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Non-stationary autoregressive processes with infinite varianceNgai Hang Chan; Rongmao Zhang · 2012
Marked empirical processes for non-stationary time seriesChan, Ngai Hang; Zhang, Rongmao · Bernoulli · 2013
TAIL INDEX OF AN AR(1) MODEL WITH ARCH(1) ERRORSChan, Ngai Hang; Li, Deyuan; Peng, Liang; Zhang, Rongmao · Econometric Theory · 2013
Interval estimation of the tail index of a GARCH(1,1) modelNgai Hang Chan, Liang Peng, Rongmao Zhang · 2012
M-estimation in nonparametric regression under strong dependence and infinite varianceNgai Hang Chan; Rongmao Zhang · 2009
Semiparametric Efficiency BoundsWhitney K. Newey · Journal of Applied Econometrics · 1990
Modeling a Multivariate Transaction ProcessNolte, I. · Journal of Financial Econometrics · 2007
Heavy tails of OLSMikosch, Thomas; de Vries, Casper G. · Journal of Econometrics · 2013
The method of simulated quantilesDominicy, Yves; Veredas, David · Journal of Econometrics · 2013
Autoregressive Conditional KurtosisBrooks, C. · Journal of Financial Econometrics · 2005
Microfit 5.0McKenzie, C. R.; Takaoka, Sumiko · Journal of Applied Econometrics · 2013
Modelling volatility by variance decompositionAmado, Cristina; Teräsvirta, Timo · Journal of Econometrics · 2013
Bayesian semiparametric multivariate GARCH modelingJensen, Mark J.; Maheu, John M. · Journal of Econometrics · 2013