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Testing for multivariate volatility functions using minimum volume sets and inverse regression
Polonik, Wolfgang; Yao, Qiwei - In: Journal of econometrics 147 (2008) 1, pp. 151-162
Persistent link: https://www.econbiz.de/10003783795
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Estimating GARCH models : when to use what?
Huang, Da; Wang, Hansheng; Yao, Qiwei - In: The econometrics journal 11 (2008) 1, pp. 27-38
Persistent link: https://www.econbiz.de/10003648603
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Modelling multivariate volatilities via conditionally uncorrelated components
Fan, Jianqing (contributor); Wang, Mingjin (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003164853
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Modelling multivariate volatilities : an ad hoc method
Wang, Mingjin (contributor); Yao, Qiwei (contributor) - 2005
Persistent link: https://www.econbiz.de/10003165050
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Approximating volatilities by asymmetric power GARCH function
Penzer, Jeremy (contributor); Wang, Mingjin (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002075165
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Least absolute deviations estimation for ARCH and GARCH models
Peng, Liang (contributor); Yao, Qiwei (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001755629
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Inference in ARCH and GARCH models with heavy-tailed errors
Hall, Peter; Yao, Qiwei - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 1, pp. 285-317
Persistent link: https://www.econbiz.de/10001731116
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Modeling multivariate volatilities via latent common factors
Li, Weiming; Gao, Jing; Li, Kunpeng; Yao, Qiwei - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 564-573
Persistent link: https://www.econbiz.de/10011692411