5 papers · 1 filter
Time-Varying Model Averaging of Multi-layer Network Vector Autoregressions
Degui Li, Yuying Sun, Boyao Wu
In this paper, we introduce a flexible time-varying multi-layer network vector autoregression (VAR) model framework for large-scale time series, allowing agents in dynamic systems…
Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data
Degui Li, Oliver Linton, Haoxuan Zhang
We propose a new estimator of high-dimensional spot volatility matrices satisfying a low-rank plus sparse structure from noisy and asynchronous high-frequency data collected for an…
Covariance Function Estimation for High-Dimensional Functional Time Series with Dual Factor Structures
Chenlei Leng, Degui Li, Hanlin Shang +1
We propose a flexible dual functional factor model for modelling high-dimensional functional time series. In this model, a high-dimensional fully functional factor parametrisation…
Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data
Ruijun Bu, Degui Li, Oliver Linton +1
In this paper, we consider estimating spot/instantaneous volatility matrices of high-frequency data collected for a large number of assets. We first combine classic nonparametric k…
Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure
Xiaorong Yang, Jia Chen, Degui Li +1
This paper considers estimating functional-coefficient models in panel quantile regression with individual effects, allowing the cross-sectional and temporal dependence for large p…