Narrow search
Showing 1 - 5 of 5
Cover Image
Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model
Zhang, Heng-Guo; Su, Chi-Wei; Song, Yan; Qiu, Shuqi; … - In: Economic modelling 67 (2017), pp. 355-367
Persistent link: https://www.econbiz.de/10011813839
Cover Image
Conditional volatility persistence and realized volatility asymmetry : evidence from the Chinese stock markets
Su, Fei; Wang, Lei - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 14, pp. 3252-3269
Persistent link: https://www.econbiz.de/10012312730
Cover Image
Conditional volatility persistence and volatility spillovers in the foreign exchange market
Su, Fei - In: Research in international business and finance 55 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10013264608
Cover Image
A note on inequality constraints in the GARCH model
Tsai, Henghsiu; Chan, Kung-sik - In: Econometric theory 24 (2008) 3, pp. 823-828
Persistent link: https://www.econbiz.de/10003894307
Cover Image
Dynamic conditional angular correlation
Jarjour, Riad; Chan, Kung-sik - In: Journal of econometrics 216 (2020) 1, pp. 137-150
Persistent link: https://www.econbiz.de/10012439656