Zongrun Wang

Finance · 2008–2010

A researcher in the Science corpus: 2 papers; trusts 2 researchers and is trusted by 0 researchers here, as inferred from the citation graph.

Subfields

• Finance — 20 citations into it
• Economics and Econometrics — 15 citations into it

Whom Zongrun Wang trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Alexander J. McNeil
2. Rüdiger Frey
3. V. Fernandez
4. Andrew J. Patton

Papers from Zongrun Wang's perspective

Ordered by how strongly the researchers Zongrun Wang trusts endorse each paper. Same corpus, a different order for every researcher.

1. Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
2. Fonctions de repartition a n dimensions et leurs marges
3. A Goodness-of-fit Test for Copulas
4. Multivariate Exponential Distribution
5. Multi-period hedge ratios for a multi-asset portfolio when accounting for returns comovement
6. Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls
7. On Default Correlation: A Copula Function Approach
8. Statistical Inference Using Extreme Order Statistics
9. An Introduction to Copulas
10. Semiparametric ARCH models

Their papers

• Estimating risk of foreign exchange portfolio: Using VaR and CVaR based on GARCH–EVT-Copula model (2010) — 74 citations
• Optimal ordering quantities for multi-products with stochastic demand: Return-CVaR model (2008) — 49 citations