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Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
Chen, Xiaohong
;
Huang, Zhuo
;
Yi, Yanping
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2019
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Revised October 2019
Persistent link: https://www.econbiz.de/10012153489
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Simple nonparametric estimators for the bid-ask spread in the roll model
Chen, Xiaohong
;
Linton, Oliver
;
Schneeberger, Stefan
; …
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2016
Persistent link: https://www.econbiz.de/10011556780
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Efficient estimation of copula-based semiparametric Markov models
Chen, Xiaohong
;
Wu, Wei Biao
;
Yi, Yanping
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2009
Persistent link: https://www.econbiz.de/10003808786
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