1 citations · 1 across the 2 of their papers we have counts for
2 papers
econ.EM2024
Sparse Interval-valued Time Series Modeling with Machine Learning
Haowen Bao, Yongmiao Hong, Yuying Sun +1
By treating intervals as inseparable sets, this paper proposes sparse machine learning regressions for high-dimensional interval-valued time series. With LASSO or adaptive LASSO te…
math.ST2023★ 1 cited
Functional Data-Driven Quantile Model Averaging with Application to Cryptocurrencies
Wenchao Xu, Xinyu Zhang, Jeng-Min Chiou +1
Given the high volatility and susceptibility to extreme events in the cryptocurrency market, forecasting tail risk is of paramount importance. Value-at-Risk (VaR), a quantile-based…