Journal Articles

• Cheng J. 2023. Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies. Empir Econ, 1-26. link> doi> full text>
• Bu R, Cheng J, Jawadi F. 2022. A latent-factor-driven endogenousregime-switching non-Gaussianmodel: Evidence from simulation and application. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 3881-3896, vol. 27(4). link> doi> full text>
• Hayes A and Jie C. 2020. Datafication of epistemic equality: advancing understandings of teaching excellence beyond benchmarked performativity. TEACHING IN HIGHER EDUCATION, 493-509, vol. 25(4). link> doi> full text>
• Hayes A and Cheng J. 2020. Liberating the "oppressed" and the "oppressor": a model for a new TEF metric, internationalisation and democracy. EDUCATIONAL REVIEW, 346-364, vol. 72(3). link> doi> full text>
• Cheng J. 2016. Spectral density of Markov switching models: Derivation, simulation studies and application. Model Assisted Statistics and Applications. doi>
• Cheng J, Ruijun B, Hadri K. 2016. Nonlinearity and Endogeneity in Continuous-Time Regime-Switching Diffusion Models for Market Volatility. Studies in Nonlinear Dynamics and Econometrics. doi>
• Cheng J. 2016. A Transitional Markov Switching Autoregressive Model. Communications in Statistics - Theory and Methods. doi>
• Cheng J, Tao J, Hong Y. 2015. How do risk attitudes of clearing firms matter for managing default exposure in futures markets?. European Journal of Finance. doi>
• Cheng J and Li L. 2015. Modeling and Forecasting Corporate Default Counts Using Hidden Markov Model. Journal of Economics, Business and Management. doi>
• Cheng J and Xiaoxue H. 2015. Applications of Poisson-Hidden Markov Model. International Journal of Applied Mathematics and Statistics.
• Cheng J, Bu R, Hadri K. 2014. Reducible Diffusions with Time Varying Transformations with Application to Short-Term Interest Rates. Economic Modelling. doi>
• Cheng J and Yajing Z. 2013. Using Hidden Markov Model to Detect Macro- economic Risk Levels. Review of Integrative Business and Economics Research.