A dynamic conditional score model for the log correlation matrix CM Hafner, L Wang Journal of Econometrics 237 (2), 105176, 2023 | 7 | 2023 |
Dynamic autoregressive liquidity (DArLiQ) CM Hafner, OB Linton, L Wang Journal of Business & Economic Statistics 42 (2), 774-785, 2024 | 4 | 2024 |
Dynamic portfolio selection with sector-specific regularization CM Hafner, L Wang Econometrics and Statistics, 2022 | 4 | 2022 |
Supplementary Material for “Dynamic Autoregressive Liquidity (DArLiQ)” CM Hafner, OB Linton, L Wang | 1 | 2023 |
Asymmetric short-rate model without lower bound F Vrins, L Wang Quantitative Finance 23 (2), 279-295, 2023 | 1 | 2023 |
The effect of stock splits on liquidity in a dynamic model CM Hafner, OB Linton, L Wang Available at SSRN 4744376, 2024 | | 2024 |
Essays on Financial Econometrics and Quantitative Finance L Wang UCL-Université Catholique de Louvain, 2022 | | 2022 |