most citedGeneralized Principal Component Analysis for Large-dimensional Matrix Factor Model

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stat.ME2026

Expected Shortfall Panel Regression

Yujie Hou, Xinbing Kong, Yalin Wang +1

Expected Shortfall (ES) is a coherent measure of tail risk that captures the average loss beyond a quantile threshold. Despite the growing literature on ES regression conditional o…

stat.ME2025

Factor Modelling for Biclustering Large-dimensional Matrix-valued Time Series

Yong He, Xiaoyang Ma, Xingheng Wang +1

A novel unsupervised learning method is proposed in this paper for biclustering large-dimensional matrix-valued time series based on an entirely new latent two-way factor structure…