1 citations · 2 across the 2 of their papers we have counts for
2 papers
stat.ME2024★ 1 cited
Asymmetric GARCH modelling without moment conditions
Yuxin Tao, Huan Gong, Dong Li
Heavy tails and stability are two persistent challenges in modelling financial time series, yet most existing approaches rely on finite-moment assumptions and pay insufficient atte…
econ.EM2020★ 1 cited
Testing error distribution by kernelized Stein discrepancy in multivariate time series models
Donghang Luo, Ke Zhu, Huan Gong +1
Knowing the error distribution is important in many multivariate time series applications. To alleviate the risk of error distribution mis-specification, testing methodologies are…