19 citations · 27 across the 13 of their papers we have counts for
Showing 2020Show all
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q-fin.RM2020
The Causal Learning of Retail Delinquency
Yiyan Huang, Cheuk Hang Leung, Xing Yan +4
This paper focuses on the expected difference in borrower's repayment when there is a change in the lender's credit decisions. Classical estimators overlook the confounding effects…
cs.LG2020
Generative Learning of Heterogeneous Tail Dependence
Xiangqian Sun, Xing Yan, Qi Wu
We propose a multivariate generative model to capture the complex dependence structure often encountered in business and financial data. Our model features heterogeneous and asymme…
q-fin.RM2020★ 19 cited
Parsimonious Quantile Regression of Financial Asset Tail Dynamics via Sequential Learning
Xing Yan, Weizhong Zhang, Lin Ma +2
We propose a parsimonious quantile regression framework to learn the dynamic tail behaviors of financial asset returns. Our model captures well both the time-varying characteristic…