Jiazhu Pan
Title
Cited by
Cited by
Year
Modelling multiple time series via common factors
J Pan, Q Yao
Biometrika 95 (2), 365-379, 2008
1112008
Estimation and tests for power-transformed and threshold GARCH models
J Pan, H Wang, H Tong
Journal of Econometrics 142 (1), 352-378, 2008
762008
Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
L Szpruch, X Mao, DJ Higham, J Pan
BIT Numerical Mathematics 51 (2), 405-425, 2011
632011
Estimation for a nonstationary semi-strong GARCH (1, 1) model with heavy-tailed errors
O Linton, J Pan, H Wang
Econometric theory, 1-28, 2010
602010
Weighted least absolute deviations estimation for ARMA models with infinite variance
J Pan, H Wang, Q Yao
Econometric Theory, 852-879, 2007
542007
Asymptotic expansions of estimators for the tail index with applications
S Cheng, J Pan
Scandinavian journal of statistics 25 (4), 717-728, 1998
271998
Assessing the impact of derived behavior information on customer attrition in the financial service industry
L Tang, L Thomas, M Fletcher, J Pan, A Marshall
European Journal of Operational Research 236 (2), 624-633, 2014
132014
Tail dependence of random variables from ARCH and heavy-tailed bilinear models
J Pan
Science in China Series A: Mathematics 45 (6), 749-760, 2002
102002
How does innovation’s tail risk determine marginal tail risk of a stationary financial time series?
J Pan, WT Bosco, WK Pang
Science in China Series A: Mathematics 47 (3), 321-338, 2004
92004
A Bayesian nonlinearity test for threshold moving average models
Q Xia, J Pan, Z Zhang, J Liu
Journal of Time Series Analysis 31 (5), 329-336, 2010
82010
Restricted normal mixture QMLE for non-stationary TGARCH (1, 1) models
H Wang, J Pan
Science China Mathematics 57 (7), 1341-1360, 2014
72014
Bayesian analysis of two-regime threshold autoregressive moving average model with exogenous inputs
Q Xia, J Liu, J Pan, R Liang
Communications in Statistics-Theory and Methods 41 (6), 1089-1104, 2012
72012
Estimating factor models for multivariate volatilities: an innovation expansion method
J Pan, W Polonik, Q Yao
Proceedings of COMPSTAT'2010, 305-314, 2010
72010
The asymptotic convexity of the negative likelihood function of GARCH models
WC Ip, H Wong, JZ Pan, DF Li
Computational statistics & data analysis 50 (2), 311-331, 2006
62006
Bayesian analysis of multiple thresholds autoregressive model
J Pan, Q Xia, J Liu
Computational Statistics 32 (1), 219-237, 2017
52017
On determination of cointegration ranks
Q Li, J Pan, Q Yao
Statistics and Its Interface 2 (1), 45-56, 2009
52009
Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH (1, 1) models
H Wang, J Pan
Statistics & Probability Letters 91, 117-123, 2014
42014
Modelling multivariate volatilities via common factors
J Pan, D Pena, W Polonik, Q Yao
42011
Modelling multivariate volatilities by common factors
J Pan, W POLONIK, Q YAO, F ZIEGELMANN
Research Report, Department of Statistics, London School of Economics, 2009
42009
Estimating value-at-risk for chinese stock market by switching regime ARCH model
WC Ip, H Wong, J Pan, K Yuan
Journal of Industrial & Management Optimization 2 (2), 145, 2006
42006
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Articles 1–20