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Long memory and asymmetry for matrix-exponential dynamic correlation processes

Asai, Manabu; So, Mike Ka-pui - In: Journal of time series econometrics 7 (2015) 1, pp. 69-94

Persistent link: https://www.econbiz.de/10010510043

Stochastic multivariate mixture covariance model

So, Mike Ka-pui; Li, Raymond W. M.; Asai, Manabu; Jiang, Yue - In: Journal of forecasting 36 (2017) 2, pp. 139-155

Persistent link: https://www.econbiz.de/10011729126

Forecasting exchange rate volatility using autoregressive random variance model

So, Mike Ka-pui; Lam, Kin; Li, Wai Keung - In: Applied financial economics 9 (1999) 6, pp. 583-591

Persistent link: https://www.econbiz.de/10001525271

Bayesian unit-root testing in stochastic volatility models

So, Mike Ka-pui; Li, Wai Keung - In: Journal of business & economic statistics : JBES ; a … 17 (1999) 4, pp. 491-496

Persistent link: https://www.econbiz.de/10001412874

A threshold stochastic volatility model

So, Mike Ka-pui; Li, Wai Keung; Lam, Kin - In: Journal of forecasting 21 (2002) 7, pp. 473-500

Persistent link: https://www.econbiz.de/10001775843

Subset threshold autoregression

So, Mike Ka-pui; Chen, Cathy W. S. - In: Journal of forecasting 22 (2003) 1, pp. 49-66

Persistent link: https://www.econbiz.de/10001737081

Forecasting intraday volatility and value-at-risk with high-frequency data

So, Mike Ka-pui; Xu, Rui - In: Asia-Pacific financial markets 20 (2013) 1, pp. 83-111

Persistent link: https://www.econbiz.de/10009718871

Asymmetric return and volatility responses to composite news from stock markets

Chiang, Thomas C.; Chen, Cathy W. S.; So, Mike Ka-pui - In: Multinational finance journal : MF ; quarterly … 11 (2007) 3/4, pp. 179-210

Persistent link: https://www.econbiz.de/10003709545

Volatility Forecasting with Double Markov Switching GARCH Models

Chen, Cathy W. S. - 2009

This paper investigates inference and volatility forecasting using a Markov switching heteroscedastic model with a fat-tailed error distribution to analyze asymmetric effects on both the conditional mean and conditional volatility of financial time series. The motivation for extending the Markov...

Persistent link: https://www.econbiz.de/10013159442

Testing for serial correlation in the presence of stochastic volatility

Asai, Manabu - In: Asia-Pacific financial markets 7 (2000) 4, pp. 321-337

Persistent link: https://www.econbiz.de/10001557972