Number of items: **17**.

## Article

Wang, Hui and Pan, Jiazhu (2014) *Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models.* Statistics and Probability Letters, 91. 117–123.

Tang, Leilei and Thomas, Lyn and Fletcher, Mary and Pan, Jiazhu and Marshall, Andrew (2014) *Assessing the impact of derived behaviour information on customer attrition in the financial service industry.* European Journal of Operational Research, 236 (2). pp. 624-633. ISSN 0377-2217

Wang, Hui and Pan, Jiazhu (2014) *Restricted normal mixture QMLE for non-stationary TGARCH(1, 1) models.* Science China Mathematics, 57 (7). 1341–1360. ISSN 1674-7283

Xia, Qiang and Liu, Jinshan and Pan, Jiazhu and Liang, Rubing (2012) *Bayesian analysis of two-regime threshold autoregressive moving average model with exogenous inputs.* Communications in Statistics - Simulation and Computation, 41 (6). pp. 1089-1104. ISSN 0361-0918

Szpruch, Lukasz and Mao, Xuerong and Higham, Desmond J. and Pan, Jiazhu (2011) *Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model.* BIT Numerical Mathematics, 51. pp. 405-425. ISSN 0006-3835

Xia, Qing and Pan, Jiazhu and Zhang, Zhiqiang and Liu, Jinshan (2010) *A Bayesian nonlinearity test for threshold moving average models.* Journal of Time Series Analysis, 31 (5). pp. 329-336.

Linton, O. and Pan, J. and Wang, H. (2010) *Estimation for a non-stationary semi-strong GARCH(1,1) model with heavy-tailed errors.* Econometric Theory, 26 (1). pp. 1-28. ISSN 0266-4666

Li, Q. and Pan, J. (2009) *Determining the number of factors in a multivariate error correction–volatility factor model.* Econometrics Journal, 12 (1). pp. 45-61. ISSN 1368-4221

Pan, J. and Li, Q. and Yao, Q. and , National Basic Research Program of China (Funder) and , EPSRC research grant of UK (Funder) (2009) *On determination of cointegration ranks.* Statistics and Its Interface, 2 (1). pp. 45-56. ISSN 1938-7989

Pan, J. and Wang, H. and Tong, H. (2008) *Estimation and tests for power-transformed and threshold GARCH models.* Journal of Econometrics, 142 (1). pp. 352-378. ISSN 0304-4076

Pan, Jiazhu and Yao, Qiwei (2008) *Modelling multiple time series via common factors.* Biometrika, 95 (2). pp. 365-379. ISSN 1464-3510

Pan, Jiazhu and Wang, Hui and Yao, Qiwei (2007) *Weighted least absolute deviations estimation for ARMA models with infinite variance.* Econometric Theory, 23 (5). pp. 852-879. ISSN 0266-4666

Ip, W. and Wong, H. and Pan, J. and Yuan, K. (2006) *Estimating value-at-risk for Chinese stock market by switching regime ARCH model.* Journal of Industrial and Management Optimization, 2 (2). pp. 145-163. ISSN 1547-5816

Ip, W. and Wong, H. and Pan, J. and Li, D.F. (2006) *The asymptotic convexity of the negative likelihood function of GARCH models.* Computational Statistics and Data Analysis, 50 (2). pp. 311-331. ISSN 0167-9473

Pan, J. and Wu, G. (2005) *On tail behaviour of nonlinear autoregressive functional conditional heteroscedastic model with heavy-tailed innovations.* Science in China Series A: Mathematics, 48 (9). pp. 1169-1181. ISSN 1006-9283

Culshaw, B. and Pierce, S.G. and Pan, J. (2003) *Non-contact measurement of the mechanical properties of materials using an all optical technique.* IEEE Sensors Journal, 3 (1). pp. 62-70. ISSN 1530-437X

## Book Section

Pan, Jiazhu and Polonik, Wolfgang and Yao, Qiwei (2010) *Estimating factor models for multivariate volatilities : an innovation expansion method.* In: Proceedings of COMPSTAT 2010. A Physica Verlag Heidelberg product . Springer, pp. 305-314. ISBN 978-3-7908-2603-6

This list was generated on **Sat Feb 28 00:50:24 2015 GMT**.