1 citations · 1 across the 3 of their papers we have counts for
3 papers
stat.ME2023★ 1 cited
Bootstrap Prediction Inference of Non-linear Autoregressive Models
Kejin Wu, Dimitris N. Politis
The non-linear autoregressive (NLAR) model plays an important role in modeling and predicting time series. One-step ahead prediction is straightforward using the NLAR model, but th…
stat.AP2021
A New Model-free Prediction Method: GA-NoVaS
Kejin Wu, Sayar Karmakar
Volatility forecasting plays an important role in the financial econometrics. Previous works in this regime are mainly based on applying various GARCH-type models. However, it is h…
stat.ME2021
Model-free time-aggregated predictions for econometric datasets
Kejin Wu, Sayar Karmakar
This article explores the existing normalizing and variance-stabilizing (NoVaS) method on predicting squared log-returns of financial data. First, we explore the robustness of the…