108 citations · 345 across the 44 of their papers we have counts for
4 papers · 1 filter
Simultaneous Sieve Inference for Time-Inhomogeneous Nonlinear Time Series Regression
Xiucai Ding, Zhou Zhou
In this paper, we consider the time-inhomogeneous nonlinear time series regression for a general class of locally stationary time series. On one hand, we propose sieve nonparametri…
Auto-Regressive Approximations to Non-stationary Time Series, with Inference and Applications
Xiucai Ding, Zhou Zhou
Understanding the time-varying structure of complex temporal systems is one of the main challenges of modern time series analysis. In this paper, we show that every uniformly-posit…
Superhedging duality for multi-action options under model uncertainty with information delay
Anna Aksamit, Ivan Guo, Shidan Liu +1
We consider the superhedging price of an exotic option under nondominated model uncertainty in discrete time in which the option buyer chooses some action from an (uncountable) act…
A Time-Inconsistent Dynkin Game: from Intra-personal to Inter-personal Equilibria
Yu-Jui Huang, Zhou Zhou
This paper studies a nonzero-sum Dynkin game in discrete time under non-exponential discounting. For both players, there are two levels of game-theoretic reasoning intertwined. Fir…