Zhao, Zifeng; Zhang, Zhengjun; Chen, Rong Modeling maxima with autoregressive conditional Fréchet model. (English) Zbl 1452.62339 J. Econom. 207, No. 2, 325-351 (2018). MSC: 62G32 62M10 62P05 62P20 PDF BibTeX XML Cite \textit{Z. Zhao} et al., J. Econom. 207, No. 2, 325--351 (2018; Zbl 1452.62339) Full Text: DOI OpenURL
Yang, Yaxing; Ling, Shiqing Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models. (English) Zbl 1422.62292 J. Econom. 197, No. 2, 368-381 (2017). MSC: 62M10 62F03 62F12 PDF BibTeX XML Cite \textit{Y. Yang} and \textit{S. Ling}, J. Econom. 197, No. 2, 368--381 (2017; Zbl 1422.62292) Full Text: DOI OpenURL
Asimit, Alexandru V.; Gerrard, Russell; Hou, Yanxi; Peng, Liang Tail dependence measure for examining financial extreme co-movements. (English) Zbl 1443.62329 J. Econom. 194, No. 2, 330-348 (2016). MSC: 62P05 62G32 62G20 62H20 PDF BibTeX XML Cite \textit{A. V. Asimit} et al., J. Econom. 194, No. 2, 330--348 (2016; Zbl 1443.62329) Full Text: DOI Link OpenURL
Zhang, Zhengjun; Zhu, Bin Copula structured M4 processes with application to high-frequency financial data. (English) Zbl 1443.62295 J. Econom. 194, No. 2, 231-241 (2016). MSC: 62M10 62G32 60G70 62H05 62P05 PDF BibTeX XML Cite \textit{Z. Zhang} and \textit{B. Zhu}, J. Econom. 194, No. 2, 231--241 (2016; Zbl 1443.62295) Full Text: DOI OpenURL
Zhang, Shulin; Okhrin, Ostap; Zhou, Qian M.; Song, Peter X.-K. Goodness-of-fit test for specification of semiparametric copula dependence models. (English) Zbl 1420.62210 J. Econom. 193, No. 1, 215-233 (2016). MSC: 62G10 62G20 62E20 62P05 PDF BibTeX XML Cite \textit{S. Zhang} et al., J. Econom. 193, No. 1, 215--233 (2016; Zbl 1420.62210) Full Text: DOI OpenURL
Zhu, Ke; Ling, Shiqing Model-based pricing for financial derivatives. (English) Zbl 1337.91116 J. Econom. 187, No. 2, 447-457 (2015). MSC: 91G20 62M10 62P05 91G70 PDF BibTeX XML Cite \textit{K. Zhu} and \textit{S. Ling}, J. Econom. 187, No. 2, 447--457 (2015; Zbl 1337.91116) Full Text: DOI Link OpenURL
Chen, Xiaohong; Fan, Yanqin; Pouzo, Demian; Ying, Zhiliang Estimation and model selection of semiparametric multivariate survival functions under general censorship. (English) Zbl 1431.62110 J. Econom. 157, No. 1, 129-142 (2010). MSC: 62G05 62H05 62N05 62G20 62P20 PDF BibTeX XML Cite \textit{X. Chen} et al., J. Econom. 157, No. 1, 129--142 (2010; Zbl 1431.62110) Full Text: DOI Link OpenURL
Hong, Yongmiao; Liu, Yanhui; Wang, Shouyang Granger causality in risk and detection of extreme risk spillover between financial markets. (English) Zbl 1429.62670 J. Econom. 150, No. 2, 271-287 (2009). MSC: 62P20 62M10 62P05 91G70 PDF BibTeX XML Cite \textit{Y. Hong} et al., J. Econom. 150, No. 2, 271--287 (2009; Zbl 1429.62670) Full Text: DOI OpenURL
Gourieroux, C.; Monfort, A. Econometric specification of stochastic discount factor models. (English) Zbl 1420.91461 J. Econom. 136, No. 2, 509-530 (2007). MSC: 91G20 62P05 62M10 PDF BibTeX XML Cite \textit{C. Gourieroux} and \textit{A. Monfort}, J. Econom. 136, No. 2, 509--530 (2007; Zbl 1420.91461) Full Text: DOI OpenURL
Chen, Xiaohong; Fan, Yanqin Estimation of copula-based semiparametric time series models. (English) Zbl 1337.62201 J. Econom. 130, No. 2, 307-335 (2006). MSC: 62M05 62M10 62G05 PDF BibTeX XML Cite \textit{X. Chen} and \textit{Y. Fan}, J. Econom. 130, No. 2, 307--335 (2006; Zbl 1337.62201) Full Text: DOI Link OpenURL