Authors: Zhang, Rongmao Li, Chenxue Peng, Liang

Citation: Zhang, Rongmao et al., Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors, Econometric reviews , 38(2), 2019, pp. 151-169

Authors: Chan, Ngai Hang Peng, Liang

Citation: Chan, Ngai Hang et Peng, Liang, Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors, Biometrika , 92(2), 2005, pp. 477-484

Authors: Cheng, Ming-Yen Peng, Liang Wu, Jyh-Shyang

Citation: Cheng, Ming-yen et al., Reducing Variance in Univariate Smoothing, Annals of statistics , 35(2), 2007, pp. 522-542

Authors: Peng, Liang Yao, Qiwei

Citation: Peng, Liang et Yao, Qiwei, Least absolute deviations estimation for ARCH and GARCH models, Biometrika , 90(4), 2003, pp. 967-975