Details about Chenxing Li

Access statistics for papers by Chenxing Li.

Last updated 2025-03-16. Update your information in the RePEc Author Service.

Short-id: pli1378

Working Papers

2025

1. An Infinite Hidden Markov Model with GARCH for Short-Term Interest Rates
   MPRA Paper, University Library of Munich, Germany

2023

2. Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?, Finance Research Letters, Elsevier (2024) (2024)

2022

3. A multivariate GARCH model with an infinite hidden Markov mixture
   MPRA Paper, University Library of Munich, Germany View citations (3)
4. An Infinite Hidden Markov Model with Stochastic Volatility
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article An infinite hidden Markov model with stochastic volatility, Journal of Forecasting, John Wiley & Sons, Ltd. (2024) View citations (2) (2024)

2020

5. A Multivariate GARCH-Jump Mixture Model
   MPRA Paper, University Library of Munich, Germany

Journal Articles

2024

1. An infinite hidden Markov model with stochastic volatility
   Journal of Forecasting, 2024, 43, (6), 2187-2211 View citations (2)
   See also Working Paper An Infinite Hidden Markov Model with Stochastic Volatility, MPRA Paper (2022) (2022)
2. Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?
   Finance Research Letters, 2024, 67, (PB)
   See also Working Paper Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?, MPRA Paper (2023) (2023)