8 Result(s)
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Article
Open AccessA semi-parametric claims reserving model with monotone splines
Stochastic reserving models used in the insurance industry are usually based on an assumed distribution of claim amounts. Despite their popularity, such models may unavoidably be affected by the misspecificati...
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Article
A simulation study on the Markov regime-switching zero-drift GARCH model
A Zero-drift GARCH (ZD-GARCH) model is recently proposed to study conditional and unconditional heteroskedasticity together. Despite its attractive statistical properties, our research demonstrates that the st...
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Article
Conceptual design of product structures based on WordNet hierarchy and association relation
Conceptual design has a significant impact on performance of the final product. Existing methods of the concept design such as quality function deployment and axiomatic design cannot decide product structures ...
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Article
Robustness and spurious long memory: evidence from the generalized autoregressive score models
This paper employs the generalized autoregressive score (GAS) models to study the long memory and regime switching in the second comment. Via systematically constructed simulation studies, we firstly demonstra...
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Article
Long memory and regime switching in the stochastic volatility modelling
This paper studies the confusion between the long memory and regime switching in the second moment via the stochastic volatility (SV) methodology. An illustrative proposition is firstly presented with simulati...
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Article
Open AccessA discussion on the robust vector autoregressive models: novel evidence from safe haven assets
The vector autoregressive (VAR) model has been popularly employed in operational practice to study multivariate time series. Despite its usefulness in providing associated metrics such as the impulse response ...
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Chapter and Conference Paper
Public News Flows and Chinese Renminbi: A Volatility Regime-Switching Analysis
In recent years the Chinese foreign exchange rate policy and the internationalization of Chinese renminbi (RMB) have been hotly debated both in the academic world and in practice as the growing weight of China...
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Chapter and Conference Paper
Price Discovery and Dynamic Correlations: The Case of the Chinese Renminbi Markets
The Chinese renminbi (RMB) currency system has undergone several major developments in the past two decades, including the adoption of a managed-floating system since July 2005, the expansion of an offshore RM...
