Browsing "Department of Statistics & Actuarial Science" by Author so, mkp

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TitleAuthor(s)Issue Date
 
Bayesian unit-root testing in stochastic volatility models
Journal:Journal of Business and Economic Statistics
So, MKPLi, WK
1999
 
Empirical analysis of GARCH models in value at risk estimation
Journal:Journal of International Financial Markets, Institutions and Money
So, MKPYu, PLH
2006
 
An empirical study of volatility in seven Southeast Asian stock markets using ARV models
Journal:Journal of Business Finance and Accounting
So, MKPLam, KLi, WK
1997
 
Estimating VaR using long memory GARCH models and multiple period VaR estimation' in the Hong Kong Institute for Monetary Research (HKIMR)
Proceeding/Conference:Topics in Value at Risk Estimation
Yu, PLHSo, MKP
2002
 
Forecasting and trading strategies based on a price trend model
Journal:Journal of Forecasting
Kwan, JWCLam, KSo, MKPYu, PLH
2000
 
Forecasting exchange rate volatility using autoregressive random variance model
Journal:Applied Financial Economics
So, MKPLam, KLi, WK
1999
 
The impact of futures and options tradings on the Hang Seng Index volatility
Journal:International Journal of Finance
So, MKPYu, PLH
1999
 
Multivariate modelling of the autoregressive random variance process
Journal:Journal of Time Series Analysis
So, MKPLi, WKLam, K
1997
 
A stochastic volatility model with Markov switching
Journal:Journal of Business and Economic Statistics
So, MKPLam, KLi, WK
1998
 
A threshold stochastic volatility model
Journal:Journal of Forecasting
So, MKPLi, WKLam, K
2002
Showing results 1 to 10 of 10