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Jackknife empirical likelihood method for copulas

Peng, Liang; Qi, Yongcheng; Keilegom, Ingrid Van - In: TEST: An Official Journal of the Spanish Society of … 21 (2012) 1, pp. 74-92

Persistent link: https://www.econbiz.de/10010994262

Interval estimation of the tail index of a GARCH(1,1) model

Chan, Ngai; Peng, Liang; Zhang, Rongmao - In: TEST: An Official Journal of the Spanish Society of … 21 (2012) 3, pp. 546-565

It is known that the tail index of a GARCH model is determined by a moment equation, which involves the underlying unknown parameters of the model. A tail index estimator can therefore be constructed by solving the sample moment equation with the unknown parameters being replaced by its...

Persistent link: https://www.econbiz.de/10010994329

Empirical likelihood confidence intervals for the endpoint of a distribution function

Li, Deyuan; Peng, Liang; Qi, Yongcheng - In: TEST: An Official Journal of the Spanish Society of … 20 (2011) 2, pp. 353-366

Persistent link: https://www.econbiz.de/10009324917

Comments on: A review on empirical likelihood methods for regression

Peng, Liang; Zhang, Rongmao - In: TEST: An Official Journal of the Spanish Society of … 18 (2009) 3, pp. 452-454

Persistent link: https://www.econbiz.de/10008469403

Smoothed jackknife empirical likelihood method for tail copulas

Peng, Liang; Qi, Yongcheng - In: TEST: An Official Journal of the Spanish Society of … 19 (2010) 3, pp. 514-536

Persistent link: https://www.econbiz.de/10008775817