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Toward a unified interval estimation of autoregressions
Chan, Ngai Hang; Li, Deyuan; Peng, Liang - In: Econometric theory 28 (2012) 3, pp. 705-717
Persistent link: https://www.econbiz.de/10009545785
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Tail index of an AR(1) model with ARCH(1) errors
Chan, Ngai Hang; Li, Deyuan; Peng, Liang; Zhang, Rongmao - In: Econometric theory 29 (2013) 5, pp. 920-940
Persistent link: https://www.econbiz.de/10010248321
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Empirical likelihood test for causality of bivariate AR(1) processes
Li, Deyuan; Chan, Ngai Hang; Lian, Peng - In: Econometric theory 30 (2014) 2, pp. 357-371
Persistent link: https://www.econbiz.de/10010399760
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Uniform test for predictive regression with AR errors
Li, Chenxue; Li, Deyuan; Peng, Liang - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 29-39
Persistent link: https://www.econbiz.de/10011704097
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Bias-corrected inference for a modified Lee-Carter mortality model
Liu, Qing; Ling, Chen; Li, Deyuan; Peng, Liang - In: Astin bulletin : the journal of the International … 49 (2019) 2, pp. 433-455
Persistent link: https://www.econbiz.de/10012056606
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Empirical likelihood methods based on characteristic functions with applications to Lévy processes
Chan, Ngai Hang; Chen, Song Xi; Peng, Liang; Yu, Cindy L. - In: Journal of the American Statistical Association : JASA 104 (2009) 488, pp. 1621-1630
Persistent link: https://www.econbiz.de/10003993190
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Empirical-likelihood-based confidence intervals for conditional variance in heteroskedastic regression models
Chan, Ngai Hang; Peng, Liang; Zhang, Dabao - In: Econometric theory 27 (2011) 1, pp. 154-177
Persistent link: https://www.econbiz.de/10009127139
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Extreme quantile estimation for autoregressive models
Li, Deyuan; Wang, Huixia - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 661-670
Persistent link: https://www.econbiz.de/10012179004
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Prediction of extremal expectile based on regression models with heteroscedastic extremes
Xu, Wen; Hou, Yanxi; Li, Deyuan - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 522-536
Persistent link: https://www.econbiz.de/10013533450
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Time series with roots on or near the unit circle
Chan, Ngai Hang - In: Handbook of financial time series, (pp. 695-707). 2009
Persistent link: https://www.econbiz.de/10003834204