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On a threshold heteroscedastic model

Chen, Cathy W. S.; So, Mike Ka-pui - In: International journal of forecasting 22 (2006) 1, pp. 73-89

Persistent link: https://www.econbiz.de/10003283952

Volatility forecasting with double Markov switching GARCH models

Chen, Cathy W. S.; So, Mike Ka-pui; Lin, Edward M. H. - In: Journal of forecasting 28 (2009) 8, pp. 681-697

Persistent link: https://www.econbiz.de/10003918204

Subset threshold autoregression

So, Mike Ka-pui; Chen, Cathy W. S. - In: Journal of forecasting 22 (2003) 1, pp. 49-66

Persistent link: https://www.econbiz.de/10001737081

Bayesian unit-root testing in stochastic volatility models

So, Mike Ka-pui; Li, Wai Keung - In: Journal of business & economic statistics : JBES ; a … 17 (1999) 4, pp. 491-496

Persistent link: https://www.econbiz.de/10001412874

A threshold stochastic volatility model

So, Mike Ka-pui; Li, Wai Keung; Lam, Kin - In: Journal of forecasting 21 (2002) 7, pp. 473-500

Persistent link: https://www.econbiz.de/10001775843

Empirical analysis of bitcoin prices using threshold time series models

Guzman, Rodolfo Angelo Magtanggol III de; So, Mike Ka-pui - In: Annals of financial economics 13 (2018) 4, pp. 1-24

Persistent link: https://www.econbiz.de/10011984103

Stochastic multivariate mixture covariance model

So, Mike Ka-pui; Li, Raymond W. M.; Asai, Manabu; Jiang, Yue - In: Journal of forecasting 36 (2017) 2, pp. 139-155

Persistent link: https://www.econbiz.de/10011729126

Volatility Forecasting with Double Markov Switching GARCH Models

Chen, Cathy W. S. - 2009

This paper investigates inference and volatility forecasting using a Markov switching heteroscedastic model with a fat-tailed error distribution to analyze asymmetric effects on both the conditional mean and conditional volatility of financial time series. The motivation for extending the Markov...

Persistent link: https://www.econbiz.de/10013159442