[1] Cont R. Empirical properties of asset returns:Stylized facts and satistical issues[J]. Quantitative Finance, 2001, 1(2):223-236. [2] Dittmar R. Nonlinear pricing kernels, kurtosis preference, and evidence from the cross section of equity returns[J]. Journal of Finance, 2002, 57(1):369-403. [3] Mitton T, Vorkink K. Equilibrium underdiversifi-cation and the preference for skewness[J]. Review ofFinancial Studies, 2007, 20(4):1255-1288. [4] Jondeau E, Rockinger M. Optimal portfolio allocation under higher moments[J]. European Financial Management, 2006, 12(1):29-55. [5] Martellini L, Ziemann V. Improved estimates of higher-order comoments and implications for portfolio selection[J]. Review of Financial Studies, 2010, 23(4):1467-1502. [6] Boudt K, Lu Wanbo, Peeters B. Higher order comoments of multifactor models and asset allocation[J]. Finance Research Letters, 2015, 13:225-233. [7] 蒋翠侠,许启发,张世英.金融市场条件高阶矩风险与动态组合投资[J].中国管理科学,2007(1):27-33. [8] 王鹏,王建琼,魏宇.自回归条件方差-偏度-峰度:一个新的模型[J].管理科学学报,2009,12(5):121-129. [9] 黄卓,李超.动态金融高阶矩建模:基于Generalized-t分布和Gram-Charlier展开分布的比较研究[J].中国管理科学,2015,23(10):11-18. [10] 方立兵,曾勇.股市收益率高阶矩风险的产生机制检验[J].中国管理科学,2016,24(4):27-36. [11] Ang A, Chen J. Asymmetric correlations of equity portfolios[J]. Journal of Financial Economics, 2002, 63(3):443-494. [12] Jondeau E, Jurczenko E, Rockinger M. Moment component analysis:An illustration with inter-national stock markets[J].Journal of Business and Economic Statistics,2018, 36(4):576-598. [13] Zheng Yu. Trajectory data mining:An overview[J]. ACM Transactions on Intelligent Systems and Techno-logy (TIST), 2015, 6(3):29. [14] Billio M, Getmansky M, Lo A W, et al. Econometric measures of connectedness and systemic risk in the finance and insurance sectors[J]. Journal of Financial Economics, 2012, 104(3):535-559. [15] Kritzman M, Li Y, Page S, et al. Principal components as a measure of systemic risk[J]. Journal of Portfolio Management, 2011, 37(4):112-126. [16] De Lathauwer L, De Moor B, Vandewalle J. On the best rank-1 and rank-(R1,R2,…,RN) approxim-ation of higher-order tensors[J]. SIAM Journal on Matrix Analysis and Applications, 2000, 21(4):1324-1342. [17] Tucker L R. Some mathematical notes on three-mode factor analysis[J]. Psychometrika, 1966, 31(3):279-311. [18] Stekhoven D J, Bühlmann P. Miss forest-non-parametric missing value imputation for mixed-type data[J]. Bioinformatics, 2012, 28(1):112-118. [19] Man G. Competition and the growth of nations:International evidence from Bayesian model average-ng[J]. Economic Modelling, 2015, 51:491-501. [20] Johnstone I M. On the distribution of the largest eigenvalue in principal components analysis[J]. Annals of Statistics, 2001, 29(2):295-327. [21] Bai Jushan, Ng S. Determining the number of factors in approximate factor models[J]. Econome-trica, 2010, 70(1):191-221. [22] Onatski A. Determining the number of factors from empirical distribution of eigenvalues[J]. Review of Economics and Statistics, 2010, 92(4):1004-1016. [23] Ahn S C, Horenstein A R. Eigenvalue ratio test for the number of factors[J]. Econometrica, 2013, 81(3):1203-1227. [24] Theodossiou P. Financial data and the skewed generalized T distribution[J]. Management Science, 1998, 44(12):1650-1661. |