Li, Chenxing and Maheu, John M (2020): A Multivariate GARCH-Jump Mixture Model.
Li, Chenxing and Maheu, John M and Yang, Qiao (2022): An Infinite Hidden Markov Model with Stochastic Volatility.
Li, Chenxing and Zhang, Zehua and Zhao, Ran (2023): Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?
Li, Chenxing and Maheu, John M (2023): Beyond Conditional Second Moments: Does Nonparametric Density Modelling Matter to Portfolio Allocation?
Li, Chenxing and Yang, Qiao (2025): An Infinite Hidden Markov Model with GARCH for Short-Term Interest Rates.
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