1 citations · 2 across the 2 of their papers we have counts for
3 papers
math.ST2024
On Asymptotic Optimality of Least Squares Model Averaging When True Model Is Included
Wenchao Xu, Xinyu Zhang
Asymptotic optimality is a key theoretical property in model averaging. Due to technical difficulties, existing studies rely on restricted weight sets or the assumption that there…
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…
math.ST2022★ 1 cited
From Model Selection to Model Averaging: A Comparison for Nested Linear Models
Wenchao Xu, Xinyu Zhang
Model selection (MS) and model averaging (MA) are two popular approaches when having many candidate models. Theoretically, the estimation risk of an oracle MA is not larger than th…