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	Volatility forecasts by clustering: Applications for VaR estimation Journal article International Review of Economics and Finance,2024, volume: 94 Authors: Wang, Zijin; Chen, Peimin; Liu, Peng; Wu, Chunchi Favorite \| View/Download：2/0 \| Submit date：2024/09/04 Fisher's optimal dissection Value-at-risk Volatility forecasts
	Optimal dividend decisions with capital infusion in a dynamic nonterminal bankruptcy model Journal article Review of Quantitative Finance and Accounting,2024, volume: 62, issue: 3, pages: 911-951 Authors: Zhang, Shu; Chen, Peimin; Wu, Chunchi Favorite \| View/Download：2/0 \| Submit date：2024/05/07 Capital injection Diffusion models Nonterminal bankruptcy Optimal dividend policy
	A dynamic Heston local–stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility Journal article Journal of Computational and Applied Mathematics,2023, volume: 423 Authors: He, Yong; Chen, Peimin; He, Lin; Xiang, Kaili; Wu, Chunchi Favorite \| View/Download：3/0 \| Submit date：2025/03/25 Asymptotic expansion technique Dual method HLSV model Legendre transformation
	Optimal investment strategy with constant absolute risk aversion utility under an extended CEV model Journal article Optimization,2022, volume: 71, issue: 15, pages: 4603-4633 Authors: He, Yong; Xiang, Kaili; Chen, Peimin; Wu, Chunchi Favorite \| View/Download：2/0 \| Submit date：2025/03/25 asymptotic expansion technique dual method Extended CEV model legendre transformation
	Commercial Mortgage-Backed Security Pricing with Real Estate Liquidity Risk Journal article Real Estate Economics,2021, volume: 49, pages: 490-525 Authors: Chen, Peimin; Kozhanov, Igor; Liu, Peng; Wu, Chunchi Favorite \| View/Download：4/0 \| Submit date：2025/03/25
	DCC-GARCH model for market and firm-level dynamic correlation in S&P 500 Book chapter 出自: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning, Singapore:World Scientific Publishing, 2020, pages: 4421-4440 Authors: Chen, Peimin; Wu, Chunchi; Zhang, Ying Favorite \| View/Download：2/0 \| Submit date：2025/03/25 Contagion DCC-MVGARCH Dynamic conditional correlation Multivariate GARCH Risk management
	Default prediction with dynamic sectoral and macroeconomic frailties Journal article Journal of Banking and Finance,2014, volume: 40, pages: 211-226 Authors: Chen, Peimin; Wu, Chunchi Favorite \| View/Download：3/0 \| Submit date：2025/03/25 Default risk Distance to default Frailty Gibbs sampler Hazard rate function Monte Carlo expectations maximization (EM) Tail loss