Liu, Ji-Chun A family of Markov-switching GARCH processes. (English) Zbl 1282.60041 J. Time Ser. Anal. 33, No. 6, 892-902 (2012). MSC: 60G10 62M10 60J10 60G70 PDFBibTeX XMLCite \textit{J.-C. Liu}, J. Time Ser. Anal. 33, No. 6, 892--902 (2012; Zbl 1282.60041) Full Text: DOI
Liu, Jichun; Zhang, Jingyao A multivariate threshold GARCH model. (Chinese. English summary) Zbl 1264.62071 J. Xiamen Univ., Nat. Sci. 51, No. 1, 1-8 (2012). MSC: 62M10 62H12 62G20 PDFBibTeX XMLCite \textit{J. Liu} and \textit{J. Zhang}, J. Xiamen Univ., Nat. Sci. 51, No. 1, 1--8 (2012; Zbl 1264.62071)
Liu, Ji-Chun Structure of a double autoregressive process driven by a hidden Markov chain. (English) Zbl 1254.60038 Stat. Probab. Lett. 82, No. 7, 1468-1473 (2012). MSC: 60G10 60J05 62M10 91B84 PDFBibTeX XMLCite \textit{J.-C. Liu}, Stat. Probab. Lett. 82, No. 7, 1468--1473 (2012; Zbl 1254.60038) Full Text: DOI
Liu, Ji-Chun Stationarity of a family of GARCH processes. (English) Zbl 1178.62102 Econom. J. 12, No. 3, 436-446 (2009). MSC: 62M10 60G10 PDFBibTeX XMLCite \textit{J.-C. Liu}, Econom. J. 12, No. 3, 436--446 (2009; Zbl 1178.62102) Full Text: DOI
Liu, Ji-Chun Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process. (English) Zbl 1130.60043 Stat. Probab. Lett. 77, No. 13, 1428-1438 (2007). MSC: 60G10 60G70 93E15 PDFBibTeX XMLCite \textit{J.-C. Liu}, Stat. Probab. Lett. 77, No. 13, 1428--1438 (2007; Zbl 1130.60043) Full Text: DOI
Liu, Ji-Chun On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process. (English) Zbl 1096.60018 Stat. Probab. Lett. 76, No. 13, 1323-1330 (2006). MSC: 60G10 60G70 93E15 PDFBibTeX XMLCite \textit{J.-C. Liu}, Stat. Probab. Lett. 76, No. 13, 1323--1330 (2006; Zbl 1096.60018) Full Text: DOI
Liu, Jichun On the strict stationary property and the ergodicity of a model for asymmetric GARCH. (Chinese. English summary) Zbl 1016.62103 J. Xiamen Univ., Nat. Sci. 42, No. 2, 153-156 (2003). MSC: 62M10 PDFBibTeX XMLCite \textit{J. Liu}, J. Xiamen Univ., Nat. Sci. 42, No. 2, 153--156 (2003; Zbl 1016.62103)
Shi, Ningzhong; Liu, Jichun Multivariate generalized autoregressive conditional heteroscedastic model. (English) Zbl 1022.62086 Northeast. Math. J. 17, No. 3, 323-332 (2001). MSC: 62M10 15A99 PDFBibTeX XMLCite \textit{N. Shi} and \textit{J. Liu}, Northeast. Math. J. 17, No. 3, 323--332 (2001; Zbl 1022.62086)