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Items where Author is "Peng, L."

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Article

Asimit, A.V. ORCID: 0000-0002-7706-0066, Peng, L., Wang, R. and Yu, A. (2019). An efficient approach to quantile capital allocation and sensitivity analysis. Mathematical Finance,

Asimit, A.V., Gerrard, R. J. G., Yanxi, H. and Peng, L. (2016). Tail Dependence Measure for Examining Financial Extreme Co-movements. Journal of Econometrics, 194(2), pp. 330-348. doi: 10.1016/j.jeconom.2016.05.011

Asimit, A.V., Li, D. and Peng, L. (2010). Pitfalls in using Weibull tailed distributions. Journal of Statistical Planning and Inference, 140(7), pp. 2018-2024. doi: 10.1016/j.jspi.2010.01.039

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