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155 records from EconBiz based on author Name
1. On bivariate time-varying price staleness
Zhu, Haibin; Liu, Zhi;2024
Type: Aufsatz in Zeitschrift; Article in journal;
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2. Explaining Epps Effect When Bivariate Price Staleness Is Present
abstractThe intraday high-frequency datasets contain several zero returns, which state that no change occurs in two or more consecutive transactions, particularly in the transaction data of in- active securities. In addition, existing approaches to cleaning financial data, such as the previous-tick method, induce zero returns. It has been shown by Phillips and Yu (2007) and Buccheri et al. (2020) that the presence of zero returns affects the limiting behavior of realized power variations and realized covariation of semi-martingale. In this study, we establish a unified result for the limiting theory of the realized power variations of multivari- ate semi-martingales, which includes the results of Phillips and Yu (2007) as a special case. Moreover, we provide a new asymptotic theory for realized covariation by considering the bivariate price staleness processes between assets. A Monte Carlo study verifies the proposed theory, and an analysis of real high-frequency data is proposed for illustration purposes
Zhu, Haibin; Liu, Zhi;2022
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3. Forecasting realized volatility with machine learning : panel data perspective
Zhu, Haibin; Bai, Lu; He, Lidan; Liu, Zhi;2023
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link
4. On Multi-Dimensional Time-Varying Price Staleness
abstractThe price staleness is referred to as the extent of the presence of the zero returns in the price dynamics. The proportion of the zero returns could be high in the high-frequency data sets, as pointed by Bandi et al. (2020a). Considering the price staleness as a dynamic system too, in this paper, we extend the framework of Bandi et al. (2020b) and study the statistical inference of the idiosyncratic price staleness and systematic price staleness between assets, where the systematic price staleness characterizes the probability of the presence of com- mon zero returns. We propose consistent estimators for both the idiosyncratic and systematic price stalenesses under the new framework, and their distributional theory are established. Moreover, we develop a feasible nonparametric test for the constancy of the systematic price staleness. All of the methodologies are based on the high-frequency observations, namely, we require the observing intervals shrink to zero. Finally, we conduct simulation studies under various scenarios to assess the finite sample performance of the proposed approaches, and provide an empirical illustration for the proposed theory
Zhu, Haibin; Liu, Zhi;2021
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5. E-CARGO and role-based collaboration : modeling and solving problems in the complex world
abstract"This book systematically describes the fundamental understanding of collaboration, collaboration systems, and complex systems and then propose solutions to the related problems with the assistance of the model and methodology. The structure follows a typical technology development document that begins with an introduction to collaboration and problem solving, then provide a thorough survey of the fundamental concept role. After that, Role-Based Collaboration (RBC) methodology, the model E-CARGO are defined and illustrated. After a thorough description of the technical specifications, the book investigates thoroughly important problems in RBC, i.e., Group Role Assignment (GRA), Extensions of GRA, Role Transfer, and highlights representative applications from different aspects of the methodology"--
Zhu, Haibin;2021
6. Monetary policy transmission in China: A DSGE model with parallel shadow banking and interest rate control
Funke, Michael; Mihaylovski, Petar; Zhu, Haibin;2015
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link Link
7. Monetary policy transmission in China : a DSGE model with parallel shadow banking and interest rate control
Funke, Michael; Mihaylovski, Petar; Zhu, Haibin;2015
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link
8. A Framework for Assessing the Systemic Risk of Major Financial Institutions
abstractIn this paper we propose a framework for measuring and stress testing the systemic risk of a group of major financial institutions. The systemic risk is measured by the price of insurance against financial distress, which is based on ex ante measures of default probabilities of individual banks and forecasted asset return correlations. Importantly, using realized correlations estimated from high-frequency equity return data can significantly improve the accuracy of forecasted correlations. Our stress testing methodology, using an integrated micro-macro model, takes into account dynamic linkages between the health of major US banks and macro-financial conditions. Our results suggest that the theoretical insurance premium that would be charged to protect against losses that equal or exceed 15% of total liabilities of 12 major US financial firms stood at $110 billion in March 2008 and had a projected upper bound of $250 billion in July 2008
Huang, Xin; Zhou, Hao; Zhu, Haibin;2016
Availability: Link
9. A Framework for Assessing the Systemic Risk of Major Financial Institutions
abstractIn this paper we propose a framework for measuring and stress testing the systemic risk for a group of major financial institutions. The systemic risk is measured by the price of insurance against financial distresses, which is based on ex ante measures of default probabilities of individual banks and forecasted asset return correlations. Importantly, using realized correlations estimated from high-frequency equity return data can significantly improve the accuracy of forecasted correlations. In addition, our stress testing methodology, as an integrated micro-macro model, takes into account dynamic linkages between the health of major US banks and the macro-financial condition. Our results suggest that the insurance premium to protect against losses that equal or exceed 15% of total liabilities of 12 major US financial firms stands at 110 billion in March 2008 and has a projected upper bound of 250 billion in July 2008.Our methodology is closely related to but in sharp contrast with the Financial Stability Assessment Program (FSAP) conducted by IMF in recent years, the Supervisory Capital Assessment Program (SCAP) implemented by the U.S. regulatory authorities earlier this year, and the European-wide stress testing program sanctioned by the Committee of European Banking Supervisors (CEBS). These supervisory stress testing programs are primarily based on confidential banking information and adopt the historical stress scenarios as adverse as in the Great Depression era. In contrast, we rely on public banking information from the financial markets and use the statistical bootstrapping method to consistently assess the downside extreme outcomes. Therefore our approach is more applicable by the private sector in measuring and managing the systemic risk exposures of large complex banking institutions.The concept of market-based stress testing and systemic risk assessment is an extension of the original idea by Merton and Perold (1993) that the capital of financial institutions is a risk-neutral concept reflected in current asset prices. Auml;ıt-Sahalia and Lo (2000) regard value-at-risk (VaR) as inherently a risk-adjusted quantity implied by financial markets. A recent paper by Heaton, Lucas, and McDonald (2008) explicitly argues that capital reserve is a risk-neutral measurement
Huang, Xin; Zhou, Hao; Zhu, Haibin;2016
Availability: Link
10. The Structure of Housing Finance Markets and House Prices in Asia
abstractEmerging Asia has witnessed rapid growth of private housing and market-based housing finance in the past decade; nevertheless, market development has been uneven across countries. There is evidence that, in those economies with more flexible housing finance markets, house prices are more responsive to overall changes in market conditions, particularly equity price movements
Zhu, Haibin;2015
Availability: Link