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On some models for value-at-risk
Yu, Philip L. H.; Li, Wai Keung; Jin, Shusong - In: Econometric reviews 29 (2010) 5/6, pp. 622-641
Persistent link: https://www.econbiz.de/10008668112
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A new Pearson-type QMLE for conditionally heteroscedastic models
Zhu, Ke; Li, Wai Keung - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 4, pp. 552-565
Persistent link: https://www.econbiz.de/10011403239
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A stochastic volatility model with Markov switching
So, Mike Ka-pui - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 2, pp. 244-253
Persistent link: https://www.econbiz.de/10001243996
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Modelling asymmetry in stock returns by a threshold autoregressive conditional heteroscedastic model
Li, Wai Keung - In: The statistician : journal of the Institute of Statisticians 44 (1995) 3, pp. 333-341
Persistent link: https://www.econbiz.de/10001185761