Similar Search Results

Estimation of extreme value-at-risk : an EVT approach for quantile GARCH model

Yi, Yanping; Feng, Xingdong; Huang, Zhuo - In: Economics letters 124 (2014) 3, pp. 378-381

Persistent link: https://www.econbiz.de/10010495168

Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models

Chen, Xiaohong; Huang, Zhuo; Yi, Yanping - In: Journal of econometrics 222 (2021) 1,2, pp. 484-501

Persistent link: https://www.econbiz.de/10012619712

Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models

Chen, Xiaohong; Huang, Zhuo; Yi, Yanping - 2019 - Revised October 2019

Persistent link: https://www.econbiz.de/10012153489

Efficient estimation of multivariate semi-nonparametric GARCH filtered Copula models

Chen, Xiaohong; Huang, Zhuo; Yi, Yanping - 2020 - Revised October 9, 2019

Persistent link: https://www.econbiz.de/10015054147

Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models

Chen, Xiaohong - 2019

This paper considers estimation of semi-nonparametric GARCH ﬁltered copula models in which the individual time series are modelled by semi-nonparametric GARCH and the joint distributions of the multivariate standardized innovations are characterized by parametric copulas with nonparametric...

Persistent link: https://www.econbiz.de/10012857717

Uniform inference in predictive regression models

Chen, Willa W.; Deo, Rohit S.; Yi, Yanping - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 525-533

Persistent link: https://www.econbiz.de/10010337853

Balanced predictive regressions

Ren, Yu; Tu, Yundong; Yi, Yanping - In: Journal of empirical finance 54 (2019), pp. 118-142

Persistent link: https://www.econbiz.de/10012174812

Semiparametric estimation of the bid-ask spread in extended roll models

Chen, Xiaohong; Linton, Oliver; Schneeberger, Stefan; … - In: Journal of econometrics 208 (2019) 1, pp. 160-178

Persistent link: https://www.econbiz.de/10012139826

Forecasting cointegrated nonstationary time series with time-varying variance

Tu, Yundong; Yi, Yanping - In: Journal of econometrics 196 (2017) 1, pp. 83-98

Persistent link: https://www.econbiz.de/10011743781

Estimation and bootstrapping under spatiotemporal models with unobserved heterogeneity

Feng, Xingdong; Li, Wenyu; Zhu, Qianqian - In: Journal of econometrics 238 (2024) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10015073797