刘继春 厦门大学 数学科学学院 CURRICULUM VITAE of Ji-Chun Liu Higher Education From Aug. 2008--: Professor of Statistics, School of Mathematical Science, Xiamen University, Xiamen, China. Selected Publications in English 1. Liu, J.-C. (2012a) A Family of Markov-Switching Garch Processes. Journal of Time Series Analysis 33, 892-902. (SCI) 2. Liu, J.-C. (2012b). Structure of a Double Autoregressive Process\\Driven by Hidden Markov Chain . Statistics & Probability Letters 82, 1468-1473. (SCI) 3. Liu, J.-C. (2009a) INTEGRATED MARKOV-SWITCHING GARCH PROCESS. Econometric Theory 25, 1277-1288. (SCI) 4. Liu, J.-C. (2009b) Stationarity of a Family of GARCH Processes. Econometrics Journal 12, 436–446. (SSCI, SCI) 1. Liu, J.-C. (2009) The tail of the stationary distribution of an autoregressive process with ARCH(1) errors driven by hidden Markov-chain 1. Liu, J.-C. (2006b) is cited by [1] Terasvirta, T. An introduction to univariate GARCH models. Handbook of Financial Time Series ed. by T.G. Andersen, R.A. Davis, J.-P. Kreiss and T. Mikosch, New York: Springe, 2009. [2] Alexander, C. & Lazar, E. Modelling Regime-Specific Stock Price Volatility. Oxford Bulletin of Economics and Statistics71:761-797, 2009. [3] Philippe, C. & Marimoutou, V. Hierarchical Hidden Markov Structure for Dynamic Correlations: The Hierarchical RSDC Model. AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI 2. Liu, J.-C. (2006c) is cited by [1] Pan, J., Wang, H., Tong, H. Estimation and tests power transformed and threshold GARCH models. Journal of Econometrics 142: 352-378, 2008. [2] Haas, M. The autocorrelation structure of the Markov-switching asymmetric power GARCH process. Statistics & Probability Letters 78:1480-1489, 2008. [3] Hwang, S.Y. & Baek, J.S. Asymptotic variance-covariance matrix of sample autocorrelations for threshold asymmetric GARCH processes. Statistics 43:35-51, 2009. 3. Liu, J.-C. (2006a) is cited by [1] Klivecka, A. and Surgailis, D. Garch(1,1) process can have arbitrarily heavy power tails. Lithuanian Mathematical Journal 47: 164-175, 2007. [2] Haas, M. The autocorrelation structure of the Markov-switching asymmetric power GARCH process. Statistics & Probability Letters 78:1480-1489, 2008. [3] Ambroževičiūtė, D. & Klivečka, A. On the tvGARCH(1,1) model: Existence, CLT, and tail index. Lithuanian Mathematical Journal 48: 1-16, 2008. 4. Liu, J.-C. (2007) is cited by [1] Alexander, C. & Lazar, E. Modelling Regime-Specific Stock Price Volatility. Oxford Bulletin of Economics and Statistics71:761-797, 2009. [2] Haas, M. The autocorrelation structure of the Markov-switching asymmetric power GARCH process. Statistics & Probability Letters 78:1480-1489, 2008. [3] Lee, O. & Shin, D. W. Geometric Ergodicity and Moment Conditions for a Seasonal GARCH Model with Periodic Coefficients. Communication in Statistics-Theory and Methods 39: 38-51, 2010. |