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Munich Personal RePEc Archive

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Group by: Date | Item ID
Number of items: 4.

December 2020

Li, Chenxing and Maheu, John M (2020): A Multivariate GARCH-Jump Mixture Model.

25 November 2022

Li, Chenxing and Maheu, John M and Yang, Qiao (2022): An Infinite Hidden Markov Model with Stochastic Volatility.

3 September 2023

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?

11 September 2023

Li, Chenxing and Maheu, John M (2023): Beyond Conditional Second Moments: Does Nonparametric Density Modelling Matter to Portfolio Allocation?

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