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Empirical likelihood test for the application of swqmele in fitting an arma‐garch model

Zhou, Mo; Peng, Liang; Zhang, Rongmao - In: Journal of Time Series Analysis 42 (2020) 2, pp. 222-239

Persistent link: https://www.econbiz.de/10012410058

Tail index of an AR(1) model with ARCH(1) errors

Chan, Ngai Hang; Li, Deyuan; Peng, Liang; Zhang, Rongmao - In: Econometric theory 29 (2013) 5, pp. 920-940

Persistent link: https://www.econbiz.de/10010248321

Test for zero median of errors in an ARMA-GARCH model

Ma, Yaolan; Zhou, Mohan; Peng, Liang; Zhang, Rongmao - In: Econometric theory 38 (2022) 3, pp. 536-561

Persistent link: https://www.econbiz.de/10013269973

Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors

Zhang, Rongmao; Li, Chenxue; Peng, Liang - In: Econometric reviews 38 (2019) 2, pp. 151-169

Persistent link: https://www.econbiz.de/10012180711

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

Jackknife-blockwise empirical likelihood methods under dependence

Zhang, Rongmao; Peng, Liang; Qi, Yongcheng - In: Journal of Multivariate Analysis 104 (2012) 1, pp. 56-72

Empirical likelihood for general estimating equations is a method for testing hypothesis or constructing confidence regions on parameters of interest. If the number of parameters of interest is smaller than that of estimating equations, a profile empirical likelihood has to be employed. In case...

Persistent link: https://www.econbiz.de/10009292524

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

TAIL INDEX OF AN AR(1) MODEL WITH ARCH(1) ERRORS

Chan, Ngai Hang; Li, Deyuan; Peng, Liang; Zhang, Rongmao - In: Econometric Theory 29 (2013) 05, pp. 920-940

Persistent link: https://www.econbiz.de/10010700041