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The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights

Siu, Tak Kuen - In: Applied economics 53 (2021) 17, pp. 1991-2014

Persistent link: https://www.econbiz.de/10012500918

Bayesian nonlinear expectation for time series modelling and its application to Bitcoin

Siu, Tak Kuen - In: Empirical economics : a quarterly journal of the … 64 (2023) 1, pp. 505-537

Persistent link: https://www.econbiz.de/10014226298

A mixture price trend model for long-term risk management

Fung, Eric S.; Ching, Wai Ki; Siu, Tak Kuen - In: Business intelligence in economic forecasting : …, (pp. 157-173). 2010

Persistent link: https://www.econbiz.de/10003994046

Optimal investment and consumption in a continuous-time co-integration model

Shen, Yang; Siu, Tak Kuen - In: IMA journal of management mathematics 28 (2017) 4, pp. 501-530

Persistent link: https://www.econbiz.de/10011845245

A hidden Markov regime-switching smooth transition model

Elliott, Robert J.; Siu, Tak Kuen; Lau, John W. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 4, pp. 1-21

Persistent link: https://www.econbiz.de/10011965140

An IID test for functional time series with applications to high-frequency VIX index data

Huang, Xin; Shang, Han Lin; Siu, Tak Kuen - In: Risks : open access journal 13 (2025) 2, pp. 1-25

To address a key issue in functional time series analysis on testing the randomness of an observed series, we propose an IID test for functional time series by generalizing the Brock-Dechert-Scheinkman (BDS) test, which is commonly used for testing nonlinear independence. Similarly to the BDS...

Persistent link: https://www.econbiz.de/10015333723