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Inference for the VEC(1) model with a heavy-tailed linear process errors
Guo, Feifei; Ling, Shiqing - In: Econometric reviews 42 (2023) 9/10, pp. 806-833
Persistent link: https://www.econbiz.de/10014420347
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Inference in heavy-tailed vector error correction models
She, Rui; Ling, Shiqing - In: Journal of econometrics 214 (2020) 2, pp. 433-450
Persistent link: https://www.econbiz.de/10012439014
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Joint modeling of cointegration and conditional heteroscedasticity with applications
Wong, Heung; Li, W.; Ling, Shiqing - In: Annals of the Institute of Statistical Mathematics 57 (2005) 1, pp. 83-103
Persistent link: https://www.econbiz.de/10005184640