2 papers
stat.ME2019
Improve Orthogonal GARCH with Hidden Markov Model
Yufan Li
Orthogonal Generalized Autoregressive Conditional Heteroskedasticity model (OGARCH) is widely used in finance industry to produce volatility and correlation forecasts. We show that…
math.ST2018
A Divergent Random Walk on Stairs
Yufan Li, Jeffery Rosenthal
We consider a state-dependent, time-dependent, discrete random walks defined on natural numbers (bent to a "stair" in ) where the random…