42 citations · 140 across the 13 of their papers we have counts for
6 papers · 1 filter
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…
Detection and Estimation of Structural Breaks in High-Dimensional Functional Time Series
Degui Li, Runze Li, Han Lin Shang
In this paper, we consider detecting and estimating breaks in heterogeneous mean functions of high-dimensional functional time series which are allowed to be cross-sectionally corr…
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…
Estimation of Grouped Time-Varying Network Vector Autoregression Models
Degui Li, Bin Peng, Songqiao Tang +1
This paper introduces a flexible time-varying network vector autoregressive model framework for large-scale time series. A latent group structure is imposed on the heterogeneous an…
Estimating Time-Varying Networks for High-Dimensional Time Series
Jia Chen, Degui Li, Yuning Li +1
We explore time-varying networks for high-dimensional locally stationary time series, using the large VAR model framework with both the transition and (error) precision matrices ev…
Dimension Reduction and MARS
Yu Liu, Degui Li, Yingcun Xia
The multivariate adaptive regression spline (MARS) is one of the popular estimation methods for nonparametric multivariate regressions. However, as MARS is based on marginal spline…