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Smooth transition quantile capital asset pricing models with heteroscedasticity
Chen, Cathy W. S.; Lin, Simon; Yu, Philip L. H. - In: Computational economics 40 (2012) 1, pp. 19-48
Persistent link: https://www.econbiz.de/10009627520
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Bayesian unit root test in double threshold heteroskedastic models
Chen, Cathy W. S.; Chen, Shu-yu; Lee, Sangyeol - In: Computational economics 42 (2013) 4, pp. 471-490
Persistent link: https://www.econbiz.de/10010249863
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On a bivariate hysteretic AR-GARCH model with conditional asymmetry in correlations
Chen, Cathy W. S.; Than-Thi, Hong; Asai, Manabu - In: Computational economics 58 (2021) 2, pp. 413-433
Persistent link: https://www.econbiz.de/10012615031
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How strong is the relationship among gold and USD exchange rates? : analytics based on structural change models
Dong, Manh Cuong; Chen, Cathy W. S.; Lee, Sangyoel; … - In: Computational economics 53 (2019) 1, pp. 343-366
Persistent link: https://www.econbiz.de/10012134682
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On asymmetric market model with heteroskedasticity and quantile regression
Chen, Cathy W. S.; Li, Muyi; Nguyen, Nga T. H.; Songsak … - In: Computational economics 49 (2017) 1, pp. 155-174
Persistent link: https://www.econbiz.de/10011751821
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Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity
Chen, Cathy W. S.; Lin, Simon; Yu, Philip L. H. - In: Computational economics 40 (2012) 1, pp. 19-49
Persistent link: https://www.econbiz.de/10009977722