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A realized stochastic volatility model with box-cox transformation
Zheng, Tingguo; Song, Tao - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 4, pp. 593-605
Persistent link: https://www.econbiz.de/10010488412
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Generalized ARMA models with martingale difference errors
Zheng, Tingguo; Xiao, Han; Chen, Rong - In: Journal of econometrics 189 (2015) 2, pp. 492-506
Persistent link: https://www.econbiz.de/10011504639
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An extensive study on Markov switching models with endogenous regressors
Wang, Xia; Shang, Yuhuang; Zheng, Tingguo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 4, pp. 403-418
Persistent link: https://www.econbiz.de/10010461228
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Fast estimation of a large TVP-VAR model with score-driven volatilities
Zheng, Tingguo; Ye, Shiqi; Hong, Yongmiao - In: Journal of economic dynamics & control 157 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014495380