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Inference in ARCH and GARCH models with heavy-tailed errors

Hall, Peter; Yao, Qiwei - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 1, pp. 285-317

Persistent link: https://www.econbiz.de/10001731116

Inference for intermediate Haezendonck-Goovaerts risk measure

Wang, Xing; Peng, Liang - In: Insurance / Mathematics & economics 68 (2016), pp. 231-240

Persistent link: https://www.econbiz.de/10011493849

Improved regression inference using a second overlapping regression model

Peng, Liang; Einmahl, John H. J. - 2021

Two time series of financial losses may be observed in different overlapping windows, serially dependent, heteroscedastic, and cross-sectionally dependent. Fitting a regression model to each of the two time series, we construct an improved least squares estimator in one series exploiting the...

Persistent link: https://www.econbiz.de/10013322732

Statistical inference for a relative risk measure

He, Yi; Hou, Yanxi; Peng, Liang; Sheng, Jiliang - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 301-311

Persistent link: https://www.econbiz.de/10012177340

Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure

Wang, Xing; Liu, Qing; Hou, Yanxi; Peng, Liang - In: Scandinavian actuarial journal (2018) 8, pp. 661-680

Persistent link: https://www.econbiz.de/10011939722

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

Statistical inference for Lee-Carter mortality model and corresponding forecasts

Liu, Qing; Ling, Chen; Peng, Liang - In: North American actuarial journal : NAAJ ; leading the … 23 (2019) 3, pp. 335-363

Persistent link: https://www.econbiz.de/10012180629

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

Variance-reduced risk inference in semi-supervised settings

Einmahl, John H. J.; Peng, Liang - 2024

Persistent link: https://www.econbiz.de/10015114538

Testing constant serial dynamics in two-step risk inference for longitudinal actuarial data

Fung, Tsz Chai; Li, Yinhuan; Peng, Liang; Qian, Linyi - In: North American actuarial journal : NAAJ ; leading the … 28 (2024) 4, pp. 861-881

Persistent link: https://www.econbiz.de/10015189603