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2016-06-01
Continuous and jump betas: Implications for portfolio diversification
Alexeev, V
;
Dungey, M
;
Yao, W
2017-01-01
Time-varying continuous and jump betas: The role of firm characteristics and periods of stress
Alexeev, V
;
Dungey, M
;
Yao, W
2019-07-01
Asymmetric jump beta estimation with implications for portfolio risk management
Alexeev, V
;
Urga, G
;
Yao, W
2020
Modelling Financial Contagion Using High Frequency Data
Yao, W
;
Dungey, M
;
Alexeev, V
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