2 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
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…