| Publication | Date of Publication | Type |
|---|
Threshold network GARCH model
Journal of Time Series Analysis | 2024-11-12 | Paper |
Markov-switching Poisson generalized autoregressive conditional heteroscedastic models
Statistics and Its Interface | 2023-09-16 | Paper |
On determination of the number of factors in an approximate factor model
Studies in Nonlinear Dynamics & Econometrics | 2023-09-05 | Paper |
Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations
Studies in Nonlinear Dynamics & Econometrics | 2023-09-05 | Paper |
Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors
Journal of Time Series Analysis | 2023-08-24 | Paper |
Exploring the impact of air pollution on COVID-19 admitted cases. Evidence from vector error correction model (VECM) approach in explaining the relationship between air pollutants towards COVID-19 cases in Kuwait
Japanese Journal of Statistics and Data Science | 2022-08-23 | Paper |
A factor-GARCH model for high dimensional volatilities
Acta Mathematicae Applicatae Sinica. English Series | 2022-07-15 | Paper |
Subset selection of double-threshold moving average models through the application of the Bayesian method
Statistics and Its Interface | 2022-02-02 | Paper |
Moving dynamic principal component analysis for non-stationary multivariate time series
Computational Statistics | 2021-11-23 | Paper |
Generalized principal component analysis for moderately non-stationary vector time series
Journal of Statistical Planning and Inference | 2021-05-07 | Paper |
Estimating factor models for multivariate volatilities: an innovation expansion method
Proceedings of COMPSTAT'2010 | 2020-07-14 | Paper |
A scalar dynamic conditional correlation model: structure and estimation
Science China. Mathematics | 2018-10-29 | Paper |
Bayesian analysis of multiple thresholds autoregressive model
Computational Statistics | 2017-06-27 | Paper |
Testing a linear ARMA model against threshold-ARMA models: a Bayesian approach
Communications in Statistics. Simulation and Computation | 2017-04-11 | Paper |
Estimation and tests for power-transformed and threshold GARCH models
Journal of Econometrics | 2016-06-03 | Paper |
Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models
Science China. Mathematics | 2014-12-02 | Paper |
Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models
Statistics & Probability Letters | 2014-06-12 | Paper |
On determination of cointegration ranks
Statistics and Its Interface | 2012-08-18 | Paper |
Bayesian analysis of two-regime threshold autoregressive moving average model with exogenous inputs
Communications in Statistics. Theory and Methods | 2012-05-18 | Paper |
Weighted least absolute deviations estimation for ARMA models with infinite variance
Econometric Theory | 2012-05-14 | Paper |
A Bayesian nonlinearity test for threshold moving average models
Journal of Time Series Analysis | 2011-11-26 | Paper |
Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
BIT | 2011-08-02 | Paper |
Determining the number of factors in a multivariate error correction-volatility factor model
Econometrics Journal | 2010-06-08 | Paper |
ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
Econometric Theory | 2010-02-26 | Paper |
Modelling multiple time series via common factors
Biometrika | 2009-06-10 | Paper |
Nonparametric estimation of value-at-risk of Chinese stock market
| 2008-12-30 | Paper |
On tail behavior of nonlinear autoregressive functional conditional heteroscedastic model with heavy-tailed innovations
Science in China. Series A | 2007-05-29 | Paper |
Tail dependence of random variables from ARCH and heavy-tailed bilinear models
Science in China. Series A | 2006-09-22 | Paper |
Stationary solution and parametric estimation for bilinear model driven by ARCH noises
Science in China. Series A | 2006-09-22 | Paper |
How does innovation's tail risk determine marginal tail risk of a stationary financial time series?
Science in China. Series A | 2005-08-30 | Paper |
scientific article; zbMATH DE number 1979767 (Why is no real title available?)
| 2003-09-14 | Paper |
Asymptotic expansion for distribution function of moment estimator for the extreme-value index.
Science in China. Series A | 2002-08-15 | Paper |
Some results on estimation of the tail index of a distribution
Chinese Annals of Mathematics. Series B | 2001-07-31 | Paper |
scientific article; zbMATH DE number 1536195 (Why is no real title available?)
| 2000-11-28 | Paper |
Asymptotic Expansions of Estimators for the Tail Index with Applications
Scandinavian Journal of Statistics | 1999-11-23 | Paper |
Asymptotic expansions for the distribution functions of Pickands-type estimators
Science in China. Series A | 1999-03-15 | Paper |
scientific article; zbMATH DE number 1057893 (Why is no real title available?)
| 1997-09-04 | Paper |
scientific article; zbMATH DE number 817505 (Why is no real title available?)
| 1995-12-12 | Paper |
scientific article; zbMATH DE number 786235 (Why is no real title available?)
| 1995-08-16 | Paper |
scientific article; zbMATH DE number 78005 (Why is no real title available?)
| 1992-12-16 | Paper |
scientific article; zbMATH DE number 4153577 (Why is no real title available?)
| 1989-01-01 | Paper |
scientific article; zbMATH DE number 4072030 (Why is no real title available?)
| 1988-01-01 | Paper |
