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The risk and return of commercial real estate : a property level analysis

Peng, Liang - In: Real estate economics : journal of the American Real … 44 (2016) 3, pp. 555-583

Persistent link: https://www.econbiz.de/10011616611

Empirical likelihood methods for an AR(1) process with ARCH(1) errors

Klüppelberg, Claudia (contributor); Peng, Liang (contributor) - 2006

For an AR(1) process with ARCH(1) errors, we propose empirical likelihood tests for testing whether the sequence is strictly stationary but has infinte variance, or the sequence is an ARCH(1) sequence or the sequence is an iid sequence. Moreover, an empirical likelihood based confidence interval...

Persistent link: https://www.econbiz.de/10003310084

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

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

Test for zero median of errors in an ARMA-GARCH model

Ma, Yaolan; Zhou, Mohan; Peng, Liang; Zhang, Rongmao - In: Econometric theory 38 (2022) 3, pp. 536-561

Persistent link: https://www.econbiz.de/10013269973

Inference pitfalls in Lee-Carter model for forecasting mortality

Leng, Xuan; Peng, Liang - In: Insurance / Mathematics & economics 70 (2016), pp. 58-65

Persistent link: https://www.econbiz.de/10011597167

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

Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors

Zhang, Rongmao; Li, Chenxue; Peng, Liang - In: Econometric reviews 38 (2019) 2, pp. 151-169

Persistent link: https://www.econbiz.de/10012180711

Testing for a unit root in Lee-Carter mortality model

Leng, Xuan; Peng, Liang - In: Astin bulletin : the journal of the International … 47 (2017) 3, pp. 715-735

Persistent link: https://www.econbiz.de/10011763576

Unified inference for an AR process regardless of finite or infinite variance GARCH errors

Huang, Haitao; Leng, Xuan; Liu, Xiaohui; Peng, Liang - In: Journal of financial econometrics 18 (2020) 2, pp. 425-470

Persistent link: https://www.econbiz.de/10012232977