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Author

Weijia Peng

ORCID: 0000-0002-7966-3442
Observed ORCID: 0000-0002-7966-3442
OpenAlex ID: A5017892084
Financial econometrics and big data: A survey of volatility estimators and tests for the presence of jumps and co-jumps
2019 · Arpita Mukherjee, Weijia Peng, et al. · Handbook of statistics · 15
Assessing the volatility of green firms
2024 · Lorán Chollete, Keener Hughen, et al. · Finance research letters · 5
Macroeconomic and financial mixed frequency factors in a big data environment
2024 · Weijia Peng, Norman R Swanson, et al. · Journal of the Royal Statistical Society Series C (Applied Statistics) · 5
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Sector-level equity returns predictability with machine learning and market contagion measure
2023 · Weijia Peng, Chun Yao · Empirical Economics · 4
Co-Jumps, Co-Jump Tests, and Volatility Forecasting: Monte Carlo and Empirical Evidence
2022 · Weijia Peng, Chun Yao · Journal of risk and financial management · 3
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Forecasting realized volatility of Shanghai oil futures with mix-frequency uncertainty factors
2026 · Bo Yu, Weijia Peng, et al. · Pacific-Basin Finance Journal · 2
Macroeconomic and Financial Uncertainty Measures in a Big Data Environment
2021 · Weijia Peng, Norman Rasmus Swanson, et al. · SSRN Electronic Journal · 1
Forecasting Volatility of Currencies and Oil with Brown Firms: A Mixed-frequency Approach
2026 · Weijia Peng, Loran Chollete, et al. · SSRN Electronic Journal
Financial Econometrics and Big Data: A Survey of Volatility Estimators and Tests for the Presence of Jumps and Co-Jumps
2018 · Arpita Mukherjee, Weijia Peng, et al. · SSRN Electronic Journal
Works count: 9
Citation count: 35
H-index: 4
I10-index: 1
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