Zobrazeno 1 - 10
of 191
pro vyhledávání: '"LI, Wai Keung"'
Autor:
Yu, Philip Leung Ho, Chiu, Keith Wan-Hang, Lu, Jianliang, Lui, Gilbert C.S., Zhou, Jian, Cheng, Ho-Ming, Mao, Xianhua, Wu, Juan, Shen, Xin-Ping, Kwok, King Ming, Kan, Wai Kuen, Ho, Y.C., Chan, Hung Tat, Xiao, Peng, Mak, Lung-Yi, Tsui, Vivien W.M., Hui, Cynthia, Lam, Pui Mei, Deng, Zijie, Guo, Jiaqi, Ni, Li, Huang, Jinhua, Yu, Sarah, Peng, Chengzhi, Li, Wai Keung, Yuen, Man-Fung, Seto, Wai-Kay
Publikováno v:
In JHEP Reports January 2025 7(1)
Publikováno v:
Statistica Sinica, 2023 Jan 01. 33(2), 787-818.
Externí odkaz:
https://www.jstor.org/stable/27249940
Asymmetric power GARCH models have been widely used to study the higher order moments of financial returns, while their quantile estimation has been rarely investigated. This paper introduces a simple monotonic transformation on its conditional quant
Externí odkaz:
http://arxiv.org/abs/1911.09343
We propose a new Conditional BEKK matrix-F (CBF) model for the time-varying realized covariance (RCOV) matrices. This CBF model is capable of capturing heavy-tailed RCOV, which is an important stylized fact but could not be handled adequately by the
Externí odkaz:
http://arxiv.org/abs/1903.12077
Publikováno v:
Statistica Sinica, 2022 Jan 01. 32(2), 755-786.
Externí odkaz:
https://www.jstor.org/stable/27118796
Akademický článek
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This paper proposes some novel one-sided omnibus tests for independence between two multivariate stationary time series. These new tests apply the Hilbert-Schmidt independence criterion (HSIC) to test the independence between the innovations of both
Externí odkaz:
http://arxiv.org/abs/1804.09866
Recently, inference about high-dimensional integrated covariance matrices (ICVs) based on noisy high-frequency data has emerged as a challenging problem. In the literature, a pre-averaging estimator (PA-RCov) is proposed to deal with the microstructu
Externí odkaz:
http://arxiv.org/abs/1702.03417
Publikováno v:
In Journal of Econometrics March 2022 227(1):264-284