a Linear Predictive Regression
Since it is the only elicitable law-invariant coherent risk measure, the expectile-based value-at-risk (EVaR) is a recently recommended risk measure in financial risk management. This paper considers the large sample statistical inference problem of conditional EVaR under a linear predictive regression model. Based on the least-squares residuals, we propose a novel least-squares residual estimator for the conditional EVaR of a linear predictive r…
Econometrics (3 works) · Economics (3 works) · Financial economics (2 works) · Financial Risk and Volatility Modeling (2 works) · Market Dynamics and Volatility (2 works) · Mathematics (2 works) · Statistical Methods and Inference (2 works) · Statistics (2 works) · Stock (firearms) (2 works) · Stock market (2 works)