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Browsing by Author "Chen, Shi"
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2016-08-30BuchA first econometric analysis of the CRIX family Chen, Shi; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl; Lee, TM; Ong, BobbyThe CRIX (CRyptocurrency IndeX) has been constructed based on approximately 30 cryptos and captures high coverage of available market capitalisation. The CRIX index family covers a range of cryptos based on different ...
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2018-01-09DissertationEconometric Measures of Financial Risk in High Dimensions Chen, ShiDas moderne Finanzsystem ist komplex, dynamisch, hochdimensional und oftmals nicht stationär. All diese Faktoren stellen große Herausforderungen beim Messen des zugrundeliegenden Finanzrisikos dar, das speziell für ...
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2015-11-02BuchEstimating inflation expectation co-movement across countries Chen, Shi; Härdle, Wolfgang Karl; Wang, WeiningInflation expectation is an important indicator for policy makers and financial investors. To capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage-free ...
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2014-09-05MasterarbeitInflation expectation calibration in an arbitrage-free model Chen, ShiDie Master-Thesis analysiert den Britische Gilts Markt mit AFDNS Modell. Vier unbekannte Faktoren sind in unserem Modell eingeschlossen. Mit "Kalman Filter" sind das gemeinsame Modellieren der nominalen und Inflation-bereinigten ...