40 citations · 71 across the 13 of their papers we have counts for
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stat.ME2023★ 6 cited
Quantile autoregressive conditional heteroscedasticity
Qianqian Zhu, Songhua Tan, Yao Zheng +1
This paper proposes a novel conditional heteroscedastic time series model by applying the framework of quantile regression processes to the ARCH(\infty) form of the GARCH model. Th…
stat.ME2023
HAR-Ito models and high-dimensional HAR modeling for high-frequency data
Huiling Yuan, Kexin Lu, Yifeng Guo +1
It is an important task to model realized volatilities for high-frequency data in finance and economics and, as arguably the most popular model, the heterogeneous autoregressive (H…
cs.CV2023★ 1 cited
Cross-Layer Retrospective Retrieving via Layer Attention
Yanwen Fang, Yuxi Cai, Jintai Chen +3
More and more evidence has shown that strengthening layer interactions can enhance the representation power of a deep neural network, while self-attention excels at learning interd…