68 citations · 72 across the 3 of their papers we have counts for
3 papers
q-fin.ST2020
Forecasting Realized Volatility Matrix With Copula-Based Models
Wenjing Wang, Minjing Tao
Multivariate volatility modeling and forecasting are crucial in financial economics. This paper develops a copula-based approach to model and forecast realized volatility matrices.…
stat.AP2020★ 4 cited
Time-Varying Gaussian-Cauchy Mixture Models for Financial Risk Management
Shuguang Zhang, Minjing Tao, Xu-Feng Niu +1
There are various metrics for financial risk, such as value at risk (VaR), expected shortfall, expected/unexpected loss, etc. When estimating these metrics, it was very common to a…
math.ST2013★ 68 cited
Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
Minjing Tao, Yazhen Wang, Harrison H. Zhou
Stochastic processes are often used to model complex scientific problems in fields ranging from biology and finance to engineering and physical science. This paper investigates rat…