主要论文（按时间排序，其中下划线的为本人指导的学生）： [1]. 柯睿, 郝斌, 谭常春. (2024). 金融时变高阶矩建模及其风险测度研究:基于收益率分解的方法. 数理统计与管理, 43(1), 177-190. [2]. Ke, R., Shen, A., Yin, M., Tan, C. (2024). The cross-sector risk contagion among Chinese financial institutions: Evidence from the extreme volatility spillover perspective. Finance Research Letters, 63, 105303. [3]. 柯睿, 欧阳诗轶. (2024). 尾部风险溢出网络视角下人民币汇率市场输入性风险测度与国际影响力评估. 金融发展研究, 7, 3-14. [4]. Wang, Y., Ke, R., Yang, D. (2024). Modeling dynamic higher-order comoments for portfolio selection based on copula approach. International Review of Economics & Finance, 96, 103668. [5]. Lyu, Y., Qin, F., Ke, R., Wei, Y., Kong, M. (2024). Does mixed frequency variables help to forecast value at risk in the crude oil market? Resources Policy, 88, 104426.[6]. Lyu, Y., Qin, F., Ke, R., Yang, M., Chang, J. (2024). Forecasting the VaR of the crude oil market: A combination of mixed data sampling and extreme value theory. Energy Economics, 133, 107500. [7]. Ke R., Yang L., Tan C. (2022). Forecasting tail risk for Bitcoin: A dynamic peak over threshold approach. Finance Research Letters, 49, 103086. [8]. Ke R., Jia J., Tan C. (2021). A residual-based test for multivariate GARCH models using transformed quadratic residuals. Economics Letters, 206, 109978. [9]. Ke R., Jia J., Tan C. (2021). Robust minimum distance estimators for the CARR(1,1) model. Journal of Statistical Computation and Simulation, 91(3), 564–580. [10]. Ke R., Lu W., & Jia J. (2021). Evaluating multiplicative error models: A residual-based approach. Computational Statistics & Data Analysis, 153, 107086. [11]. 贾婧, 柯睿, 鲁万波. (2021). 异地中考、人口流动与子女教育. 南开经济研究, 5, 198–218. [12]. 贾婧, 鲁万波, 柯睿. (2021). 基于非参数估计的教育多维度回报研究. 数理统计与管理, 40(4), 596–612. [13]. 贾婧，柯睿. (2021). 流动人口子女教育机会的差异分解. 统计与决策, 37(15), 57–61. [14]. 贾婧，柯睿. (2020). 免费义务教育政策与农村人力资本积累——基于CFPS的实证研究. 教育与经济, 36(1), 19–30. [15]. Lu W., Ke R. (2019). A generalized least squares estimation method for the autoregressive conditional duration model. Statistical Papers, 60(1), 123–146. [16]. Lu W., Wang Y., Li J., Ke R. (2019). A closed-form moment estimator for the vector multiplicative error model and its application. Quality Technology & Quantitative Management, 16(2), 200–210. [17].贾婧, 柯睿, 鲁万波, 黄麓熹. (2018). 青少年时期的压力是财富还是灾难——来自“上山下乡”经历的证据. 南方经济, 8, 128–148. [18]. 贾婧, 鲁万波, 柯睿. (2018). 基于回归的时变偏度和时变峰度识别检验. 统计研究, 35(11), 116–128. [19]. Lyu Y., Wang P., Wei Y., Ke R. (2017). Forecasting the VaR of crude oil market: Do alternative distributions help? Energy Economics, 66, 523–534. [20]. Lu W., Ke R. (2017). Some closed form robust moment-based estimators for the MEM(1,1). Applied Stochastic Models in Business and Industry, 33(6), 559–574. [21]. Lu W., Ke R., Liang J. (2016). A moment closed form estimator for the autoregressive conditional duration model. Statistical Papers, 57(2), 329–344. |
