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Estimation for a nonstationary semi-strong GARCH (1,1) model with heavy-tailed errors
Linton, Oliver; Pan, Jiazhu; Wang, Hui - In: Econometric theory 26 (2010) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10003968440
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Estimation and test for power-transformed and threshold GARCH models
Pan, Jiazhu; Wang, Hui; Tong, Howell - In: Journal of econometrics 142 (2008) 1, pp. 352-378
Persistent link: https://www.econbiz.de/10003608206
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Weighted least absolute deviations estimation for ARMA models with infinite variance
Pan, Jiazhu; Wang, Hui; Yao, Qiwei - In: Econometric theory 23 (2007) 5, pp. 852-879
Persistent link: https://www.econbiz.de/10003549656
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On determination of the number of factors in an approximate factor model
Liu, Jinshan; Pan, Jiazhu; Xia, Qiang; Xiao, Li - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 3, pp. 285-298
Persistent link: https://www.econbiz.de/10014372878
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Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations
Pan, Jiazhu; He, Yali - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 3, pp. 377-395
Persistent link: https://www.econbiz.de/10014372884
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Assessing the impact of derived behavior information on customer attrition in the financial service industry
Tang, Leilei; Thomas, Lyn C.; Fletcher, Mary; Pan, Jiazhu; … - In: European journal of operational research : EJOR 236 (2014) 2, pp. 624-633
Persistent link: https://www.econbiz.de/10010366718
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Determining the number of factors in a multivariate error correction-volatility factor model
Li, Qiaoling; Pan, Jiazhu - In: The econometrics journal 12 (2009) 1, pp. 45-61
Persistent link: https://www.econbiz.de/10003841958
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Economic analysis of the Chinese regime on marine environmental liability
Wang, Hui - In: Economics and regulation in China, (pp. 294-321). 2013
Persistent link: https://www.econbiz.de/10010194297
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Monte Carlo simulation with applications to finance
Wang, Hui - 2012
This book can serve as the text for a one-semester course on Monte Carlo simulation. The intended audience is advanced undergraduate students or students on master's programs who wish to learn the basics of this exciting topic and its applications to finance. The book is largely self-contained....
Persistent link: https://www.econbiz.de/10009582272