Hengyu Wu

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It analyzes the non-linear term structure of interest rates of Treasury in Shanghai Stock Exchange, using two-factor Vasicek model and Kalman filter in the state-space framework. The observation errors of one-year and 20-year interest rates are extracted and estimated applying the Archimedean copulas and mixture copula by maximum likelihood estimation. It(More)
It firstly analyzes effects of price shocks in ECX CER spot market and futures markets applying VAR model and Impulse Response Analysis. The results are found that price shocks of CER spot price with Cholesky one standard deviation innovations to itself and futures prices of Dec09 CER, Dec10 CER, Dec11 CER and Dec12 CER show high positive effects while(More)
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