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~person:"Chen, Xiaohong"
~subject:"Börsenkurs"
~subject:"Zeitreihenanalyse"
~type_genre:"Arbeitspapier"
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Chen, Xiaohong
McAleer, Michael
46
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Efficient estimation of multivariate semi-nonparametric
GARCH
filtered copula models
Chen, Xiaohong
;
Huang, Zhuo
;
Yi, Yanping
-
2019
-
Revised October 2019
Persistent link: https://www.econbiz.de/10012153489
Saved in:
2
Penalized sieve estimation and inference of semi-nonparametric dynamic models : a selective review
Chen, Xiaohong
-
2011
, semiparametric
GARCH
, and copula-based multivariate financial models are used to illustrate the general results. …
Persistent link: https://www.econbiz.de/10009011094
Saved in:
3
Penalized sieve estimation and inference of semi-nonparametric dynamic models : a selective review
Chen, Xiaohong
-
2011
, semiparametric
GARCH
, and copula-based multivariate financial models are used to illustrate the general results. -- Nonlinear time … ; Dynamic asset pricing ; Varying coefficient VAR ;
GARCH
; Copulas ; Value-at-risk …
Persistent link: https://www.econbiz.de/10009230387
Saved in:
4
Simple tests for models of dependence between multiple financial time series, with applications to US equity returns and exchange rates
Patton, Andrew J.
;
Chen, Xiaohong
;
Fan, Yanqin
-
2004
Persistent link: https://www.econbiz.de/10002034254
Saved in:
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