Jinzhi Li

Jinzhi Li is an associate professor in the Department of Statistics, Minzu University of China. She received PH.D. in probability and statistics from School of Mathematics at Nankai University. Her research interests include Bayesian statistics, derivatives pricing and risk management.

Articles by Jinzhi Li

Original research

Optimal hedge ratios based on Markov-switching dynamic copula models

In this paper, the authors combine MS dynamic copulas with the skewed t SV model to study the optimal hedge ratios of portfolios.

15 Aug 2018