• Publications
  • Influence
Copula-based multivariate GARCH model with uncorrelated dependent errors
Multivariate GARCH (MGARCH) models are usually estimated under multivariate normality. In this paper, for non-elliptically distributed financial returns, we propose copula-based multivariate GARCHExpand
  • 132
  • 7
  • PDF
Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model
We propose a semiparametric conditional covariance (SCC) estimator that combines the first-stage parametric conditional covariance (PCC) estimator with the second-stage nonparametric correctionExpand
  • 54
  • 7
  • PDF
Conversion of cellulose into isosorbide over bifunctional ruthenium nanoparticles supported on niobium phosphate.
Considerable effort has been applied to the development of new processes and catalysts for cellulose conversion to valuable platform chemicals. Isosorbide is among the most interesting products as itExpand
  • 42
A Semiparametric Conditional Duration Model
We propose a new semiparametric autoregressive duration (SACD) model, which incorporates the parametric and nonparametric estimators of the conditional duration in a multiplicative way. AsymptoticExpand
  • 3
  • PDF
Risk-based portfolio strategy in emerging stock markets: economic significance from Brazil, Russia, India and China
The purpose of this paper is to examine the conditional volatility and correlation predictability of four emerging stock markets, and address the issue whether investors could exploit thisExpand
Semiparametric Multivariate GARCH Model∗
To capture the missed information in the standardized errors by parametric multivariate generalized autoregressive conditional heteroskedasticity (MV-GARCH) model, we propose a new semiparametricExpand
  • 2
  • PDF
Multivariate Modelling of Price Volatility in the Hong Kong Residential Property Market
In this paper we use a VAR - MGARCH model to analyze the return and risk in the Hong Kong residential property market. Our analytical framework incorporates time-varying volatility and correlationsExpand
  • 2