2 citations · 3 across the 4 of their papers we have counts for
4 papers
PAMod: Modeling Cyclical Shifts via Phase-Amplitude Modulation for Non-stationary Time Series Forecasting
Yingbo Zhou, Yutong Ye, Shuhao Li +5
Real-world time series forecasting faces the fundamental challenge of non-stationary statistical properties, including shifts in mean and variance over time. While reversible insta…
Measuring tail risk at high-frequency: An -regularized extreme value regression approach with unit-root predictors
Julien Hambuckers, Li Sun, Luca Trapin
We study tail risk dynamics in high-frequency financial markets and their connection with trading activity and market uncertainty. We introduce a dynamic extreme value regression m…
Adaptive Random Bandwidth for Inference in CAViaR Models
Alain Hecq, Li Sun
This paper investigates the size performance of Wald tests for CAViaR models (Engle and Manganelli, 2004). We find that the usual estimation strategy on test statistics yields inac…
Identification of Noncausal Models by Quantile Autoregressions
Alain Hecq, Li Sun
We propose a model selection criterion to detect purely causal from purely noncausal models in the framework of quantile autoregressions (QAR). We also present asymptotics for the…