390 citations · 3.4k across the 56 of their papers we have counts for
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stat.ML2017★ 1 cited
Robust Maximum Likelihood Estimation of Sparse Vector Error Correction Model
Ziping Zhao, Daniel P. Palomar
In econometrics and finance, the vector error correction model (VECM) is an important time series model for cointegration analysis, which is used to estimate the long-run equilibri…
q-fin.PM2017★ 39 cited
Mean-Reverting Portfolio Design with Budget Constraint
Ziping Zhao, Daniel P. Palomar
This paper considers the mean-reverting portfolio design problem arising from statistical arbitrage in the financial markets. We first propose a general problem formulation aimed a…