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Asymmetric GARCH modelling without moment conditions
Yuxin Tao, Huan Gong, Dong Li
Heavy tails and stability are two persistent challenges in modelling financial time series, yet most existing approaches rely on finite-moment assumptions and pay insufficient atte…
Diagnostic Checking for Wasserstein Autoregression
Chenxiao Dai, Feiyu Jiang, Dong Li +1
Wasserstein autoregression provides a robust framework for modeling serial dependence among probability distributions, with wide-ranging applications in economics, finance, and cli…
A note on parameter orthogonality for multi-parameter distributions
Changle Shen, Dong Li, Howell Tong
This note addresses issues raised by Cox and Reid in their seminal paper in 1987 regarding parameter orthogonality in statistical inference. We extend the orthogonality condition t…
Modelling time series of counts with hysteresis
Xintong Ma, Dong Li, Howell Tong
In this article, we propose a novel model for time series of counts called the hysteretic Poisson autoregressive (HPART) model with thresholds by extending the linear Poisson autor…
Two-way Matrix Autoregressive Model with Thresholds
Cheng Yu, Dong Li, Xinyu Zhang +1
Recently, matrix-valued time series data have attracted significant attention in the literature with the recognition of threshold nonlinearity representing a significant advance. H…