2 papers
stat.ME2026
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.ME2025
An 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, which allows for dynamic conditional correlations and volatility spillover effects among…