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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
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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
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Estimating the death rate of an emerging infections disease by time series analysis
Chan, Kung-sik (contributor); Tong, Howell (contributor) - 2005
Persistent link: https://www.econbiz.de/10003299203
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Penalized quasi-likelihood estimation of generalized Pareto regression : consistent identification of risk factors for extreme losses
Meng, Jin; Chan, Kung-sik - In: Insurance / Mathematics & economics 104 (2022), pp. 60-75
Persistent link: https://www.econbiz.de/10013264936