# Browse by Author or Creator

Up a level |

**18**.

## Article

Liang, Rubing and Xia, Qiang and Pan, Jiazhu and Liu, Jinshan
(2015)
*Testing a linear ARMA Model against threshold-ARMA models : A Bayesian approach.*
Communications in Statistics - Simulation and Computation.
ISSN 0361-0918

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.
ISSN 0167-7152

Tang, Leilei and Thomas, Lyn and Fletcher, Mary H 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

**Wed Jul 27 04:45:41 2016 BST**.