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Unfolded GARCH models
Liu, Xiaochun; Luger, Richard - In: Journal of economic dynamics & control 58 (2015), pp. 186-217
Persistent link: https://www.econbiz.de/10011574655
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A new approach to risk-return trade-off dynamics via decomposition
Frazier, David T.; Liu, Xiaochun - In: Journal of economic dynamics & control 62 (2016), pp. 43-55
Persistent link: https://www.econbiz.de/10011708149
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Measuring systemic risk with regime switching in tails
Liu, Xiaochun - In: Economic modelling 67 (2017), pp. 55-72
Persistent link: https://www.econbiz.de/10011813772