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Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
Chan, Ngai Hang; Deng, Shi-jie; Peng, Liang; Xia, Zhendong - In: Journal of econometrics 137 (2007) 2, pp. 556-576
Persistent link: https://www.econbiz.de/10003441983
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LASSO estimation of threshold autoregressive models
Chan, Ngai Hang; Yau, Chun Yip; Zhang, Rong-Mao - In: Journal of econometrics 189 (2015) 2, pp. 285-296
Persistent link: https://www.econbiz.de/10011504532
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Portmanteau-type tests for unit-root and cointegration
Zhang, Rongmao; Chan, Ngai Hang - In: Journal of econometrics 207 (2018) 2, pp. 307-324
Persistent link: https://www.econbiz.de/10012116354
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Priors for unit root models
Kadane, Joseph B.; Chan, Ngai Hang; Wolfson, Lara J. - In: Journal of econometrics 75 (1996) 1, pp. 99-112
Persistent link: https://www.econbiz.de/10006796311
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Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
Hang Chan, Ngai; Deng, Shi-Jie; Peng, Liang; Xia, Zhendong - In: Journal of econometrics 137 (2007) 2, pp. 556-576
Persistent link: https://www.econbiz.de/10007604720