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~subject:"ARCH model"
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ARCH model
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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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2
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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3
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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4
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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5
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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6
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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7
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
Saved in:
8
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
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