120 citations · 121 across the 5 of their papers we have counts for
Showing 2024Show all
2 papers · 1 filter
stat.ME2024★ 1 cited
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…
stat.ME2024
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…