4 papers
Large covariance matrix estimation with factor-assisted variable clustering
Dong Li, Xinghao Qiao, Cheng Yu
This paper studies the covariance matrix estimation for high-dimensional time series within a new framework that combines low-rank factor and latent variable-specific cluster struc…
Tensor dynamic conditional correlation model: A new way to pursuit "Holy Grail of investing"
Cheng Yu, Zhoufan Zhu, Ke Zhu
Style investing creates asset classes (or the so-called "styles") with low correlations, aligning well with the principle of "Holy Grail of investing" in terms of portfolio selecti…
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…
Matrix GARCH Model: Inference and Application
Cheng Yu, Dong Li, Feiyu Jiang +1
Matrix-variate time series data are largely available in applications. However, no attempt has been made to study their conditional heteroskedasticity that is often observed in eco…