14 citations · 18 across the 14 of their papers we have counts for
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stat.ME2019★ 3 cited
Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
Feiyu Jiang, Dong Li, Ke Zhu
This paper considers a semiparametric generalized autoregressive conditional heteroskedasticity (S-GARCH) model. For this model, we first estimate the time-varying long run compone…
econ.EM2019
Non-standard inference for augmented double autoregressive models with null volatility coefficients
Feiyu Jiang, Dong Li, Ke Zhu
This paper considers an augmented double autoregressive (DAR) model, which allows null volatility coefficients to circumvent the over-parameterization problem in the DAR model. Sin…
math.ST2019★ 1 cited
Time series models for realized covariance matrices based on the matrix-F distribution
Jiayuan Zhou, Feiyu Jiang, Ke Zhu +1
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…