Jie Cheng

Journal Articles

• Cheng, Jie. 01-12-2024. 'Evaluating Density Forecasts Using Weighted Multivariate Scores in a Risk Management Context'. Computational Economics. DOI > view in repository >
• Cheng, Jie. 01-08-2023. 'Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies.'. Empirical Economics. DOI > view in repository >
• Bu, Ruijun; Cheng, Jie; Jawadi, Fredj. 01-10-2022. 'A latent-factor-driven endogenous regime-switching non-Gaussian model: Evidence from simulation and application'. International Journal of Finance and Economics. DOI > view in repository >
• Hayes; Cheng. 29-04-2020. 'Datafication of epistemic equality: advancing understandings of teaching excellence beyond benchmarked performativity.'. Teaching in Higher Education. DOI > view in repository >
• Hayes, Aneta; Cheng, Jie. 17-08-2018. '“Liberating the ‘oppressed’ and the ‘oppressor’: A model for a new TEF metric, internationalisation and democracy”'. Educational Review. DOI > view in repository >
• Cheng, Jie. 07-11-2016. 'Spectral density of Markov switching models: Derivation, simulation studies and application'. Model Assisted Statistics and Applications. DOI > view in repository >
• Cheng, Jie; Hong, Yi; Tao, Juan. 08-08-2016. 'How do risk attitudes of clearing firms matter for managing default exposure in futures markets?'. The European Journal of Finance. DOI > view in repository >
• Bu, Ruijun; Cheng, Jie; Hadri, Kaddour. 02-07-2016. 'Nonlinearity and Endogeneity in Continuous-Time Regime-Switching Diffusion Models for Market Volatility'. Studies in Nonlinear Dynamics and Econometrics. DOI > view in repository >
• Bu, Ruijun; Cheng, Jie; Hadri, Kaddour. 01-01-2016. 'Reducible diffusions with time-varying transformations with application to short-term interest rates'. Economic Modelling. DOI > view in repository >
• Cheng. 01-01-2016. 'A transitional Markov switching autoregressive model'. Communications in Statistics - Theory and Methods. DOI > view in repository >
• Li, Lu; Cheng, Jie. 01-05-2015. 'Modeling and Forecasting Corporate Default Counts Using Hidden Markov Model'. Journal of Economics, Business and Management. DOI > view in repository >
• Huang, X.X.; Cheng, J.. 01-01-2015. 'Applications of Poisson-Hidden Markov Model'. International Journal of Applied Mathematics and Statistics. view in repository >
• Zhu, Yajing; Cheng, Jie. 01-01-2013. 'Using Hidden Markov Model to Detect Macro-economic Risk Level'. Review of Integrative Business and Economics Research. view in repository >