3 citations · 4 across the 6 of their papers we have counts for
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q-fin.RM2019★ 1 cited
Dynamic Dependence Modeling in financial time series
Yali Dou, Haiyan Liu, Georgios Aivaliotis
This paper explores the dependence modeling of financial assets in a dynamic way and its critical role in measuring risk. Two new methods, called Accelerated Moving Window method a…
stat.ME2019
On estimation of the effect lag of predictors and prediction in functional linear model
Haiyan Liu, Georgios Aivaliotis, Jeanine Houwing-Duistermaat
We propose a functional linear model to predict a response using multiple functional and longitudinal predictors and to estimate the effect lags of predictors. The coefficient func…