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stat.ME2025
Improving time series estimation and prediction via transfer learning
Yuchang Lin, Qianqian Zhu, Guodong Li
There are many time series in the literature with high dimension yet limited sample sizes, such as macroeconomic variables, and it is almost impossible to obtain efficient estimati…
stat.ME2024
Quasi-maximum likelihood estimation for scalable ARMA models
Yuchang Lin, Wenyu Li, Qianqian Zhu
The recently proposed scalable ARMA model preserves the parsimony of traditional VARMA models while achieving greater computational tractability. However, existing studies are limi…
stat.ME2024
A computationally efficient multivariate volatility model for many assets
Wenyu Li, Yuchang Lin, Qianqian Zhu +1
This paper develops a flexible and computationally efficient multivariate volatility model that accommodates dynamic conditional correlations and volatility spillover effects among…