19982020

Research output per year

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Research Output

  • 28 Article
  • 1 Conference contribution book
  • 1 Poster
2020

Influence of ambient air pollution on rheumatoid arthritis disease activity score Index

Alsaber, A., Pan, J., Al-Herz, A., Alkandary, D. S., Al-Hurban, A., Setiya, P. & Group, KRRD., 8 Jan 2020, In : International Journal of Environmental Research and Public Health. 17, 2, 17 p., 416.

Research output: Contribution to journalArticle

Open Access
File
2 Citations (Scopus)
6 Downloads (Pure)
2018

A scalar dynamic conditional correlation model: structure and estimation

Wang, H. & Pan, J., 1 Oct 2018, In : Science China Mathematics. 61, 10, p. 1881–1906 26 p.

Research output: Contribution to journalArticle

Open Access
File
8 Downloads (Pure)
2017

Bayesian analysis of multiple thresholds autoregressive model

Pan, J., Xia, Q. & Liu, J., 1 Mar 2017, In : Computational Statistics. 32, 1, p. 219–237 19 p.

Research output: Contribution to journalArticle

Open Access
File
2 Citations (Scopus)
54 Downloads (Pure)

Dimension reduction for stationary multivariate time series data

Alshammri, F. & Pan, J., 19 May 2017. 1 p.

Research output: Contribution to conferencePoster

Open Access
File
2 Downloads (Pure)

Testing a linear ARMA Model against threshold-ARMA models: a Bayesian approach

Liang, R., Xia, Q., Pan, J. & Liu, J., 28 Feb 2017, In : Communications in Statistics - Simulation and Computation. 46, 2, p. 1302-1317 16 p.

Research output: Contribution to journalArticle

Open Access
File
2 Citations (Scopus)
44 Downloads (Pure)
2014

Assessing the impact of derived behaviour information on customer attrition in the financial service industry

Tang, L., Thomas, L., Fletcher, M. H., Pan, J. & Marshall, A., 16 Jul 2014, In : European Journal of Operational Research. 236, 2, p. 624-633 10 p.

Research output: Contribution to journalArticle

Open Access
File
8 Citations (Scopus)
51 Downloads (Pure)

Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models

Wang, H. & Pan, J., 1 Aug 2014, In : Statistics and Probability Letters. 91, p. 117–123 7 p.

Research output: Contribution to journalArticle

Open Access
File
1 Citation (Scopus)
101 Downloads (Pure)

Restricted normal mixture QMLE for non-stationary TGARCH(1, 1) models

Wang, H. & Pan, J., 1 Jul 2014, In : Science China Mathematics. 57, 7, p. 1341–1360 20 p.

Research output: Contribution to journalArticle

3 Citations (Scopus)
2012

Bayesian analysis of two-regime threshold autoregressive moving average model with exogenous inputs

Xia, Q., Liu, J., Pan, J. & Liang, R., 2012, In : Communications in Statistics - Simulation and Computation. 41, 6, p. 1089-1104 16 p.

Research output: Contribution to journalArticle

3 Citations (Scopus)
2011

Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model

Szpruch, L., Mao, X., Higham, D. J. & Pan, J., 1 Jun 2011, In : BIT Numerical Mathematics. 51, p. 405-425 21 p.

Research output: Contribution to journalArticle

39 Citations (Scopus)
2010

A Bayesian nonlinearity test for threshold moving average models

Xia, Q., Pan, J., Zhang, Z. & Liu, J., 1 Sep 2010, In : Journal of Time Series Analysis. 31, 5, p. 329-336 8 p.

Research output: Contribution to journalArticle

File
7 Citations (Scopus)
144 Downloads (Pure)

Estimating factor models for multivariate volatilities: an innovation expansion method

Pan, J., Polonik, W. & Yao, Q., 2010, Proceedings of COMPSTAT 2010. Lechevallier, L. & Saporta, G. (eds.). Heidelberg, p. 305-314 10 p. (A Physica Verlag Heidelberg product).

Research output: Chapter in Book/Report/Conference proceedingConference contribution book

File
3 Citations (Scopus)
80 Downloads (Pure)

Estimation for a non-stationary semi-strong GARCH(1,1) model with heavy-tailed errors

Linton, O., Pan, J. & Wang, H., Feb 2010, In : Econometric Theory. 26, 1, p. 1-28 28 p.

Research output: Contribution to journalArticle

Open Access
File
28 Citations (Scopus)
95 Downloads (Pure)
2009

Determining the number of factors in a multivariate error correction–volatility factor model

Li, Q. & Pan, J., Mar 2009, In : Econometrics Journal. 12, 1, p. 45-61 17 p.

Research output: Contribution to journalArticle

Open Access
File
1 Citation (Scopus)
50 Downloads (Pure)

On determination of cointegration ranks

Li, Q., Pan, J. & Yao, Q., 2009, In : Statistics and Its Interface. 2, 1, p. 45-56 12 p.

Research output: Contribution to journalArticle

Open Access
File
17 Downloads (Pure)
2008

Estimation and tests for power-transformed and threshold GARCH models

Pan, J., Wang, H. & Tong, H., Jan 2008, In : Journal of Econometrics. 142, 1, p. 352-378 27 p.

Research output: Contribution to journalArticle

Open Access
File
41 Citations (Scopus)
66 Downloads (Pure)

Modelling multiple time series via common factors

Pan, J. & Yao, Q., 2008, In : Biometrika. 95, 2, p. 365-379 15 p.

Research output: Contribution to journalArticle

Open Access
File
53 Citations (Scopus)
60 Downloads (Pure)
2007

Weighted least absolute deviations estimation for ARMA models with infinite variance

Pan, J., Wang, H. & Yao, Q., Oct 2007, In : Econometric Theory. 23, 5, p. 852-879 27 p.

Research output: Contribution to journalArticle

34 Citations (Scopus)
2006

Estimating value-at-risk for Chinese stock market by switching regime ARCH model

Ip, W., Wong, H., Pan, J. & Yuan, K., 2006, In : Journal of Industrial and Management Optimization. 2, 2, p. 145-163 18 p.

Research output: Contribution to journalArticle

The asymptotic convexity of the negative likelihood function of GARCH models

Ip, W., Wong, H., Pan, J. & Li, D. F., 2006, In : Computational Statistics and Data Analysis. 50, 2, p. 311-331 20 p.

Research output: Contribution to journalArticle

2 Citations (Scopus)
2005
2 Citations (Scopus)
2004

How does innovation tail risk determine marginal tail risk of a stationary financial time series?

Pan, J., Yu, B. W. T. & Pang, W. K., May 2004, In : Science China Mathematics. 47, 3, p. 321-338 18 p.

Research output: Contribution to journalArticle

3 Citations (Scopus)
2003
38 Citations (Scopus)
2002

Stationary solution and parametric estimation for bilinear model driven by ARCH noises

Pan, J., Li, G. & Xie, Z., Dec 2002, In : Science China Mathematics. 45, 12, p. 1523-1537 15 p.

Research output: Contribution to journalArticle

2 Citations (Scopus)

Tail dependence of random variables from ARCH and heavy-tailed Bilinear models

Pan, J., Jun 2002, In : Science China Mathematics. 45, 6, p. 749-760 12 p.

Research output: Contribution to journalArticle

3 Citations (Scopus)
2000

Asymptotic expansion for distribution function of moment estimator for the extreme-value index

Pan, J. & Cheng, S., Nov 2000, In : Science in China Series A: Mathematics. 43, 11, p. 1131-1143 13 p.

Research output: Contribution to journalArticle

1 Citation (Scopus)
1998

Asymptotic expansions for the distribution functions of Pickands-type estimators

Pan, J. & Cheng, S., Aug 1998, In : Science in China Series A: Mathematics. 41, 8, p. 785-800 16 p.

Research output: Contribution to journalArticle

1 Citation (Scopus)

Asymptotic expansions of estimators for the tail index with applications

Cheng, S. & Pan, J., Dec 1998, In : Scandinavian Journal of Statistics. 25, 4, p. 717-728 12 p.

Research output: Contribution to journalArticle

13 Citations (Scopus)

Some results on estimation of the tail index of a distribution

Pan, J., 1998, In : Chinese Annals of Mathematics, Series B. 19 B, 2, p. 239-248 10 p.

Research output: Contribution to journalArticle

3 Citations (Scopus)