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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 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

This list was generated on Sat Dec 20 04:56:36 2014 GMT.