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Testing for multivariate volatility functions using minimum volume sets and inverse regression

Polonik, Wolfgang (contributor); Yao, Qiwei (contributor) - 2005

Persistent link: https://www.econbiz.de/10003164811

High dimensional stochastic regression with latent factors, endogeneity and nonlinearity

Chang, Jinyuan; Guo, Bin; Yao, Qiwei - In: Journal of econometrics 189 (2015) 2, pp. 297-312

Persistent link: https://www.econbiz.de/10011504536

Modelling multivariate volatilities via conditionally uncorrelated components

Fan, Jianqing (contributor); Wang, Mingjin (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003164853

Modelling multivariate volatilities : an ad hoc method

Wang, Mingjin (contributor); Yao, Qiwei (contributor) - 2005

Persistent link: https://www.econbiz.de/10003165050

Exploring spatial nonlinearity using additive approximation

Lu, Zu-di; Lundervold, Arvid; Tjøstheim, Dag; Yao, Qiwei - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002075163

Approximating volatilities by asymmetric power GARCH function

Penzer, Jeremy (contributor); Wang, Mingjin (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002075165

Estimation for double-nonlinear cointegration

Lin, Yingqian; Tu, Yundong; Yao, Qiwei - In: Journal of econometrics 216 (2020) 1, pp. 175-191

Persistent link: https://www.econbiz.de/10012439669

Modeling multivariate volatilities via latent common factors

Li, Weiming; Gao, Jing; Li, Kunpeng; Yao, Qiwei - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 564-573

Persistent link: https://www.econbiz.de/10011692411

Nonlinear time series : nonparametric and parametric methods

Fan, Jianqing; Yao, Qiwei - 2005

Persistent link: https://www.econbiz.de/10002759942

Statistical tests for Lyapunov exponents of deterministic systems

Wolff, Rodney C; Yao, Qiwei; Tong, Howell - School of Economics and Finance, Business School - 2006

In order to develop statistical tests for the Lyapunov exponents of deterministic dynamical systems, we develop bootstrap tests based on empirical likelihood for percentiles and expectiles of strictly stationary processes. The percentiles and expectiles are estimated in terms of asymmetric least...

Persistent link: https://www.econbiz.de/10008694518